Replay speed - is its reliability algorithmically proven?

[maxima]

Is there a difference in replaying on different speeds? Can results made on speed x500 be different from those made on x1 ?

[NinjaTrader_Dierk]

No, they should be the same no matter what speed replay you went with (unless you did some custom coded timer logic which would not make sense in replay)

[maxima]

No I didnt do any fancy stuff.. I cant imagine what would be an effect of using a timer on replay or backtest

I am asking purely to reduce number of questions I have to resolve to match backtest with live r/t.... 2 weeks and still nowhere :S

But thank you!

[NinjaTrader_Dierk]

A member of our support team will follow up your questions in your other threads but here is my opinion: backtest != replay != live trading. There is no point in trying to make them match as they are very different techniques.

[maxima]

OK.. What I am trying to do is not to match executions from backtest to live as it is well known that markets behave not as you expect them

I am trying establish the facts:

a. non-time bars and indicators on them has to match historical and live.
b. bid/ask flow recorded from live feed must match flow in backtesting.
say if I have bar closed at 15:51:34 at price 1790.25 on live and the next ticks were as follows - bid 1790.25 ask 1790.50 ask 1790.75 - I would expect that backtesting will "replay" internally same data and give me same sequence of ticks during backtest.

I cannot ask for the same timing as time maters not in things like backtest and replay....

Most important for me is to make 100% match between bars, indicators and sequence of bid/ask/last ticks everywhere - backtest, replay, simulation...

What would make backtest which is fed from historical data which was recorded from live not to match sequence of bid/ask messages if it was recorded on the same PC ?

Would you agree?

[NinjaTrader_Dierk]

Sorry you are asking for too much for simple reasons: one is that backtest NEVER will match replay nor sim account nor live as it would not reflect bid/ask changes in sequence they really happened.

[maxima]

Dierk I need to know then what can I expect exactly.

If I have bid and ask historical data and I have 1 tick of last, bid and ask TFs added to a strategy for backtest......

you are saying they will not match replay.

can you explain why?

is it because backtest cannot correctly synchronise bid/ask with last or number of bid/ask ticks in historical data reduced by Ninja or backtest doesnt use every bid/ask tick? or what?

how exactly backtest and replay sync different tick timeframes with each other and the with chart time?? Is there internal milliseconds timestamps or all ticks have 1 sec granularity? Do you keep a sequential number within tick records? If Bid/Ask/Last stored separately - how do you know what tick was after what?

I mean my question perhaps look annoying but I have to know the principles. If I got the answers there would be much less questions in future Lets do it once. I am not going to open debates on what is good or what is bad. I just need to know what my options are... No critics. I promise

[NinjaTrader_Dierk]

>>If Bid/Ask/Last stored separately - how do you know what tick was after what?
They are stored separately for backtest and OnBarUpdate() is triggered based on their timestamps down to 1 sec granularity. Meaning anything below 1 sec granularity will not be synchronized properly. However:
- all bid/ask/last are processed though and nothing is dropped just the sequence might be unexpected.
- bid/ask/last "ticks" in itself (meaning all bid, all ask, all last) are perfectly in sequence

Replay is different: all bid/ask/last are replayed in their EXACT sequence (although timestamps are rounded to 250ms granularity).

[maxima]

OK. In that case could you please tell - will replay sequence match live sequnce?

P.S. providing the replay was recorded from that live sequence

[NinjaTrader_Dierk]

Yes, the sequence of bid/ask/last on replay will match the sequence you saw live. Note: timestamps are rounded to 250ms (in case you wanted to do stuff like "ask change was less than x ms before next trade" or something like that).

[maxima]

Thats not bad already... Thank you.

I have one more question but I am going to send you an email.