ProOrder live entries differ from backtest entries…..

Hi everyone,

First of all for complete transparency I inform the forum that the script has been written with the help and collaboration of AI.

I’m looking for some technical help understanding why my ProOrder autotrading entries do not always correspond with the entries produced by the backtest, despite using the same strategy code and parameter settings.

Strategy setup

• Platform: ProRealTime v12
• Instrument: US Tech 100 (DFB)
• Execution timeframe: 10 seconds
• Directional filters: Internally calculated, confirmed 5-minute and 1-minute swing directions must agree.
• Entry logic: A 10-second entry score, EMA-based calculations, spread and slope filters, and a minimum entry-score threshold.
• Parameters: Min1MinEntryScore = 5, MinSpread = 0, MinSlope = 1.
• Risk management: 12-point stop loss and 10-point profit target.
• Trading session tested: 17:00–19:30 on 16 October 2026.

The strategy calculates its own swing directions internally; it does not rely on the chart’s external swing indicator to determine directional alignment.

What I am observing

Some live entries correspond very closely with the backtest, both in timing and price. However, other entries differ substantially in both respects.

For example:

BacktestLive Entry time 17:40:00 Entry price 29,442.6

ProOrderShort Entry time 17:41:30 Entry price 29,422.8

That is a difference of 90 seconds and 19.8 points.

Another example:

BacktestLive entry time18:12:20 Entry price 29,308.3

ProOrderShort entry time18:13:10 Entry price 29,293.6

That is a difference of 50 seconds and 14.7 points.

Other entries match closely, with price differences of less than a point. This is why I am trying to understand what causes the inconsistent behaviour rather than assuming every live entry is different.

What I have checked

• The same strategy code and parameter settings are being used.
• The backtest and live trading cover the same session.
• ProOrder is running the strategy on the 10-second timeframe.
• The 5-minute and 1-minute directional charts show established downward movement around the examples above.
• The ProOrder order list confirms that the live orders were executed, but the order-status information I have accessed does not identify when the strategy’s entry conditions first became true.

My questions

1. Can ProOrder evaluate a multi-timeframe strategy differently from the backtest, even when the same code, settings and execution timeframe are used?
2. Could the interaction between TIMEFRAME(..., UPDATEONCLOSE), the internally calculated swing states and the 10-second execution timeframe cause the live strategy to recognise an entry later than the backtest?
3. Are there differences in historical initialisation, bar synchronisation or strategy evaluation that could explain why some entries match closely while others occur one or more bars later?

I can provide the complete strategy code if required…

My objective is to identify the technical reason for the discrepancy so that live ProOrder can reproduce the intended backtest behaviour as faithfully as possible. I would prefer to establish the cause before changing the strategy logic or parameters.

Thanks in advance for any guidance.