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Market replay v's Realtime data
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Created: by tellytub Attachments:1

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Market replay v's Realtime data

  #1 (permalink)
Elite Member
london uk
 
Futures Experience: Beginner
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Market replay v's Realtime data

Hi

I noticed something really strange the other day, I run a simple strategy on CL, came back from work and I was down -$10.000 (dont worry it was sim). I ran the same strategy on the same chart using market replay and I was down -$1000?

Any idea why this happened? Im using Zenfire data

Thanks

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  #2 (permalink)
Just starting out...
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welcome to my world!


it boils down to the fact that the fill engine in the market replay isnot that great... you're best bet is to do a replay of many days to see if the general strategy works based on given market conditions

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  #3 (permalink)
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Acaully I've just spotted this as well. Today on ES,

Realtime: $437


Market Replay speed: 500x
Money made using Market Replay : $650

Market Replay speed: 300x
Money made using Market Replay : $962

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  #4 (permalink)
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tellytub,

set your delays to 0 under the simulator setting in order to be able to reproduce results

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  #5 (permalink)
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according to the online help the delays do not enter into equation in market replay mode. interesting.

delay of 0 on the CL is going to kill you because it moves so fast it will never be accurate. you should trust the sim trade more than the market replay.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #6 (permalink)
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ok caprica, thanks for your feeedback

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  #7 (permalink)
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this is really a hot topic and one i cant believe has not been fixed by ninjatrader. what good is market replay if you cannot trust results.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #8 (permalink)
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caprica,

i can confirm for a fact that adjusting delays DOES make a difference

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  #9 (permalink)
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BigDog View Post
caprica,

i can confirm for a fact that adjusting delays DOES make a difference

figures, see attachment.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #10 (permalink)
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oops now see attachment for real

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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