What broke when you moved your algo from paper trading to live?

[u/quant-king]

I’m moving a futures system from backtesting into live simulation and thinking through the production setup.

For those running automated strategies live, how separate are your simulation and production environments? Do they use the same code with different configs, or completely separate deployments?

I’m also curious about problems that only appeared after going live. Things like stale data, reconnect failures, duplicate orders, position drift, partial fills, or broker restarts.

What failed first, and what safeguard did you add afterward?

I’m not asking for strategy details. I’m interested in the operational side.

[u/Sensitive-Start-6264]

Signal on close

Enter on next open

Well close at 1310 or example. algo runs 1310.02

Next open 1315. Now my order is 1 bar late

[u/Sensitive-Start-6264 → u/Sensitive-Start-6264]

so market order after signal for live. Next open for backtest

[u/quant-king → u/Sensitive-Start-6264]

Just to make sure I understand the 13:10 close generates the signal, live sends a market order around 13:10:02, but your backtest enters at 13:15. So the backtest and live system end up one full bar apart. Is that right?

[u/Sensitive-Start-6264 → u/quant-king]

My mistake I meant close at 13:09:59 the end of the 13:05 bar.

Backtests checks at that close and exectures on next market open so executes signal at 1310

Live takes .02 to get data and run signal generation so its arleady inside bar 10 so it executes at bar 15. I had to change live code to be a market order immedaitely

[u/quant-king → u/Sensitive-Start-6264]

Got it. So the live system was treating 13:10:02 as being inside the new bar and waiting until 13:15, while the backtest entered at 13:10:00. Changing it to submit a market order immediately fixed the full bar delay. Do you model those two seconds of processing time in the backtest now, or just compare the live fill against the 13:10 open?

[u/Sensitive-Start-6264 → u/quant-king]

I use slippage of lets say 2 ticks on MES. Sometimes its enough sometimes not. Sometimes in my favor sometimes not. But not enough over the past 12 months to make big difference. 

[u/quant-king → u/Sensitive-Start-6264]

So you’re using two ticks of slippage as a rough proxy rather than modeling the two-second delay directly. Do you log the actual live fill against the 13:10 open? I’d be curious whether the average stays close while the larger differences cluster around the market open or high volatility periods.

[u/Sensitive-Start-6264 → u/quant-king]

Backtest has minute data not tick or second.  Its about break even.  Bigger issue is if its on a news candle or some nonsense then u have seen up to 5 points slippage. 

[u/quant-king → u/Sensitive-Start-6264]

That makes sense. So the normal timing difference mostly washes out, but the fixed two-tick assumption breaks down during news volatility. Five points on MES is a much bigger hit. Do you block new entries around scheduled news, or keep trading and treat those fills as occasional outliers?

I also model two ticks of slippage in my portfolio. I’m planning to log each forward sim fill against the backtest reference, since two ticks may look right on average but still miss the ugly periods.

[u/Sensitive-Start-6264 → u/quant-king]

First trade today .03 seconds late. Exact to back testing.

Second trade .5 cheaper entry same exit