Strategy Deployment 🚀

Preparing for Live Trading

Moving a strategy from backtesting to live trading is one of the most critical transitions in algorithmic trading. A strategy that looks profitable on historical data can behave very differently in real-time markets. Understanding the key differences and preparing systematically will save you from costly surprises.

What Changes Between Backtesting and Live

In backtesting, every bar is already complete when your script runs. You know the open, high, low, and close before making any decisions. In live trading, the current bar is still forming. Your script re-executes on every tick, and signals can appear and disappear before the bar closes. This is called repainting, and it is the single most common source of disappointment when deploying strategies.

Other critical differences include:

• Fill assumptions: Backtests assume your orders fill at the exact price you specify. Live markets involve slippage, partial fills, and order queue priority.
• Latency: There is a delay between signal generation and order execution. On volatile instruments, prices can move significantly in that window.
• Data feed differences: Historical data is cleaned and adjusted. Live data can have gaps, bad ticks, and feed interruptions.
• Commission and fees: Even if you model commission in backtests, real-world fees (exchange fees, ECN rebates, regulatory fees) are more nuanced.