Strategy executes differntly backtest vs live

[latkinso]

Hi from Oklahoma

A strategy that performs correctly in backtest is
not executing correctly in realtime.

Could there be a simple explanation for this?

Thanks

Lynn

[NinjaTrader_Ray]

This link may provide some guidance.

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

[latkinso]

Strategy Execution

Hi Ray

It is not the difference in fills, it is difference in quantity
Strategy is designed to execute Long 1a, long 1b, and
long 1c, and take them off at various tgts.

Sim execution on live data only executes 1 lot.

A bit strange

Lynn

[NinjaTrader_JoshP]

Have you hardcoded in the quantity to be traded or are you using DefaultQuantity? I believe this setting is modifiable when you are starting the strategy.

[justmake]

Strategy executes differntly backtest vs live

Hello,

I also encounter the same problem with a double down strategy.In the strategy, I double my positions when price drops furthur from the first entry..etc.

In backtesting, the results looks normal. , Sell order Qty=Buy order Qty

But when I test in real-time, the is an error in quantity of order.(see screenshot), Sell order changes when the last Sell order was placed.

any answer for this difference in backtest and live?

[NinjaTrader_JoshP]

You will need to debug your strategy with TraceOrders to see what it is doing. From what I can tell I am guessing you may be amending your order which is why it is increasing like that. Another possible area to investigate would be how your two long orders went through and if it has any impact on your exit orders.

[justmake]

Strategy executes differntly backtest vs live

Hello,Josh,

After seeing Output window, I do see "Amending matching order:Action..."
in the output which changes the orginal Sell limit order to Wrong QTY.

Because this problem didn't happen in backtesting, how should I solve this problem? Should I change the method for placing the Sell limit order?

thanks.

[NinjaTrader_Ray]

For clarification -

Is this a sell order that was triggered by SetProfitTarget() ?