Support Board
Date/Time: Fri, 14 Mar 2025 15:01:28 +0000
Post From: Huge difference between replay SIM and live auto trade fills.
| [2025-02-07 11:48:53] |
| User666015 - Posts: 66 |
|
Hi Guys, Hope you're well? I have something that I don't fully understand to do with the differences between replay SIM and live order fills being very different. I understand that they will not be the same, but I cannot account for how different they are, I also understand that this may be normal with what I am trying to do, but any help/guidance would be greatly appreciated. I am running a basic delta based auto trade strategy using Trading System Based on Alert Condition study, which are not set to Evaluate on Bar Close Only - I think this may be where the issue lies, I'm detecting small delta changes and acting quickly on them. I have a VPS in Chicago running one very basic chart at low intervals, I've tried 10,20,30,40ms all with similar results, which are worlds apart from my SIM replays unfortunately. I have attached two screenshots - SimReplay shows a section of chart which has been replayed and LiveOrders shows the same chart but with live orders, on this chart I have highlighted with arrows the trades that were not taken at all in the live environment. I have read: Trade Simulation: Trade Simulation Accuracy and Bid/Ask Prices During Replays and Trade Simulation: How Orders are Filled - but to no avail. I hope this makes sense and I haven't just rambled on, thanks in advance, Bill |
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