Market Replay Gap Simulation: Fixing ES
What if your E-mini S&P 500 strategy looked profitable in a backtest, only to fail miserably in live trading because of unaccounted Market Replay gaps? ...
What if your E-mini S&P 500 strategy looked profitable in a backtest, only to fail miserably in live trading because of unaccounted Market Replay gaps? This silent killer of algorithmic strategies often stems from missing data during non-trading hours or incorrect session configurations in NinjaTrader 8. Many traders assume their historical data is complete, but gaps in the feed can distort entry prices and skew equity curves. When you run a simulation on the ES futures contract, the platform needs to know exactly how to handle the time between the close of the afternoon session and the open of the evening session. Without proper configuration, your strategy might execute orders at impossible prices or skip critical price action entirely. Market Replay gaps occur when the historical data feed lacks continuity between trading sessions. In the context of futures like the E-mini S&P 500 (ES), this usually happens around the 17:00 to 17:15 ET break or over weekends.