Support Board

Date/Time: Thu, 02 May 2024 03:56:08 +0000

Post From: Calculate at Every Tick/Trade Replay Mode doesn't replay on every trade

[2018-05-07 14:38:48] Link To Thread - Link To Post [Go To First Post]
User287992 - Posts: 51
We have noticed during our backtesting that Calculate at Every Tick/Trade Replay Mode is providing same (for us incorrect) results as Accurate Trading System Back Test Mode with high replay speed. Incorrect results are caused by skipped trades on same price. Which means that even though there is a rising volume at the same price (no tick up or down), our strategy is unable to react unless there is a price change. Part of said strategy‘s reaction is based on volume at price and we need to replay with every trade (or at least more often than once per price) which is not provided by any replay mode. Lower speed provides more accurate results but that is not always reliable way to do it Could it possibly be bug in Calculate at Every Tick/Trade replay mode? Or is there a way we can force the replay to calcluate at every trade? We can provide possible screenshots/logs and configuration we are running replays on. Basically the problem is our strategy can not react before there is a price change, which we think is because of sierra limitations. So even though there are data updates (simply measurable by say rising volume), strategy is not updated before there is a price change - which should not be a problem with Calculate at Every Tick/Trade Replay Mode.