Strategy Desk Users' Group

[Tony G]

Yes I know exactly what your issue is. In real-time "live" trading, I have found that it only takes 1-2 seconds once your condition is met for Strategy desk to trigger and fire a trade.

If you are using a strategy that uses the current bar, such as Bar[Close,D] that value changes every second (or less) throughout the day as trades are taking place. But on a backtest scan, it will only look at the closing price of each Daily bar. So...if your condition was met sometime during the day, but was NOT true at the 4pm end of the day, it WILL trigger in live trading but NOT in backtesting. Does that make sense?

To have your backtest better represent live trading, check the box under the Backtesting dates that says "Test every 1 minute bar inside the interval bar" This will take alot longer, but will give you a better idea how your strategy would really work Live. It will check every 1 minute in your date range to see if your condition is met, without changing your formulas. It's not as perfect as testing every second, but I've found that it's good enough.