Backtesting vs Simulator vs Replay

[maxima]

I am getting lots of confusion trying to understand how NT emulates execution... I need a little explanation.

I am still talking Market orders.

1. Backtesting - Default fill type "executes" market orders on next bar open I believe. So it can be fixed with custom fill type using Bid and Ask data... Thats I understand..

2. Replay.. Loads of questions:
- it uses Fill type only to simulate orders when a strategy applied on a chart which already has some data... So while is replaying the Fill type is irrelevant - is that correct ?
- I downloaded L2 data from your server and sat with Replay for a long time. I am sure it does not use Bid / Ask for fills during replays but rather Last.. Can you please describe what does Replay do with Market orders?

3. Simulation - is running a strategy using live R/T data feed on simulation account. It also called Paper trading. So I again tried to watch a strategy placing orders but I am not convinced it uses best bid / ask for simulation.. What does it do?

And the last question - if Replay and Sim dont use Bid/Ask how one can programmatically fix it? I understand that custom Fill type is not going to help..

Any ideas?

[NinjaTrader_JoshP]

2. FillType selection is only effective on historical, backtest styled trades. In real-time (replay) it is dynamically determined through a whole suite of variables. It takes into account bid/ask, volume, etc.

3. Same as in replay, it uses all the information and then fills you based on an algorithm to help simulate things.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?SimulatorOverview

If you want to "fix" the fill to the bid/ask, you will need to submit your trades as limit orders at bid/ask prices. You cannot change the simulator algorithm.

[maxima]

Oh no bid/ask is good enough... I meant 'fix' in case it doesnt use bid/ask...

Thank you Josh. I think I have all the answers by now.

[YanCanCook]

How does Market Replay Do Limit Order Fills

2. FillType selection is only effective on historical, backtest styled trades. In real-time (replay) it is dynamically determined through a whole suite of variables. It takes into account bid/ask, volume, etc.

3. Same as in replay, it uses all the information and then fills you based on an algorithm to help simulate things.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?SimulatorOverview

If you want to "fix" the fill to the bid/ask, you will need to submit your trades as limit orders at bid/ask prices. You cannot change the simulator algorithm.

I am a 100% manual discretionary trader so that is the context of the below questions.
Does the market replay fill for limit order use the identical fill rules as the real-time simulation? I am using NT 6.5 and I saw a part of the on-line help that states that some of the delay values used as part of the fill algorithm are NOT used in the replay. This would cause me a lot of grief is this were indeed true. I need to record my day session and replay with the same fill rules.

Also, I use tick charts. Does market replay record tick by tick or 1-minute interval only? Again, this is critical for my real-time forward testing. I need to get 100% identical behavior between NT 6.5 real-time simulation mode and replay mode. If there are any differences please let me know all of them. Also does 7.0 fix some of these differences, if indeed there are any?

[NinjaTrader_Austin]

I am a 100% manual discretionary trader so that is the context of the below questions.
Does the market replay fill for limit order use the identical fill rules as the real-time simulation? I am using NT 6.5 and I saw a part of the on-line help that states that some of the delay values used as part of the fill algorithm are NOT used in the replay. This would cause me a lot of grief is this were indeed true. I need to record my day session and replay with the same fill rules.

Also, I use tick charts. Does market replay record tick by tick or 1-minute interval only? Again, this is critical for my real-time forward testing. I need to get 100% identical behavior between NT 6.5 real-time simulation mode and replay mode. If there are any differences please let me know all of them. Also does 7.0 fix some of these differences, if indeed there are any?

Yan, this is in the NT7 forum section, but I'll answer your questions anyways.

• Does MR fill limit orders like real-time simulation - yes.
• The help guide states "Delays do not apply to Market Replay." The default delay is 0.1 second, which roughly as long as it takes to blink. You can change this setting to whatever you desire.
• Market Replay records tick by tick, or if you use NT7, you can download the Market Replay data files directly from the data server. You can also record the data with NT7, just like with NT6.5.
• I'm not sure what differences need "fixed", but there are many, many improvements to the Market Replay feature for NT7.

[YanCanCook]

Yan, this is in the NT7 forum section, but I'll answer your questions anyways.

• The help guide states "Delays do not apply to Market Replay." The default delay is 0.1 second, which roughly as long as it takes to blink. You can change this setting to whatever you desire.

Thanks for answering, I didn't know about the NT7 forum since I am using NT6.5. I would like a clarification on the above bullet item. It seems that you are stating that the delay numbers do not apply to market replay but they do to simulation mode. Can you please list the names of the delay values you are referring to and explain why they don't apply? Also, the comment about changing these, I assume, only applies to simulation mode. Does market replay mode ignore these fields?

[NinjaTrader_JoshP]

YanCanCook,

We are referring to the simulator delays for fills. The options are in Tools>Options>Simulator. They are simulated delays to try and make it more realistic when you do simulated trades in real-time. In Market Replay, because it doesn't make sense to define out a delay like 0.1 second on the Market Replay because playing at 500x, 0.1 second translates to a lot more time than 0.1 second when playing at 1x speed.