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Paper VS Real
Started: by StringedWorm Views / Replies:1,623 / 20
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Paper VS Real

  #11 (permalink)
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StringedWorm View Post
SO! I set up real trading on one monitor, and paper trading on the other monitor and put in the SAME order on both monitors. Both were executed at the same exact time, but while my paper trade account was gaining hundreds (in profit I might add), my real account was losing the same amount.
The charts were the same on both monitors but I feel as though I am missing a significant difference between the two trading options (paper and real). Could anyone shed some light on this situation?

This does not make sense. You place the exact same futures order and one was losing and one was positive? Or you made a sequence or orders and then you compared P&L? if you go long a single ES market on sim and real, there would be some differences of slippage. commissions, etc, but how did it get to hundreds? Something is missing in your story as far as how you implemented real vs. sim.
1) How many contracts did you trade? real and sim
2) Is your description above is a result of a sequence of trades or one single?

Jut trying to help you to figure out where the gap has occurred.

Matt Z
Optimus Futures

There is a risk of loss in futures trading. Past performance is not indicative of future results.

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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  #12 (permalink)
 R.I.P. 1969-2016 
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The only logical explanation of what you are describing is that you have place a sale order on 1 screen and a buy order in the other one?

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #13 (permalink)
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Okina View Post
The only logical explanation of what you are describing is that you have place a sale order on 1 screen and a buy order in the other one?

Well that is your first mistake, attempting to apply any form of 'logic' to the TOS simulator in association with futures markets.

The OP's story of woe is one I have heard many times. Options trader who tries to dip a toe into the futures markets and naturally uses their existing TOS account/platform to give it a try. The outcome of that first attempt is typically the same as the OP has shared here with us.

Here are just a few of the issues we see when an unsuspecting trader attempts to "Paper Trade" futures using the TOS platform.

1. Unrealistic MIT style order fills in the paper account, as mentioned above. One trader I was working with recently had perfect fills in the paper account and slippage of as much as 13 ticks on the same order in the live account. (This was in the Crude Oil CL contract.)

2. Time lag. Often, this happens daily, the TOS paper account server will lag real-time by minutes, I have seen it lag by as much as 10 minutes, and a occasionally more. Everything looks normal, but when compared to an unfiltered price stream from the CME the lag is immediately obvious.

3. This is one is where we detach fully from reality and enter the "TOS Zone"... The Paper Trading account will go rouge, and randomly add or subtract profit, a $100 loss will be recorded as a random gain, maybe $50 one time and $250 the next. There are a variety of flavors of this 'new math' feature that randomly surface without warning.

Best suggestion I can give you from a fair amount of experience 'debugging' TOS paper trader problems: Start over from scratch, get yourself an industry standard platform for trading futures. I suggest Sierra Charts if you are starting out fresh.

I strongly recommend you do not attempt to do any sort of futures trading, live or paper, using the TOS platform, charts, data streams or order server.

Be Patient and Trade Smart
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  #14 (permalink)
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timefreedom View Post
If you are trading with paper money using the TOS platform, all limit orders are filled on touch. When you trade with real money, as opposed to paper money, most of your orders will need to move through a given price in order to fill your limit. This, likely, is what accounts for the big discrepancy between the paper results and actual results. Commissions are a little on the high side at TOS and there are better data feed options. There are positives as well - not limited to but definitely including access to a wide range of market internals, end of day sweeps to interest bearing accounts, ACH money transfer, etc. In general, paper trading is useful to learn the platform but then you'll need some skin in the game to keep learning. Go slow and think for yourself. Good luck.


I asked TOS how realistic their paper trade execution is. In summary, they said if you go long, you only get filled when your limit price hits ask. So that sounds pretty realistic.

Here's the chat:

09:40 llj: how realistic are paper trade executions on ES? If I had a buy limit order, is it filled bid or ask price? thanks
09:41 hur505: If you are running on live data then it will be the same as live trading.
09:41 hur505: If you enter a limit order it depends on what price you enter the order whether you get filled on the bid or ask
09:44 llj: ok, if i enter a long trade at 2111 and the bid is 2111, it wont fill until the ask is 2111?
09:45 llj: the trade is queued at the end of the order book? I'm trying to determine if my scalping is viable on real trades
09:45 hur505: Correct
09:46 hur505: If you enter an order on the bid you get in the que according to the time you enter the order
09:46 llj: ok, even in paper trade?
09:49 hur505: You are not entitled to a fill until it goes offered. In live trading you may get filled before it goes offered
09:50 hur505: and the reverse is true if you are offered and it goes bid
09:50 llj: ok got it. so in essense paper trade is giving you the worst case scenario?
09:51 llj: ask price = offered?
09:53 hur505: You can play with it and see but it is set to give real trading enviroment
09:55 hur505: Hopefully that helps. Do you have any other questions at this time?
09:56 llj: sorry i'm new at scalping. WHen you say "You are not entitled to a fill until it goes offered" this means if I want to go long, I will not be filled until my limit price is hit on the "ask" price?
09:57 hur505: Yes.
09:57 llj: got it thanks

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  #15 (permalink)
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rchen404 View Post
I asked TOS how realistic their paper trade execution is. In summary, they said if you go long, you only get filled when your limit price hits ask. So that sounds pretty realistic.

Here's the chat:

09:40 llj: how realistic are paper trade executions on ES? If I had a buy limit order, is it filled bid or ask price? thanks
09:41 hur505: If you are running on live data then it will be the same as live trading.
09:41 hur505: If you enter a limit order it depends on what price you enter the order whether you get filled on the bid or ask
09:44 llj: ok, if i enter a long trade at 2111 and the bid is 2111, it wont fill until the ask is 2111?
09:45 llj: the trade is queued at the end of the order book? I'm trying to determine if my scalping is viable on real trades
09:45 hur505: Correct
09:46 hur505: If you enter an order on the bid you get in the que according to the time you enter the order
09:46 llj: ok, even in paper trade?
09:49 hur505: You are not entitled to a fill until it goes offered. In live trading you may get filled before it goes offered
09:50 hur505: and the reverse is true if you are offered and it goes bid
09:50 llj: ok got it. so in essense paper trade is giving you the worst case scenario?
09:51 llj: ask price = offered?
09:53 hur505: You can play with it and see but it is set to give real trading enviroment
09:55 hur505: Hopefully that helps. Do you have any other questions at this time?
09:56 llj: sorry i'm new at scalping. WHen you say "You are not entitled to a fill until it goes offered" this means if I want to go long, I will not be filled until my limit price is hit on the "ask" price?
09:57 hur505: Yes.
09:57 llj: got it thanks

I'm not sure if you were looking for a response or not - but since you quoted me... It's been a long, long time since I've placed a paper trade on the TOS platform. However, I can assure you that I've perfectly described the way TOS paper trades were filled. It's possible they have changed their paper trading engine to provide more realistic fills. What is far more likely is that you "chatted" with a customer service tech who has never placed a trade and who doesn't know the difference between popcorn and peanuts. Further, just for clarity, when your market of choice hits the ask and you are trying to buy, you are most definitely NOT assured of getting a fill. All the orders ahead of you will get filled first. Paper trading is a good way to learn the platform - that's about it. Bottom line, when you take your plan into the real world, go slowly, observe what is happening. If the fills are not quite as pristine as you expected them to be, you will know why. Good luck.

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  #16 (permalink)
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timefreedom View Post
I'm not sure if you were looking for a response or not - but since you quoted me... It's been a long, long time since I've placed a paper trade on the TOS platform. However, I can assure you that I've perfectly described the way TOS paper trades were filled. It's possible they have changed their paper trading engine to provide more realistic fills. What is far more likely is that you "chatted" with a customer service tech who has never placed a trade and who doesn't know the difference between popcorn and peanuts. Further, just for clarity, when your market of choice hits the ask and you are trying to buy, you are most definitely NOT assured of getting a fill. All the orders ahead of you will get filled first. Paper trading is a good way to learn the platform - that's about it. Bottom line, when you take your plan into the real world, go slowly, observe what is happening. If the fills are not quite as pristine as you expected them to be, you will know why. Good luck.

Thanks for your response!! I'm doing paper and trying out strategies. I'm doing some scalping and wanted to see how realistic the fill was. I hope they've made changes and it's closer to reality. I'm only doing 1 contract so the liquidity should be sufficient to fill me without too much slippage.

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  #17 (permalink)
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video of paper fills

this is the only topic I could find on this, so I'm posting to an old topic.

I have videos of paper fills on youtube but I can't post links because I am under 5 posts. Do they seem realistic? #1 seems a bit unrealistic because it filled after barely touching the price. Number 2 seems possible.

Just search for "rchen404" on youtube.

Do you get filled on last traded price? It seems possible on an instrument as liquid as ES.

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  #18 (permalink)
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Uhhh ... never.

Best to assume your order will be filled when all of the orders in the queue at the fill price are cleared and the next price level is touched.

The CME order matching engine will continuously insert new larger orders in front of your 1 lot order using an order size priority algorithm. It's not a basic FIFO queue.

Be Patient and Trade Smart
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  #19 (permalink)
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OK so on the sim, best to assume price has to trade one tick higher for you to sell at a certain price?



trendwaves View Post
Uhhh ... never.

Best to assume your order will be filled when all of the orders in the queue at the fill price are cleared and the next price level is touched.

The CME order matching engine will continuously insert new larger orders in front of your 1 lot order using an order size priority algorithm. It's not a basic FIFO queue.


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  #20 (permalink)
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rchen404 View Post
OK so on the sim, best to assume price has to trade one tick higher for you to sell at a certain price?

Yes absolutely. This will give you more realistic simulated test results.

The conservative testing approach is if the market doesn't trade through the price level, assume the limit order would not have been filled.

Be Patient and Trade Smart
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