Market replay help

[saroj]

seeing serious design flaws in Market Replay

thanks Jason... given that design, the only viable way to effectively do a market replay is to have two installations of NT, one with the assigned task of collecting, displaying and most importantly for Market Replay, to record complete data. This computer has to be connected 24/5 to capture whatever futures contracts (or whatever you want to replay). This would be your trading computer most likely unless you have three instances of NT running... one for trading (minimal charts and other tasks); one for collecting "gap-free" data; one for market replay. A much better design is the one ensign has wherein data continues to be collected during market replay (refered to as "playback" in ensign) and which can be refreshed (all this is not a perfect implementation). This same data is stored locally and is used to display historical data for assessing S/R levels (whether pivots, Square of Nine, etc.). The other huge advantage that the ensign design has is that the user can see in a graphical display where there are gaps in the recorded data. It is very disconcerting to have market replay suddenly stop and have no idea how big the gap is, whether one can advance through it or whether to simply terminate the playback session.

[NinjaTrader_Jason]

Hello saroj,

I am not sure if I follow when you state 'do a market replay' in your first sentence. You can record data for the market Replay using one instance of NinjaTrader. You can replay the recorded data in a future session in the same instance.

If you experience a disconnection while recording, you will see a gap.

Note that there is a difference between Market Replay data and historical data. You can also load historical data from your data feed if they support it in NinjaTrader. This historical data is static and cannot be replayed, which is possible using Market Replay data.

[saroj]

replace by "to be able to consistently do market replay with current data that is complete" - does that help?
You write "You can replay the recorded data in a future session in the same instance. [of Ninja Trader]"... yes, in theory, but not really in practicality -> if you don't keep each instance separated by function... i.e. one to record and one to replay... it will be impossible to know which instance has good data for replay and which doesn't SINCE NT DOES NOT RECORD WHILE MARKET REPLAY IS OCCURRING. Now, if one is ONLY interested in doing replay on an instrument that only trades during a limited range of hours AND one never wants to do market replay during those hours, then one could do as you say... but this isn't realistic in the futures realm... even if you don't want to do replay for globex hours, one typlically wants the globex data so that the data flow can be observed and so that any indicators and S/R levels can be seen.

[saroj]

On another design note... since the market replay data "becomes" static even though it is recorded in a stream, I fail to understand why (other than because NT developers have other priorities) historical data (if granular enough) can not be merged with recorded data to create a contiguous flow of data over time. If the internal design of NT data structure doesn't allow this, then I would consider that, in itself, to be a design flow... again, you might want to check out how ensign handles this... it is all exposed and easy to explore with a hex reader.

[saroj]

sorry... "design FLAW" not "design flow" in last sentence

[NinjaTrader_RJ]

Hi Saroj,

Thank you for your feedback.

I will forward your suggestion about being able to replay historical data to development for consideration.

Happy trading!

[tradejockey]

replay flaw

If you start recording at say 9am, then in replay, you will see a gap between 12 am to 9am which makes any testing useless if your strategy requires contiguous data.. replay should populate data from 12 am to 9 am and then run the recorded data...

[NinjaTrader_Bertrand]

tradejockey, NinjaTrader 7 will allow for continuous replay across session breaks - http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

General Market Replay Enhancements
- Overall performance improvements
- Data files are now always split at midnight US ET
- All recorded replay data files are now aggregated into a single replay session on connect allowing for continuous replay across all available days
- Chart draw objects added to a chart during replay are now removed on rewind