Support Board
Date/Time: Sat, 07 Feb 2026 03:14:51 +0000
Large fill price difference between Live and Sim system running in real-time
View Count: 21
| [2026-02-06 15:57:23] |
| User37462 - Posts: 33 |
|
Hello, I am investigating a major discrepancy between fills in two instances of the same automated trading system: System 1: Live trading (Teton CME routing) System 2: Simulated trading (Trade Simulation Mode ON), but running in real-time on live market data Same symbol, Same chart,Same study/ACSIL system,Same entry signal at the same moment However, the fill prices are completely different, and surprisingly the Sim system fill matches much better with what the backtest shows. I need to understand what causes such a large difference in execution timing and fill price. Instrument MES (Micro E-mini S&P), CME Symbol in log: Live: MESH26_FUT_CME Sim: [Sim]MESH26-CME Critical Log Comparison 🟢 LIVE SYSTEM (Teton Routing) ActivityType: Fills DateTime: 2026-02-05 08:32:44.319608 TransDateTime: 2026-02-05 08:32:44.136000 Symbol: MESH26_FUT_CME OrderType: Market BuySell: Sell FillPrice: 6846.25 OrderActionSource: Teton CME Routing (Filled). Info: CME (Trade)... FillExecutionServiceID: 6872049273456_2026-02-05_174800_42003800 🟡 SIM SYSTEM (Real-time simulation) ActivityType: Fills DateTime: 2026-02-05 08:32:44.596993 TransDateTime: 2026-02-05 08:32:44.596940 Symbol: [Sim]MESH26-CME OrderType: Market BuySell: Sell FillPrice: 6836.00 OrderActionSource: Trade simulation fill. Bid: 6836.00 Ask: 6836.00 When I do Replay on sim - fills are at correct price and correct time (42 earlier than it was during live seesion): DateTime: 2026-02-05 08:32:02.000004 FillPrice: 6835.50 Date Time Of Last Edit: 2026-02-06 16:05:17
|
| [2026-02-06 17:01:57] |
| John - SC Support - Posts: 44494 |
|
The first thing is for you to understand how fills are done in Simulation Mode. Refer to the following: Trade Simulation: How Orders are Filled As for the fills with a live trading account, it is going to be what it is. You would have to work with the exchange to understand why your particular order filled at a specific price. You also reference "backtest" in the statement "the Sim system fill matches much better with what the backtest shows". Are you actually comparing to a live trade or to backtesting? Refer to the following regarding backtesting: Auto Trade System Back Testing: Differences Between Back Testing and Real-Time Auto Trade System Evaluation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
To post a message in this thread, you need to log in with your Sierra Chart account: