Hello imonlysleeping,
Thank you for your patience.
Testing in Market Replay with tick replay off will yield results that should be fairly similar to real-time live brokerage trading. As Bruce has mentioned, in real-time live brokerage trading, order fills are determined by your broker/the exchange based on market dynamics. Although these dynamics may not necessarily be simulated, testing on Market Replay is based on incoming market data and volume and your fills may be better or worse depending on ask price, bid price, and volume. This page that has been shared previously breaks down backtest vs. Market Replay/Playback vs. real-time live trading in the sections for "Getting Filled on an Order" and "The Fill Price of Orders"
Market Replay/Playback is the most similar to real-time live brokerage trading without having to run a backtest on more granular data by way of high order fill resolution or programmatically processing orders on a more granular data series.
A single tick data series has been mentioned, and this use case would apply to NinjaTrader's historical fill processing which is applied to a backtest such as the Strategy Analyzer or historical processing that is done to calculate entry and exit executions to determine a strategy position at the point the strategy reaches real-time. If you were looking to get more accurate Strategy Analyzer or historical results from a strategy, then you could get intrabar granularity by adding a 1-tick data series to your strategy and submitting orders to the added series as demonstrated in this reference sample:
Thank you for your time and please don't hesitate to reach out with any additional questions or concerns.
Thank you for your patience.
Testing in Market Replay with tick replay off will yield results that should be fairly similar to real-time live brokerage trading. As Bruce has mentioned, in real-time live brokerage trading, order fills are determined by your broker/the exchange based on market dynamics. Although these dynamics may not necessarily be simulated, testing on Market Replay is based on incoming market data and volume and your fills may be better or worse depending on ask price, bid price, and volume. This page that has been shared previously breaks down backtest vs. Market Replay/Playback vs. real-time live trading in the sections for "Getting Filled on an Order" and "The Fill Price of Orders"
Market Replay/Playback is the most similar to real-time live brokerage trading without having to run a backtest on more granular data by way of high order fill resolution or programmatically processing orders on a more granular data series.
A single tick data series has been mentioned, and this use case would apply to NinjaTrader's historical fill processing which is applied to a backtest such as the Strategy Analyzer or historical processing that is done to calculate entry and exit executions to determine a strategy position at the point the strategy reaches real-time. If you were looking to get more accurate Strategy Analyzer or historical results from a strategy, then you could get intrabar granularity by adding a 1-tick data series to your strategy and submitting orders to the added series as demonstrated in this reference sample:
Thank you for your time and please don't hesitate to reach out with any additional questions or concerns.
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