Tick difference Live vs Backtest on Continuum

[PN720]

Hey guys -

Can you help clarify if there should be a difference in how tick data is presented when trading Live vs Backtesting for the same day from the same data provider (i.e. Continuum)? I'm trying to reconcile what I saw today while Live Trading vs Backtesting the same day.
I saw different bars in different places so it's a little frustrating when I'm trying to run a strategy and then backtesting the same day with the same settings and getting different results.

[NinjaTrader_Jim]

Hello PN720,

Thanks for your message.

There are a few discrepancies that can be noted between historical and realtime data.

Oder Fills
Backtesting will simulate order fills using historical OHLC data for the bar that you are backtesting against and will not be the same fills than when testing live. Using High Order Fill Resolution with a 1 tick data series or adding your own 1 tick data series to submit orders against can help with more accurate fills.

Calculated signals for strategies that use Calculate.OnEachTick or Calculate.OnPriceChange
Strategy calculation that is based OnEachTick or OnPriceChange also will not yield the same signals unless Tick Replay is used. Tick Replay does not simulate order fills with greater accuracy, though. Greater fill accuracy will need to be done through one of the above methods.

BarsTypes
Bar generation may be different with historical and realtime data as well. For example, Renko Bars are not reliable for backtesting because they redraw the open based on the direction of the bar. This is not simulated with historical data. Heiken Ashi Bars also generate differences due to rounding that happens with each tick with realtime or only with historical data points. A Heiken Ashi indicator could be used for more consistent backtesting and realtime results here. Using Market Replay data in the Playback Connection can also mimic realtime data and can be used to test the strategy.

I've included some resources for further reading below.

Discrepancies between Realtime and Backtest (Important Read!) - https://ninjatrader.com/support/help...ime_vs_bac.htm

How bars are built - https://ninjatrader.com/support/help..._are_built.htm

Playback Connection - https://ninjatrader.com/support/help...connection.htm

Historical Fill Processing/High Order Fill Resolution - https://ninjatrader.com/support/help...ical_fill_.htm

Backtesting with intrabar granularity - https://ninjatrader.com/support/help...ipt_strate.htm

Please let us know if you have any additional questions.