Market Replay Backtesting

[NinjaTrader_Dierk]

>> If I submit an order cancellation request the OnOrderUpdate() method is invoked and the OrderState is changed to PendingCancel. Yes?
yes

>> Then if that order is completely filled at the exchange (before the cancellation arrives) the exchange generates an order completion report. NT receives and processes that report and invokes the OnOrderUpdate() method and the OrderState is changed to Filled. Yes?
yes

>> Then the exchange will receive the cancellation request and generate an order cancellation rejected report. NT receives and processes that report.
no. Please see below: there is NO way back from .Filled no matter if the actual broker would report something after .Filled or not (I would not recall any broker which actually would send anything after .Filled, not talking about busted trades which are NOT handled by NT). Again: you will NOT see ANY event after order state is .Filled (same for .Cancelled and .Rejected as all 3 are terminal (!) order states). Please do not confuse the error code with the actual order state.

Hope this clarifies the confusion.

[ScoobyStoo]

Thanks Dierk.

This is the information I needed.

On a separate topic. I am trying to run my strategy against Market Replay data that was imported from NT6.5 into NT7 when NT7 was installed but am having problems. The transaction data is replayed correctly in the T&S window but is not replayed correctly in the DOM window and no data displays at all in a chart.

Data recorded using NT7 seems to be fine though.

Any ideas? Are the MD file formats different in NT6.5 and NT7? Could the data have been corrupted in the migration?

[NinjaTrader_JoshP]

They are different, but they should work. Please try checking your session template on the chart. Please also try bringing those replay files over again from 6.5 from the Documents\NinjaTrader 6.5\db\Data folder.

[ScoobyStoo]

Can I just perform a file copy? No need to run some sort of import process? Is NT7 backwards compatible with the MR6.5 file format?

Assuming I get the replay files working, what is the recommended way to perform backtesting using MR? Is it possible to optimise parameters and get performance metrics such as Sharpe/Sortino ratio?

[NinjaTrader_Bertrand]

Correct, you want to copy over the MR files to the MyDocuments\NinjaTrader 7\db\data folder.

For backtesting and optimization you would need historical data which is different from replay data, replay data is just recorded Level 1 / Level 2 data to keep the intrabar sequence aligned for trading against the simulation engine...

[ScoobyStoo]

Correct, you want to copy over the MR files to the MyDocuments\NinjaTrader 7\db\data folder.

For backtesting and optimization you would need historical data which is different from replay data, replay data is just recorded Level 1 / Level 2 data to keep the intrabar sequence aligned for trading against the simulation engine...

OK, as I thought. Historical data is no good to me because I need both L1 and L2 data to be replayed in the exact sequence it was recorded.

Sounds like I'll have to do the optimisation manually myself by performing multiple replays using different parameters settings and then record the results outside of NT for later analysis.

EDIT: Have just spent a while trying to get MR working and it appears to be very very broken in v7.0.0.10. Since the bugs are obvious I assume you guys are aware of this? If not then I will start preparing bug reports.