Consistency between tick data and backtesing execution prices

[jakjak74]

Hi
I have a free access to FXCM and used the data they provide to backtest a strategy.

NT gives me access to the list of trades when I do the backtest. At the same time using the data manageer I have extracted the tick data of the corresponding asset. I need to do some statistical analysis but I observe an issue:

The backtested trade execution times and price are not consistent at all with the tick data (difference above the bid-ask spread).

For example

I have a trade executed (given by the backtesting tool) Long at 1.61556 on 2016/01/04 10:14:32

And below is my tick data extracted from the data manager

2016/01/04 10:14:30; 1.61329;1
2016/01/04 10:14:32; 1.61335;6
2016/01/04 10:14:32; 1.61333;3
2016/01/04 10:14:33; 1.61334;2
2016/01/04 10:14:38; 1.61332;3
2016/01/04 10:14:39; 1.6133;1

This is not matching and is above the bid-ask spread.

I attached a graphic showing this discrepancies. It seems actually the backtesting trade execution times have a small time delay compared to the tick data. The delay by the way seems to be 1 hour.

So several question:

Is this a known problem to which I am not familiar?
Is the market data used by NT for backtesting consistent with the tick data we can export from data manager?
If yes, does the backtest execution trade time is the local time of my machine and the tick data use GMT time?
Do you recommend buying tick market data, and if yes how can we make backtesing data are consistent with the tick data?

Thanks for the help

[NinjaTrader_Jesse]

Hello,

Thank you for the post.

It is expected there are differences between Live trading and Backtesting in Historical data specifically. As historical data is being used in the backtest, no Intrabar granularity is available unless you are specifically adding a 1 tick series and utilizing that for logic. Additionally for Forex instruments specifically the platform will utilize the Bid prices unless the ask is otherwise specified and that would be used instead. There can also be differences in volume seen based on who the data provider is which could also lead to differences seen.

You can locate further descriptions on this topic here: http://ninjatrader.com/support/helpG...htsub=backtest

I look forward to being of further assistance.