Sim101 VS Playback acount

[levikNT]

Hello,

My data market provider for historical and live data is Kinetic.
I ran my strategy with account Sim101 and I also recorded data for playback.
When I ran my strategy with playback I got different results from Sim101 Account why?

According to NT help the Sim101 account contains some logic.
does the playback account contains the same logic?

Sincerely, Kobi

[NinjaTrader_Kate]

Hello levikNT,

Thank you for your note.

You should expect that a strategy running real-time (live brokerage account, live market simulation, in Playback with Market Replay data etc...) will produce different results than the performance results generated during a backtest using historical data in the Strategy Analyzer, or on historical data on a chart. This difference may be more easily seen on certain Bars types (e.g. Point and Figure, Renko) than others due to their inherent nature in bar formation.

During a backtest you can select conservative or liberal fill algorithms which will produce different results. Fills are determined based on 4 data points, OHLC of a bar since that is the only information that is known during a backtest and there will be no intra-bar data. This means actions cannot happen intra-bar, fills cannot happen intra-bar. All prices and actions come from and occur when the bar closes as this is all the information that is known.

Because of this, OnBarUpdate will only update 'On bar close' as it does not have the intra-bar information necessary for 'On price change' or 'On each tick'.

Also, here is a link to the differences on real-time vs backtest (historical).
http://ninjatrader.com/support/helpG...ime_vs_bac.htm

Adding intra-bar granularity can help with this.

Intra-bar granularity adds a second data series such as a 1 tick series so that the strategy has finer granularity in the historical data in between the OHLC of the primary series. This allows for more accurate trades by supplying the correct price at the correct time for the order to fill with.

In NinjaTrader 8, there have been two new enhancements so that programmers do not have to manually add this secondary series and code the script to for high accuracy fills (Order Fill Resolution) and for intra-bar actions (TickReplay).

Here is a link to our forums that goes into depth on using Order Fill Resolution and Tick Replay to ensure your backtests are as close to real time results as possible:

https://ninjatrader.com/support/foru...mance?t=102504

High Fill Order Resolution and TickReplay cannot be used together. If it is necessary to have both, it is still possible to add intra-bar granularity to a script in the code itself for order fill accuracy and use TickReplay to update indicators with Calculate set to OnPriceChange or OnEachTick historically.

Backtesting using the Playback connection with Market Replay data would most accurately reflect how the strategy would behave on live data, as this plays back the ticks in the order they came in.

Please let us know if we may be of further assistance to you.

[levikNT]

Hello Kate W.

Thank you for you response.

Sorry, but I don't understand.my strategy works with level 2 data and 'On each tick'. .
I don't test my strategy running historical data.
I used market replay data and not historical data or back test.
I used live recorded market data. so it should be as I trade in live.

Does Playback account which run using Playback replay data which play the live recorded data( and my strategy works with level 2 data and 'On each tick')
works differently then Sim101 account ?

Does Sim101 account has different algorithm then playback account.?

Sincerely, Kobi

[NinjaTrader_Kate]

Hello levikNT,

Thank you for your reply.

While realtime NinjaTrader is a data-driven platform, the Playback connection must accommodate at least three ways of looking at time :

• The replay framerate that you control with the playback slider
• Market data events at recorded timestamps
• Live updates and refreshing visible UI elements

Every thread running concurrently during playback (such as that which updates per-instrument market data) also comes with its own context as far as update intervals, order of events, etc.

Typically these are in sync. However, because market data updates at random intervals, and things like screen refreshes and playback timer updates happen at more regular intervals, sometimes discrepancies can occur. For example, if you place several trades between 7:02 and 7:03 AM, you may see all of these trades handled at once at 7:03.

So yes, there could be minor differences.

Please let us know if we may be of further assistance to you.

[rocketstock]

Hello levikNT,

Thank you for your reply.

While realtime NinjaTrader is a data-driven platform, the Playback connection must accommodate at least three ways of looking at time :

• The replay framerate that you control with the playback slider
• Market data events at recorded timestamps
• Live updates and refreshing visible UI elements

Every thread running concurrently during playback (such as that which updates per-instrument market data) also comes with its own context as far as update intervals, order of events, etc.

Typically these are in sync. However, because market data updates at random intervals, and things like screen refreshes and playback timer updates happen at more regular intervals, sometimes discrepancies can occur. For example, if you place several trades between 7:02 and 7:03 AM, you may see all of these trades handled at once at 7:03.

So yes, there could be minor differences.

Please let us know if we may be of further assistance to you.

Hi Kate,

Thanks for your help with MES and ES secondary series. Would you have any thoughts on this thread? I don't use backtesting.

market replay and real time not same. kind of a problem. - NinjaTrader Support Forum

1. Are there any specific settings (like you talk about above) for playback and sims that help get one closer to live trading?
2. Which is more accurate playback or sims?
3. Any suggestions you may have? My indicators are out of sync with price in sims. The price volume data that these indicators are based on should ideally move in tandem even if there is a delay.
4. The indicator values at close when startegy is not running in playback or sims are different. They should be same at close?
5. Does replay rate as you note above cause problems if it is max?

Thanks.

[NinjaTrader_Kate]

Hello rocketstock,

Thank you for your reply.

We would ask that if you are already working with a technician on an issue on a forum thread that you continue to work with that technician on the same thread. Adding multiple replies on different threads ties up multiple members of our support team working on essentially the same things. I see you've been working with Chelsea on issues in relation to differences between sim and playback and would ask that you follow up with him on that thread as these questions are in relation to that.

Please let us know if we may be of further assistance to you.

[rocketstock]

Sure. Chelsea is great too. You had additional information/perspectives on your thread. So some questions were regarding that. This is a very confusing issue for many customers since 10 years and there's not really detailed central information posted that gives specific advice on what to use for best results or shows what massaging of data is taking place in either option. Some of it is. Additionally I have also received a bit of contrarian advice. The problem you solved yesterday is an example. I was told one cannot use ES data for MES trade without unlocking the script. link - Startegy run on one instrument but trade another - NinjaTrader Support Forum

Intention is not to disrupt your process. Just information that helps today and maybe someone in future.