Support Board

Date/Time: Mon, 06 May 2024 13:09:43 +0000

Post From: Sierra Support: Too much difference between back-tested and live results

[2020-09-10 22:36:00] Link To Thread - Link To Post [Go To First Post]
bradh - Posts: 854
One important thing to consider with live vs. replay is the latency (ping time) between you and the exchange. In live trading (or live sim) you get a delay seeing the data, and another delay sending your order. The price has had 2 x the delay time to move from where you think it is. In Replay, there is no delay seeing the data, as it is being played back from a file. When you see it price hasn't moved yet. When you submit your order, the simulated exchange in Sierra responds as fast as it can, consistently. (Unless there is some deliberate delay programmed into the simulator, but I don't think there is one.) Since replay doesn't simulate your actual round trip delay to the exchange, you are subject to more slippage. Using limit orders instead of market orders can help the predictability of your back tests, as the are on the server at the exchange.