Market Replay vs Real-time SIM

[jc.am]

Hello,

I have an automated strategy that is profitable in Market Replay but in real-time SIM (running in a VPS in Chicago) it is not profitable.

What do you recommend me to do?

Regards,
Julio

[NinjaTrader_PaulH]

Hello Julio,

Thanks for your post.

Please check the differences as specified in this document between Playback (with market replay data) and real time trades): https://ninjatrader.com/support/help...ime_vs_bac.htm

I would suggest that you dive down into each trade made real-time and the corresponding trade made in playback to understand what per trade differences there (Entry/exit price and times) are that may help provide context for the overall performance difference you are seeing, relative to the differences advised in the document.

[jc.am]

Hi Paul,

What would be closer to live real trading? Market Replay or real-time SIM?

These last two have a very different behavior.

[NinjaTrader_PaulH]

Hello jc.am,

Thanks for your reply.

Using Real Time data with a simulation account would be closer to live trading.

[morrnel]

In real life we have slippage. Is that correctly simulated in simulated mode or market replay?

[NinjaTrader_PaulH]

Hello morrnel,

Thanks for your post.

In both cases, the simulation engine is used.

From the help guide, "The simulation engine is not a simple algorithm that fills your order once the market trades at your order price. The engine uses a scientific approach to determine fill probability by including a number of variables including: ask/bid volume, trade volume, time (to simulate order queue position), and random time delays for switching between order states."
Reference: https://ninjatrader.com/support/help...simulation.htm

[morrnel]

So the short answer is 'yes'.