storing real time data not same as historical database

[anothertoy]

in options>data>general, i have checked the "store real-time bar data".

i have run my strategies live and compared it with the same strategy run in backtest mode for the same period and found different results which i believe is due to my real time data being slightly different to the historical database stored by Mirus/Zenfire/NT. If I uncheck the abovementioned box, how will it affect me running live strategies? Will my data be of better quality because it access the broker's historical database? How often will my system refresh and reread the broker's historical database? Or have i misunderstood what that box is for.

This is a serious issue for all NT users as effectively it means that strategies that are very sensitive to high frequency information may produce very different results to the backtested results using clean and stable price and volume data.

And please don't send me the link about the discrepancies between real time and historical data - my problem is not about bid offer spreads etc ... it is about not being able to perfectly collect ALL the data that ends up in a historical dataset that you may get from the exchange at the end of the day.

[NinjaTrader_Jason]

Hello anothertoy,

The option is to save real-time data in the NinjaTrader database. However, we recommend to disable this option with Zen-Fire, since you have access to historical data with Zen-Fire.

Note that as a courtesy we allow Zen-Fire users to make use of our historical data server, which can differ from the real-time data received by Zen-Fire.

This is the difference you experience between running your strategy live and backtesting it along with the differences between backtests and real-time testing listed at the link below.

http://www.ninjatrader-support.com/HelpGuideV6/DiscrepanciesReal-TimeVsBacktest.html