Is Market Replay the same with recorded & downloaded data?

[cunparis]

Is Market Replay the same with recorded & downloaded data? Is the recorded data sampled at a higher frequency? What is the frequency of samples? Is every change in the order book recorded by the market replay recorder??? How different is market replay from live?

[NinjaTrader_Bertrand]

cunparis, I'm not sure what you refer to by samples - the Market Replay data on the servers is regular recorded Level 2 realtime data. It's very close to trading live depending on your simulator settings of course.

[cunparis]

What I mean is the order book is constantly being updated. Does market replay recording capture every change in the order book just like live trade? Or is it sampled say taking snapshots of the order book every x milliseconds?

I ask because the DOM movements didn't look as fluid to me when using downloaded replay data but maybe that's just me.

[NinjaTrader_Bertrand]

Yes, the data is not altered by the recording process on the servers - it's recorded as received and provided by ZenFire.

[cunparis]

Thanks for the confirmation. It's a great tool to fine tune entires & exits.

[cunparis]

This is weird, I recorded market replay today so that I could do some testing with the DOM and I find that it didn't record L2 data!

Why didn't it record L2??

[NinjaTrader_Bertrand]

Were you having any DOM's open to subscribe to the Level 2 data for your contracts?

You can download it also from our servers, File > Utilities > Download Replay Data.

[cunparis]

Yes, I was trading off the bund dom.

I've been trying to download data but half the time it says there is no L2 data available. I guess you guys have the same problem as me! hehehe

[NinjaTrader_Bertrand]

Yes, we're currently investigating cases where for some instruments no Level 2 data was recorded unfortunately - I checked for 12-10 Bunds today and could download without issue. Strange though it was not recorded as you trading live on it with the DOM open, please keep an eye on it if it would be reproducible in your setup, will try it here, too.

Thanks

[eDanny]

Here is a slightly related question, not to hijack the thread. If I am collecting data via OnMarketData() I see occasional trades between the bid and ask but if I download the same market replay data the same trades are now at the bid or ask. What is the explanation for that?

Dan

[NinjaTrader_Brett]

Hello,

When you are recording data in OnMarketData() what data feed provider are you connected too?

Also can you please rephrase your observation again as its unclear. Whats the difference between the 2 again that your not expecting?

[Ricam]

What is the ultimate source of replay data?

My understanding is that when I download replay data, it always comes from Ninjatrader's own servers, regardless of which datafeed (Zen, Kinetick, etc) I am connected to.

Is this correct?

If it IS correct, what is the source (Zen, Kinetick, etc) of the data that Ninja is using to construct the replay data?

Just wondering... thanks

[NinjaTrader_Austin]

Ricam, I will have someone get back to you tomorrow with an answer.