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This is likely a common problem but I have not yet found a solution. I am using Interactive Brokers along with NinjaTrader. The strategy is fairly simple in that it uses moving averages crossovers. I am finding that the positions of these moving averages do not match when using a live feed VS historical data. I am assuming that this is due to the fact that in live, I am receiving tick data but in back test, I am only receiving OHLC bar data. Is this the case? How can this be overcome such that I can use the results of my back testing in real time? Forgive if this is simplistic as I am relatively new to this. Thank you for the help.
Can you help answer these questions from other members on NexusFi?
Thanks and I have seen many of those posts. I am looking for a solution which I haven't seen yet. Let me re-ask this in another way. If IB uses uses OHLC for back testing, is it possible to receive live OHLC data from IB such that the back tested data and indicators will align with the live data and indicators?
Guess you still don't get the difference between realtime and what IB provides.
There is no such thing like unfiltered tick data or unfiltered "live" or whatever you call that from IB.
So the answer is no.
No I don't get it. As I mentioned, this is relatively new to me and as a result, the reason why I am asking. So are you saying that this is a result of using IB? Would using another broker resolve the discrepancy between historical data and real time data?
There's a difference between platform, data supplier, and broker.
If you want to backtest anything, forget snapshot data and get a tick-based realtime data stream
for your platform. Both have few to do with your broker. The broker is only your execution channel.
For NT == platform that you name in your profile, there exist tons of tick-based realtime data suppliers.
You find the descriptions plus their pros and cons in the respective FIO threads. Choose one data vendor that fits
your requirements and do your charting, backtests etc.
Thank you. A big help. From what I've investigate so far, the issue is that most historical tick based data only goes back 3 or 4 months while I need years worth of data (3 years or so). Is this your understanding or am I wrong?
Also, I am wondering if NT could handle that much tick data during a 3 year backtest before it bogs down. What do you think? Don't mean to take up a lot of your time with this but your experience and feedback is very appreciated.
Until summer 2014 the standard NT config looked like: NT + data vendor + broker.
(That changed only insofar as NT absorbed Mirus in 2014, hence becoming a broker of its own.)
