Simulated v. Real time (actual)

Discussion in 'Strategy Building' started by trader07, Dec 20, 2012.

  1. 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:
     
  2. For a while....

    There is no way for you so far.Simulated-real-blow up;simulated-real-blow up;simulated-real-blow up;simulated-real-blow up;simulated-real-blow up;simulated-real-blow up;simulated-real-blow up…………repeat it dozens of times and you'll probably debug it.
     
  3. Huh?




     
  4. Backtesting is different from simulated trading... which are you referring to? Do you want to "debug" viz a viz backtesting or sim trading?
     
  5. Simulated real time. I sent emails to NT because their doc says they used an algorithm but it doesn't explain the algorithm. My strategy looks at bid/ask levels and volume which work well simulated real time (based on NT simulation algorithm) but not live/actual real time. I would think the algorithm would mimic the exchange's FIFO (this is futures trading--CME Globex).




     
  6. OK. What sort of entry and exit orders are used? market ... limit ...
     
  7. Limit


     
  8. if you use limit order, in ninjatrader, i guess when the price touch the limit, you will be filled. but in reality, your limit order in real market is in a queue, most of times you will only be filled when the price trades pass your limit level at least.

    if your strategy profit per trade is only 1-2 cents, that simulation will mot be sufficient to reflect reality.

     
  9. if you use limit order, in ninjatrader, i guess when the price touches the limit, your order will be filled. but in reality, your limit order in real market is in a queue, most of times you will only be filled when the price trades pass your limit level.

    if your strategy profit per trade is only 1-2 cents, then simulation is of easy fill with 1 cent advantage will change the result.
     
  10. I don't think the NT Sim account algorithm is trade when limit price is touched because I've watched this and I often don't get filled when it touches. My hope is that it would be similar to exchange, FIFO but that doesn't seem to be the case. Or, it's just a matter of being picked off, conspiracy, targeted, they know where you are etc. BTW, not stocks so not cents, futures so ticks ($12.50/tick).


     
    #10     Dec 20, 2012