Different entry points when using live sim vs market replay

[techbid]

Hello, I'm trying to backtest a strategy and I got different entry points when doing live sim using rithmic connection via Topstep. This really threw me off as my pnl results were differnt.
When I did market replay I got different entry points. Strategy is doing market order.
On market replay, I tried both ways to get the data
1. Connection set to Topstep and then downloading the market replay data for mnq jun 25 for 2025-03-19
2. Connection set to Playback and downloading market replay data

Both sets of data yielded same result when doing market replay.
The strategy logic put a market order short at 19799.5
It filled me at 19795.5


The live sim filled me at 19798.75 vs market replay at 19795.5 (strategy fired market short at 19799.5)

Here's some output I got for the marketreplay

#2025-03-19 10.54 MNQ

marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19800 volume=1 time='2025-03-19 10:54:04 AM' bid=19800 ask=19800.25 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.75 volume=2 time='2025-03-19 10:54:04 AM' bid=19799.75 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.75 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.75 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.75 volume=5 time='2025-03-19 10:54:04 AM' bid=19799.75 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.75 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.75 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.75 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.75 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.75 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.75 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.75 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.75 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.75 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.75 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.75 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.75 ask=19800 isReset=False
onorderupdate:orderId='555908ca01a64dae8dfe5475d39a7cb2' account='Playback101' name='S' orderState=Submitted instrument='MNQ JUN25' orderAction=SellShort orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=42163 time='2025-03-19 10:54:05' gtd='2099-12-01' statementDate='2025-03-19'
onorderupdate:orderId='555908ca01a64dae8dfe5475d39a7cb2' account='Playback101' name='S' orderState=Accepted instrument='MNQ JUN25' orderAction=SellShort orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=42163 time='2025-03-19 10:54:05' gtd='2099-12-01' statementDate='2025-03-19'
onorderupdate:orderId='555908ca01a64dae8dfe5475d39a7cb2' account='Playback101' name='S' orderState=Working instrument='MNQ JUN25' orderAction=SellShort orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=42163 time='2025-03-19 10:54:05' gtd='2099-12-01' statementDate='2025-03-19'
onorderupdate:orderId='555908ca01a64dae8dfe5475d39a7cb2' account='Playback101' name='S' orderState=Filled instrument='MNQ JUN25' orderAction=SellShort orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=1 averageFillPrice=19795.5 onBehalfOf='' id=42163 time='2025-03-19 10:54:05' gtd='2099-12-01' statementDate='2025-03-19'
onorderupdate:orderId='5afc5f69bdfc4a78b1847a27705a67dd' account='Playback101' name='Stop loss' orderState=Submitted instrument='MNQ JUN25' orderAction=BuyToCover orderType='Stop Market' limitPrice=0 stopPrice=19815.5 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=42164 time='2025-03-19 10:54:05' gtd='2099-12-01' statementDate='2025-03-19'
onorderupdate:orderId='5afc5f69bdfc4a78b1847a27705a67dd' account='Playback101' name='Stop loss' orderState=Accepted instrument='MNQ JUN25' orderAction=BuyToCover orderType='Stop Market' limitPrice=0 stopPrice=19815.5 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=42164 time='2025-03-19 10:54:05' gtd='2099-12-01' statementDate='2025-03-19'
onorderupdate:orderId='364399b5a989479cbdacc951dbc38a23' account='Playback101' name='Profit target' orderState=Submitted instrument='MNQ JUN25' orderAction=BuyToCover orderType='Limit' limitPrice=19783.25 stopPrice=0 quantity=1 tif=Gtc oco='00c4b5ccb8be442eafc382e91d1eb401' filled=0 averageFillPrice=0 onBehalfOf='' id=42165 time='2025-03-19 10:54:05' gtd='2099-12-01' statementDate='2025-03-19'
onorderupdate:orderId='364399b5a989479cbdacc951dbc38a23' account='Playback101' name='Profit target' orderState=Accepted instrument='MNQ JUN25' orderAction=BuyToCover orderType='Limit' limitPrice=19783.25 stopPrice=0 quantity=1 tif=Gtc oco='00c4b5ccb8be442eafc382e91d1eb401' filled=0 averageFillPrice=0 onBehalfOf='' id=42165 time='2025-03-19 10:54:05' gtd='2099-12-01' statementDate='2025-03-19'
onorderupdate:orderId='364399b5a989479cbdacc951dbc38a23' account='Playback101' name='Profit target' orderState=Working instrument='MNQ JUN25' orderAction=BuyToCover orderType='Limit' limitPrice=19783.25 stopPrice=0 quantity=1 tif=Gtc oco='00c4b5ccb8be442eafc382e91d1eb401' filled=0 averageFillPrice=0 onBehalfOf='' id=42165 time='2025-03-19 10:54:05' gtd='2099-12-01' statementDate='2025-03-19'
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.5 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.5 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.5 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.5 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.5 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.5 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.5 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.5 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.5 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.5 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.5 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.5 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.5 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.5 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.25 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.25 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.25 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.25 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.25 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.25 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.25 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.25 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.25 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.25 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19799.25 volume=1 time='2025-03-19 10:54:04 AM' bid=19799.25 ask=19800 isReset=False
marketDataUpdateinstrument='MNQ JUN25 Globex' type=Last price=19​

As you can see the print output, the price was at 19799.75
then the order filled at 19795.5
and the next tick shows price at 19799.5 again


I would like to do backtesting using zero slippage. To get similar scenario I just created a basic strategy logic

that if price is within range, then take short

To emulate this scenario use market replay for mnq 2025-03-19

PriceRangeStart = 19799.5;
PriceRangeEnd = 19787.25;

bool inPriceRange = currentPrice <= PriceRangeStart && currentPrice >= PriceRangeEnd;
if (inPriceRange)
            {
                if (Position.MarketPosition == MarketPosition.Flat)
                {
                    EnterShort();
                    SetProfitTarget(CalculationMode.Ticks, ProfitTicks);
                    SetStopLoss(CalculationMode.Ticks, StopLossTicks);
                }
            }​

[techbid]

Any inputs?

[NinjaTrader_ChelseaB]

Hello techbid,

Below is a link to a support article on comparing strategy results which details what causes differences and includes a video and sample strategy that demonstrates writing information to file to compare and find what specifically is causing differences.

https://support.ninjatrader.com/s/article/Developer-Guide-Comparing-Strategy-Results

Note, the stop losses and profit targets would not fill intra-bar in historical and will fill with end-of-bar data. This will cause differences.
Intra-bar granularity with Exit orders would be necessary for this to fill accurately in historical.