Discrepancies between Ninja Trader vs. Interactive Brokers back tests

[szayedoud]

Hi - using the same code, I ran a back test using my NinjaTrader account (CQG account), and ran the same test against my Interactive Brokers account. This test spanned 3 months with 1420 trades. I got astonishing differences in results. NinjaTrader has very positive returns, while Interactive Brokers had negative returns. Also, when I run real time paper trading, using Interactive Brokers, I often get strange indicator values that are definitely not valid. There must be a problem on the Interactive Brokers side. Another, thing is that when I clear out my Historical Data, and re-run the tests, NT takes seconds to retrieve the data, while IB takes 1-2 hours. And, I get much better results when I run IB in "Live Mode". (positive returns, but not as good as NT feed returns) vs "paper trading mode" (negative returns). All in all, I don't know who to believe....

I just want to confirm that my Ninja Trader data feed (my account name ends in ".cqg") comes CQG data provider. Is that where you get the data from and store it on your servers? CQG seems to have a more reliable reputation than Interactive Brokers's data.

[NinjaTrader_RyanS]

Hello,

When using different data feeds you may seem discrepancies as each data provider handles their data differently. Interactive Brokers filters data and does not provide historical tick data, which may explain some of the discrepancies depending on your strategy's inputs.

If using NinjaTrader data, this data is unfiltered data from the exchange containing Historical Bid/Ask Tick Data where IB does not, so if using tick data in your strategy this may skew results quite a bit.

A .cqg connection is using the historical data on our servers that is recorded from CQG data.

[szayedoud]

I am not using tick data. My tests (both live and historical) use Standard Resolution and run on the 1 min data series. I also use 30 min series for analysis on indicators but trade against 1 minute series. I understand that various brokerage use varying data sources. I think my issue is with Interactive Brokers, and I've eliminated any fault from the NT side.

Thanks,
Sam