Live v Replay results

[Downhillryder]

Hi

Please can you direct me as to the differences between "live simulated trading" and "a replay connected simulated trading". I am testing an ATM strategy and get completely different results when running against live data and replay data. I have reproduced below the first few trades of the same live and replayed session.

I suppose one answer would be that my data provider (ZenFire) packages replay data that doesn't match the live data but apart from a tick/tick comparison it's going to be hard to prove that.

Thanks for any help

Live transactions :-

GC 12-12Buy11788.804/10/2012 14:43Entry1LGC 12-12Sell11789.104/10/2012 14:45Exit-GC 12-12Buy11789.204/10/2012 14:45Entry1LGC 12-12Sell11789.504/10/2012 14:52Exit-GC 12-12Sell11793.004/10/2012 15:11Entry1SGC 12-12Buy11794.004/10/2012 15:11Exit-GC 12-12Buy11794.004/10/2012 15:17Entry1LGC 12-12Sell11793.304/10/2012 15:17Exit-

Replay transactions

GC 12-12Buy11789.604/10/2012 14:44Entry1LGC 12-12Sell11789.704/10/2012 14:44Exit-GC 12-12Buy11791.404/10/2012 15:00Entry1LGC 12-12Sell11791.304/10/2012 15:00Exit-GC 12-12Buy11790.604/10/2012 15:00Entry1LGC 12-12Sell11790.504/10/2012 15:00Exit-

[NinjaTrader_Joydeep]

Hello Downhillryder,
I can see that the entry exit times for the orders are different. To assists you further may I know are you running an ATM NinjaScript strategy or a ATM strategy template (orders submitted manually).

[Downhillryder]

Hi

It's an ATM NinjaScript strategy.

regards

[NinjaTrader_Joydeep]

Hello Downhillryder,
Thanks for the confirmation.

Besides different data sets between replay and live data as you rightly pointed out, results can vary due to other factors like:

The strategy may be started at different data points which can results into different entry exit points.

In market replay delays are not taken into account for simulator fills. Please refer to our help guide to know more.

http://www.ninjatrader.com/support/helpGuides/nt7/simulator_tab.htm