Market Replay

[NinjaTrader_Ray]

Unfortunately this is not possible.

[daven]

Central Data Source for Market Replay Data

Is there any thought or possibility of establishing a central data source of market replay data available to developers as an additional testing data source? Because of some problems with a third-party custom indicator I needed to uninstall and re-install my NinjaTrader installation. As per the instructions, I deleted all related subdirectories after the uninstall process. Unfortunately I forgot to save my recorded data, so now I have nothing to run tests on until I record more data. My bad, but it is a pain in the a$$ to have to wait for all that data to be recorded. If you just had a download site for say a few weeks of data on a few instruments, (may I suggest the current e-mini Russell contract to start), I suspect it would be applauded by many novice developers such as me.

[daven]

Copying Market Replay Data

In the last post you noted not to touch or move the market replay data. It appears that it is possible to copy one or more replay files and place them on another computer with NT. Is there a problem doing this? Are there cautions or things that I should be aware of when doing it?

<my documents>/NinjaTrader6/db/data. However, you should not touch nor move/rename these files/directories.

[NinjaTrader_Ray]

It is fine to move copy them to another computer.

Regarding the other suggestion, we will be working on a data back up utility that should provide some relief from accidentally not saving critical data. I will add your suggestion to our list.

[NinjaTrader_JoshP]

Is it just me or does the VOL indicator show messed up numbers in replay mode? From all the replays I have recorded whenever I play them it will say the volume for AAPL is in the hundreds of millions within the first 15 minutes. When I look at the volume row in my T&S window it only says 3mil. Whatever is causing this makes it literally impossible to gauge if there are spikes in the volume from previous days because the 100+ mil dwarfs all previous volumes to being about 1 pixel tall.

[NinjaTrader_Dierk]

Please verify, that observed behavior is reproducible with a simple chart with just VOL on it.

If reproducible then please send me via PM (dierk AT ninjatrader DOT com):
- screenshot of your chart (including window caption)
- your replay files for that day (located at <my documents>/NinjaTrader6/db/data)

Thanks

[NinjaTrader_JoshP]

I have sent you an email with all the related files.

[NinjaTrader_JoshP]

Thank you Dierk for helping pinpoint the issue with the volume. I will contact OpenTick and see whats up on their end.

Another problem I am having with replays is this though. I have a Market Analyzer loaded with the list of instruments I want to record. Every day at least 1 or 2 of those instruments just doesn't want to record. They end up as 1kb files compared to the 100+kb files of my other instruments. When I play back those 1kb sized instruments there is no data on the file so nothing shows up. Before I thought it was just a datafeed error, but now I can confirm that I am getting real-time data for those unrecorded instruments. For instance, today it doesn't want to record SHLD yet I can see the last/bid/ask price constantly changing in the Market Analyzer. The instrument that doesn't record is seemingly random. Yesterday BIDU didn't record for me, but it is today. I'm not quite sure what is going on here. Any ideas?

[NinjaTrader_Dierk]

Do you have any funny messages in the logs?

[NinjaTrader_JoshP]

Ahh yes. The logs. Why didn't I think of those?

It would appear there are funny messages.

• MarketData (Ask) for 'SHLD' at 6/29/2007 5:00:00 AM exceeds max price gap (192.25/471)
• MarketData (Ask) for 'VSEA' at 6/29/2007 4:30:01 AM exceeds max price gap (2000/44)

Those are the messages showing on my log menu after this error

• Market data error for instrument 'VSEA Default': No data (1003)

I don't think this error is a problem because it is showing for all of my instruments and it corresponds with the time I turn on NT to start recording which is hours before market opens.

The first error I posted comes after the "No data" error and I only get two of them, one for each of the instruments not recording. Any idea what the deal with those are? A bad spike in the data I presume? NinjaTrader can't just pass over the spike and continue recording normally?

[NinjaTrader_Dierk]

The replay recording is canceled as you see these message in the logs. I'll add your change request to the list.

[NinjaTrader_JoshP]

Sounds good. Thanks.

[NinjaTrader_Dierk]

On the VOL issue. I got feedback from OpenTick support: we need to change NT since right now volume for realtime data on stocks is multiplied by 100. This fix will be available with next update. Sorry for the confusion.

[NinjaTrader_JoshP]

Any chance for a custom build addressing this? It would suck to continue recording erroneous replay files for another month or more. As always thanks for the quick response in handling my concerns.

[NinjaTrader_Dierk]

It will be incorporated in next custom build. No ETA yet.