TickReplay seems super slow and not so reliable.
Here, my strategy doesn’t exit on close when set to tick replay, is this expected?
That’s correct. With TickReplay, the automatic ExitOnSessionClose does not work in backtesting, so you would need to implement it yourself.
ok, I’ve done that now.
I’m also getting weird entries. Like here, in real time and market replay. (OPC) The entry is exactly at the break of the green box. But in TickReplay, it’s at the open of the candle that broke the box high:
The logic is very simple:
if High[0] > BoxHigh (go long)
So I don’t get it. Maybe my understand of tick replay is wrong but it’s quite frustrating to work with.
Have you tried with “High Fill Resolution” ?
The official documentation states:
Limitations of Tick Replay on Backtests
Tick Replay is not intended to function in NinjaScript strategy backtests and will not provide the same results as running a strategy on live data with Tick Replay enabled. For greater order-fill resolution in strategy backtests, you can use the High Fill Resolution in the Strategy Analyzer.
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