How things are setup:
1. Strategy uses tick replay and Onmarket Data
2. Before implementation of trailstop, convergence was nearly 100%.
3. The strategy trades both long and short on 1 instrument (futures)
4. Tick is not my primary data series (but is included in the ninjascript) and runs perfectly otherwise
So I set the values for trail stop in ticks as recommended. It's done statically (so I do it in State.Configure as recommended). I technically do a SetTrailStop in relation to BOTH directions (long + short) separately but both are set to the same value. I only do this separate assignment to set IsSimulated to True (seems there is no other way)
Questions:
A. My opening orders are limits. But is it correct that the SetTrailStop are computed off the filled price?
B. I don't currently subscribe to marketdepth data. Is this problematic? I presumed there was no NT native marketdepth data for TickReplay but am wondering if somehow the orderbook has something to do with this phenomena?
C I do not see a difference when IsSimulated is True or False... Not sure if that is a problem or not?
All this points to the fact that there is some discrepancy between backtest and real time.. I can't quite trace it back. I have tried to model slippage into this at varying levels and don't seem to have any good convergence... is there anything I've missed with the implemenation of Trailstop?
Thanks!
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