Quickly compare market replay to historical data results

[shazzmoe]

Is there a way to quickly compare running a strategy on historical bar data vs market replays?

I've written a strategy which works very well (too good to be true) when using bar data. I noticed some of the trades that are registering as winners may not have actually been filled. For example: The system will enter a limit order to short when price reaches a specific level. If the bar that triggered it short happens to be a very long green bar, it will say the order was entered and target was hit both on the same bar, when in fact the target had not been hit.

Because of this I want to run my system on market replay data, but wanted to know if there was a fast way to upload months of replay data for fast testing.

[NinjaTrader_RyanM1]

Hello Shazzmoe,

There can be expected differences between running a strategy live (market replay) and backtest.

There's no real shortcut to running a strategy against months of streaming market replay connection. The replay speed is all you can adjust.

What you may consider is following the principles of this reference sample, to get a better sense of the exact sequence that takes place in your backtests:
Backtesting NinjaScript Strategies with an intrabar granularity