Difference in results when backfilling with TDA versus IB

[siroki]

Hi,

I've been noticing differences in order execution when running Market Replay and Strategy Analyzer. I have ran market replay and strategy analyzer and put the values into the output window and analyzed them. I found out that there are differences in the Opening and Closing values between MR and SA of certain bars.

Example:

On stock YELP 3/28/2014 2:41, the Interactive Brokers backfill gives a closing price of 77.88. But the Market Replay data gives a closing price of 78.01. I don't know which one is the correct one.

How is this possible? Does Interactive Brokers filter / fix up some things at the end of the day? Because if this is so, then the historical backfill is completely useless for backtesting intraday strategies.

Thanks

[NinjaTrader_CalH]

Hello Siroki,

Thank you for your note.

It is expected to have these results with different data especially between different data feeds.

The historical data can be adjusted by the data provider if there was say a tick of bad data or adjusting it accordingly per their systems.

Secondly marker replay is recorded as live data and replayed as such.

http://www.ninjatrader.com/support/h..._are_built.htm
http://www.ninjatrader.com/support/h...ime_vs_bac.htm