Market Replay Multiple Issues

[ZTR]

Replay displays wrong trade fill price

Here is one I have been told about but 1st time I've seen it. Notice on the attached chart how the price of the fill is not even close to where the market is trading.

[NinjaTrader_Austin]

I had turned off the recording because of the replay issues I was facing.

Is there anyway to convert it. Perhaps an unsupported utility which can do it? Right now if you have a symbol not supported by NT servers and for some reason you did not save it in replay you can not replay it even if you have all the data in the historical data DB.

It again boils down to the architectural decision to keep separate DBs and the inability to go from historical data to replay data.

There could be some unsupported utility to convert it, but I do not know of such a piece of software. The thing with trying to convert historical data to replay data is that the historical data is missing ~95% of the information.

A replay feed contains all of the following for every second of every day: ask price, ask volume, bid price, bid volume (for every bid/ask level), and of course the trades (which is the only thing contained in the historical data). It is impossible to re-construct an entire trading day just from the Time & Sales information.

[aviat72]

There could be some unsupported utility to convert it, but I do not know of such a piece of software. The thing with trying to convert historical data to replay data is that the historical data is missing ~95% of the information.

A replay feed contains all of the following for every second of every day: ask price, ask volume, bid price, bid volume (for every bid/ask level), and of course the trades (which is the only thing contained in the historical data). It is impossible to re-construct an entire trading day just from the Time & Sales information.

Austin, The feeds I am talking about are market internals which do not have any bid-ask information. All they have is a 1 sec or 5 sec value of the internals.

So it would be great to be able to convert that historical data into replay format. It is just a format translation so should not be a big deal.

[aviat72]

My main PC which gets the DTN feed runs out of horse power when the market is very volatile. So I have to disable the save Replay Data.

For market internals which just have a last value, being able to convert the historical data to MarketReplay form will help me work around this situation.

[NinjaTrader_Kyle]

Hello aviat72,

Thank you for your feedback.

I will forward this on to my development team for further consideration.

[aviat72]

NinjaTrader hits user defined break point

I opened a workspace with one chart and switched to the replay connection.

I got a Windows pop-up that NT has hit a user defined breakpoint. When I chose to debug I get the following stack trace.

I also had a NinjaScript editor and the Output windows open.

Works fine when I close the NS editor prior to making the Replay Connection or open the NS editor after the Replay Connection is open.

>	mscorlib.dll!System.Diagnostics.Debugger.Break() + 0x56 bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Data.Bars.GetTimeEnd(int barIndex = 0) + 0x30 bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Indicator.IndicatorBase.EnsureLifeTimeStatus(NinjaTrader.Cbi.LifeTimeStatus status = Initialized) + 0x220 bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Gui.Chart.ChartPanel.CalculateMinMax(NinjaTrader.Gui.Chart.ScaleJustification scaleJustification = Right) + 0x8d3 bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Gui.Chart.ChartControl.CalculateMinMaxAndMargins(System.Drawing.Graphics graphics = {System.Drawing.Graphics}) + 0xca bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Gui.Chart.ChartControl.OnPaint(object sender = {NinjaTrader.Gui.Chart.ChartCanvas}, System.Windows.Forms.PaintEventArgs e = {ClipRectangle = {System.Drawing.Rectangle}}) + 0x714 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.OnPaint(System.Windows.Forms.PaintEventArgs e) + 0x73 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.PaintWithErrorHandling(System.Windows.Forms.PaintEventArgs e = {ClipRectangle = {System.Drawing.Rectangle}}, short layer, bool disposeEventArgs = false) + 0x9a bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.WmPaint(ref System.Windows.Forms.Message m) + 0x1d4 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.WndProc(ref System.Windows.Forms.Message m) + 0x33e bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.ScrollableControl.WndProc(ref System.Windows.Forms.Message m) + 0x2a bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.ControlNativeWindow.OnMessage(ref System.Windows.Forms.Message m) + 0x10 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.ControlNativeWindow.WndProc(ref System.Windows.Forms.Message m) + 0x31 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.NativeWindow.Callback(System.IntPtr hWnd, int msg = 15, System.IntPtr wparam, System.IntPtr lparam) + 0x5a bytes	
 	[Native to Managed Transition]	
 	[Managed to Native Transition]	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.Update() + 0x15 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.OnEnabledChanged(System.EventArgs e = {System.EventArgs}) + 0x115 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.OnParentEnabledChanged(System.EventArgs e) + 0x14 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.OnEnabledChanged(System.EventArgs e = {System.EventArgs}) + 0x14a bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.Enabled.set(bool value) + 0x5c bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Gui.Chart.ChartControl.AddBarsInMainThread(object state1) + 0xd45 bytes	
 	[Native to Managed Transition]	
 	[Managed to Native Transition]	
 	mscorlib.dll!System.Delegate.DynamicInvokeImpl(object[] args) + 0x55 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.InvokeMarshaledCallbackDo(System.Windows.Forms.Control.ThreadMethodEntry tme) + 0xa4 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.InvokeMarshaledCallbackHelper(object obj) + 0x69 bytes	
 	mscorlib.dll!System.Threading.ExecutionContext.runTryCode(object userData) + 0x51 bytes	
 	[Native to Managed Transition]	
 	[Managed to Native Transition]	
 	mscorlib.dll!System.Threading.ExecutionContext.RunInternal(System.Threading.ExecutionContext executionContext, System.Threading.ContextCallback callback, object state) + 0x67 bytes	
 	mscorlib.dll!System.Threading.ExecutionContext.Run(System.Threading.ExecutionContext executionContext, System.Threading.ContextCallback callback, object state) + 0x45 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.InvokeMarshaledCallback(System.Windows.Forms.Control.ThreadMethodEntry tme) + 0x69 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.InvokeMarshaledCallbacks() + 0xc3 
  	
.....
System.Windows.Forms.dll!System.Windows.Forms.NativeWindow.Callback(System.IntPtr hWnd, int msg = 49474, System.IntPtr wparam, System.IntPtr lparam) + 0x5a bytes	
 	[Native to Managed Transition]	
 	[Managed to Native Transition]	
 	System.Windows.Forms.dll!System.Windows.Forms.Application.ComponentManager.System.Windows.Forms.UnsafeNativeMethods.IMsoComponentManager.FPushMessageLoop(int dwComponentID, int reason = 2, int pvLoopData = 0) + 0x24e bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Application.ThreadContext.RunMessageLoopInner(int reason = 2, System.Windows.Forms.ApplicationContext context = null) + 0x177 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Application.ThreadContext.RunMessageLoop(int reason, System.Windows.Forms.ApplicationContext context) + 0x61 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Application.DoEvents() + 0x18 bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Data.ReplayControlCenter.GoTo(System.DateTime newDate) + 0x4af bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Data.ReplayControlCenter.UpdateAvailableData() + 0x1903 bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Data.ReplayControlCenter.OnDateChanged(object sender, System.EventArgs e) + 0x137 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.DateTimePicker.OnValueChanged(System.EventArgs eventargs) + 0x17 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.DateTimePicker.Value.set(System.DateTime value) + 0x199 bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Data.ReplayControlCenter.OnLoad(object sender, System.EventArgs e) + 0x1ec bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Form.OnLoad(System.EventArgs e) + 0x1d5 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Form.OnCreateControl() + 0x55 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.CreateControl(bool fIgnoreVisible) + 0x181 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.CreateControl() + 0x24 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.WmShowWindow(ref System.Windows.Forms.Message m) + 0x98 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.WndProc(ref System.Windows.Forms.Message m) + 0x2b6 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.ScrollableControl.WndProc(ref System.Windows.Forms.Message m) + 0x2a bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.ContainerControl.WndProc(ref System.Windows.Forms.Message m) + 0x10 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Form.WmShowWindow(ref System.Windows.Forms.Message m) + 0x41 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Form.WndProc(ref System.Windows.Forms.Message m) + 0x154 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.ControlNativeWindow.OnMessage(ref System.Windows.Forms.Message m) + 0x10 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.ControlNativeWindow.WndProc(ref System.Windows.Forms.Message m) + 0x31 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.NativeWindow.Callback(System.IntPtr hWnd, int msg = 24, System.IntPtr wparam, System.IntPtr lparam) + 0x5a bytes	
 	[Native to Managed Transition]	
 	[Managed to Native Transition]	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.SetVisibleCore(bool value = true) + 0x333 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Form.SetVisibleCore(bool value = true) + 0x87 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.Show() + 0x10 bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Data.ReplayAdapter.Connect() + 0x636 bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Cbi.Connection.ConnectNow() + 0xcc5 bytes	
 	[Native to Managed Transition]	
 	[Managed to Native Transition]	
 	NinjaTrader.Core.dll!NinjaTrader.Cbi.SynchronizeInvoke.Invoke(System.Delegate method, object[] args) + 0x4e bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Cbi.Connection.Connect(NinjaTrader.Cbi.ConnectOptions options) + 0x3a0 bytes	
 	NinjaTrader.Core.dll!NinjaTrader.Cbi.ConnectionCollection.Connect(string connectionName) + 0x45 bytes	
 	NinjaTrader.exe!NinjaTrader.Gui.ControlCenterForm.OnReplayConnect(object sender, System.EventArgs e) + 0x18 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.ToolStripItem.RaiseEvent(object key, System.EventArgs e) + 0x58 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.ToolStripMenuItem.OnClick(System.EventArgs e) + 0x46 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.ToolStripItem.HandleClick(System.EventArgs e) + 0x6e bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.ToolStripItem.HandleMouseUp(System.Windows.Forms.MouseEventArgs e = {X = 114 Y = 14 Button = Left}) + 0x1d8 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.ToolStripItem.FireEventInteractive(System.EventArgs e, System.Windows.Forms.ToolStripItemEventType met) + 0x61 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.ToolStripItem.FireEvent(System.EventArgs e, System.Windows.Forms.ToolStripItemEventType met) + 0x118 bytes	
 ....
 	System.Windows.Forms.dll!System.Windows.Forms.ToolStripDropDown.WndProc(ref System.Windows.Forms.Message m) + 0x36 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.ControlNativeWindow.OnMessage(ref System.Windows.Forms.Message m) + 0x10 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.Control.ControlNativeWindow.WndProc(ref System.Windows.Forms.Message m) + 0x31 bytes	
 	System.Windows.Forms.dll!System.Windows.Forms.NativeWindow.Callback(System.IntPtr hWnd, int msg = 514, System.IntPtr wparam, System.IntPtr lparam) + 0x5a bytes	
 	....

 	System.Windows.Forms.dll!System.Windows.Forms.Application.Run() + 0x2e bytes	
 	NinjaTrader.exe!NinjaTrader.NTMain.Main() + 0x68 bytes

[NinjaTrader_Kyle]

Hello aviat72,

To reproduce on my end, what steps would need to be taken?

Would I simply need to open a chart, output window and NinjaScript editor then load the Market Replay connection? Are any additional steps required?

[aviat72]

Kyle:

I think it is a combination of an open NS editor and an existing chart which triggers it. I was not able to reproduce it after I start the replay in a blank workspace seems to be safest way of doing it.

[NinjaTrader_Kyle]

Hi aviat72,

Unfortunately, I am not able to replicate this behavior on my end.

The steps I took to replicate are as follows:

• Open a 1 minute chart of ES 06-10.
• Open the NinjaScript editor for an indicator. (I used DEMA)
• Connect to Market Replay.

Am I missing any steps? If not, which file and chart are you viewing before connecting to replay?