General questions about Historical Data and Market Replay

[nitro]

I got a couple quick questions about how historical data is stored and how it can be utilized in market replay in NT7. My apologies if this isn't the appropriate location for this posting.

1. I see a lot of data (tick and minute level) available in the historical data manager but when I right click on the market replay control and select available data I see only a small subset of it. Is there a way I can access the rest of the data in market analyzer as well?

2. In the historical data manager, in the download tab there is a list of predefined instruments for which you can download historical data. However, it looks like (at least to me) that you can't download data for instruments not on that list (for example currency pairs). This leads to my 3rd question

3. I tried downloading data from the file -> utilities -> download replay data while connected to either gain or mbtrading. After picking a date and instrument and clicking download, I get an error saying "there is no L2 data available for this instrument". So how do I go about downloading historical data for currency pairs?

Let me know if you need any more information from me. Basically I'm trying to collate tick-level data from the past few months to test my strategy using market replay.

[NinjaTrader_Kyle]

Hi nitro,

Thank you for your post.

1.) Replay data and historical data are separate items. You can download all of the replay data you desire through the File > Utilities > Download Replay Data menu.

2.) To download historical data for an instrument, you will need to first add it to a list within the Instrument Manager. For more information, please see the following link: http://www.ninjatrader.com/support/h...rom_a_list.htm

3.) Which instrument were you downloading data for? Also, for which date?

[nitro]

Hi Kyle,

Thanks for the reply.

I was trying to download replay data for different currency pairs such as EURUSD, GBPUSD etc. and I also tried several dates. Some of the dates I tried were 4/7, 4/2, 12/31, 1/9 etc. It doesn't really matter, I get the same message every time. I'm sure the issue's got nothing to do with the instrument or the date. If you need any more information from me to debug please do let me know.

Can you please answer a few additional questions for clarification:
1. What is historical data used for?
2. Does testing a strategy in strategy analyzer use historical data?
3. Can tick-level back testing be done using strategy analyzer or some other tool?

[NinjaTrader_Kyle]

Hi nitro,

1.) Level 2 replay data will not be available for currency pairs.

2.) "What is historical data used for? "
Historical data is used for chart display as well as for indicator and strategy calculations.

3.) "Does testing a strategy in strategy analyzer use historical data?"
Yes, historical data will be used when backtesting in the Strategy Analyzer.

4.) "Can tick-level back testing be done using strategy analyzer or some other tool?"
Yes, this is one of the interval options available when initializing a backtest or optimization.

[nitro]

Hi Kyle,

I'm not really interested in the L2 data but because of that error i mentioned, the download fails entirely and even the L1 data doesn't get downloaded. Is there any way to get around this? As long as I can download tick-data for market replay I should be set.

[nitro]

actually nevermind that last post. I'm able to download L1 data just fine now. Don't know why it didn't work before.

Just a quick feature request for future releases...It'd be nice to be able to download replay data for a date range instead of having to download one day at at time. So basically have 2 datepickers and allow users to select a date range like in historical data manager.

Thanks for your help though

[NinjaTrader_ChristopherJ]

Hi nitro,

Thank you for your suggestion. I will forward this to our development team for future considerations.

Have a great day!

[e-man]

i'll second the request for multiple days to download at a time.

and i have to say that this new feature for downloading MR data in NT7 is **awesome** -- thanks very much for including that ;-)

cheers,
-e