Simulated v. Real time (actual)

Quote from trader07:

I have been simulated trading in Ninja Trader for a while. I had a good strategy that makes $ based on order flow. I went to trade it real time (actual $) and it blew up. Is simulated so much different from actual that simulated can't be acted upon? I mean what's the point of back-testing or simulated trading when it gives a false sense of trading? Is the order flow from actual/live trades that different from simulation? How can I debug why my live trading blew up compared to simulation based on order flow? Thanks.

:confused: :( :mad:
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When you say 'simulated trading' - how specifically did you simulate?
The ninja built in simulator?
ninja backtest/optimize/walk forward?
market replay?

Each of these are different
:)
 
This has already been answered. Read the thread.

Quote from mgabriel01:

When you say 'simulated trading' - how specifically did you simulate?
The ninja built in simulator?
ninja backtest/optimize/walk forward?
market replay?

Each of these are different
:)
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sorry about the blow up. i think it's like poker....the entire objective is to get you to fund an account. then make money off your commissions, and hopefully you don't blow up too soon.

maybe sue them for having such a flawed sim platform, if it does indeed say things that are inaccurate. but i bet they covered their behind.

no different than me telling you how to make millions, but with no guarantees. you give me 10,000, i teach you nothing, and you blow up. well, someone made money.......me.

the game is rigged!!!

imagine if you worked for a big firm and controlled billions....you would have the power.

now you are just the sheep.
 
Quote from dom993:
In my experience, the IB simulated account ensures price has to trade through a LMT before being filled, it also ensures the fill price is equal to the LMT price...
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Won't NT's "default" setting on fills (as opposed to "liberal") give you the same behaviour?

Quote from dom993:
... it never gives a fill on a STP order better than the STP value (even though, this can happen in real life, but so rarely it is just better to provide a fill with zero or negative slippage...
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Aren't stop order fills governed by the "slippage" parameter? i.e. it's in the hands of the tester to determine what behaviour he/she wants ...

Quote from dom993:
... the latency to the IB simulation server models whatever latency I get to the exchange (through the IB servers anyway) much better than Ninja alone can do...
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Yes, that's a good point; IB sim account will be a good simulator of a live IB account. Perhaps the principle applies whatever broker you use, i.e. a MB Trading sim account is best simulator of a MB Trading live account, etc ... i.e. the point is that the NT algorithm can not realistically represent all possible environments ...

Quote from dom993:
... Ninja Sim101/MarketReplay fill engine has major flaws, I have seen it give positive slippage intraday on LMT orders (up to 10-ticks - ha!), its fills on STP orders have plenty of positive slippage too, and contrary to backtesting there is no way "fix" these issues (for backtesting purpose I wrote my own "BetterThanDefault" fill-type).
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Yes, I have seen this too. There is no substitute for detailed observation of what's happening. Automated does not equal unattended.
 
Quote from abattia:

Won't NT's "default" setting on fills (as opposed to "liberal") give you the same behaviour?
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Unfortunately not, Liberal or Default or whatever just applies to the backtest fill-type, Sim101 & MarketReplay are totally different and cannot be changed/fixed.

Quote from abattia:

Aren't stop order fills governed by the "slippage" parameter? i.e. it's in the hands of the tester to determine what behaviour he/she wants ...

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For backtest, the Default fill-type is not even able to guarantee the slippage requested: this needs to be fixed by each trader (I have a "BetterThanDefault" fill-type for that very reason).

Sim101 & MarketReplay are doing their own independent & wrong fills - of course in a slow market, their fills are correct, but not so in fast-market conditions (any news release, even a simple stop-gunning can lead to fantasy fills).


All that being said, I trade live automated systems on Ninja and get pretty much exact replication of their live performance when backtesting them (only slippage does vary). I am not bashing Ninja, just reporting my own experience with it and what it takes to work around its issues.
 
Yes, I am concerned that the game is rigged! I don't mind a fair playing field, I can compete in that. But if the "game is rigged" and my trades are being falsely represented (or rigged) I do have a problem with that.


Quote from BlueTurtle:

sorry about the blow up. i think it's like poker....the entire objective is to get you to fund an account. then make money off your commissions, and hopefully you don't blow up too soon.

maybe sue them for having such a flawed sim platform, if it does indeed say things that are inaccurate. but i bet they covered their behind.

no different than me telling you how to make millions, but with no guarantees. you give me 10,000, i teach you nothing, and you blow up. well, someone made money.......me.

the game is rigged!!!

imagine if you worked for a big firm and controlled billions....you would have the power.

now you are just the sheep.
More...
 
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