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So my question is, is there any data feed out there that is identical Live and backfilled (with of course a few exceptions like tick cleanup)?
Its almost impossible to write a system using Historical data knowing that Live is different and vice versa, anyone else in the same boat?
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You will probably get more answers if you could please post a chart of live vs historical data and the chart/testing platform with one or two volume indicators. Volume data integrity is one of those dirty little secrets in data feeds. It is like making, or God forbid, eating sausages, you don't want to know how they make it
; but I guess you gotta know.
In the end, you may have to try different feeds until you find one that works with your strategy. I am guessing you are using NT, you may find Zenfire a good datafeed for your purpose.