The trade executions times are in sync about 95% of the time, which is acceptable. However, the back testing on both systems is a night and day difference. In backtesting on TradeStation, 70% of the time, the fills are unfavorable and off by 2-3 points NOT ticks. On TS, the Net Profit is always negative and the Equity Line is downward sloping, but on NT it is profitable with a positive equity line.
I am hoping this observation can ring a bell about a solution:
When running forward testing with real time data on both platforms at the same time, the PnL either matches to the tick in MOST cases, but sometimes is off by 1-2 ticks. This is acceptable and realistic. That tells me that both TS and NT are getting close fills during real time. But the question is - if real time has close fills, why are the historical back test fills so drastically different?
I am hoping this is a configuration issue or something small that I am missing.
Thanks in advance.
Comment