Market Replay

[NinjaTrader_Dierk]

Please PM me for a follow up at "dierk AT ninjatrader DOT com"

[NinjaTrader_Dierk]

This is a bug which will be fixed with next update. Thanks for reporting this.

[NinjaTrader_JoshP]

Great Dierk. I have not had problems with replays since installing the custom build. Everything seems to be in order. Thanks.

[NinjaTrader_Dierk]

Thanks for that feedback.

[NinjaTrader_JoshP]

I was wondering about how Market Replay increases replay speeds. Does it skip frames and just use a keyframe to draw charts from or does it still fill in all the ticks inbetween? I am wondering this because I want to know if I can forward test my strategy at 50x to get quick results.

[NinjaTrader_Dierk]

Replay always replays all ticks available -> ticks are never skipped.

How ever you might experience different behavior, due to race conditions on when actual (simulated) fills might come in.

[NinjaTrader_JoshP]

Generally speaking I will only be affected by these different race conditions if my computer doesn't have enough raw computing power right?

[NinjaTrader_Dierk]

Nope, sim fills trigger in after a configurable delay (in milliseconds). This is not synced with the replay speed.

[NinjaTrader_JoshP]

Ahh. May I suggest this to be synced then in the next release. You can't really test strategies at anything but 1x without fills matching the replay speed.

[NinjaTrader_Dierk]

We'll add it to the list.

[NinjaTrader_JoshP]

I did a simple test with Bars.PercentComplete in Market Replay and this is the behavior I am experiencing.
At 1x speed I can get this code to output perfectly. It spits out the percent of the bar from 99% till the bar becomes 100%.

if(Bars.PercentComplete*100 >= 99)
{
    Print("Time: "+Time[0]+" "+Bars.PercentComplete*100);
}

The problem is when Market Replay is sped up to 50x. It will stop printing these outputs and act like it completely skipped them. I suspect because of the way Market Replay increases speed (it seems to jump on steady intervals of 50secs at 50x) it causes Bars.PercentComplete to probably go from 90% straight to 100% thus never satisfying the inbetween condition at 99%. Any workaround ideas for this?

[NinjaTrader_Dierk]

>> it seems to jump on steady intervals of 50secs at 50x
That is correct.

>> Any workaround ideas for this?
Sorry, none of the top of my head.

[NinjaTrader_JoshP]

In my replays I think the Bars.FirstBarOfSession is not working properly. I have my chart set to session begin at 6:30AM. I confirmed that the Bars was getting the proper session begin time via Print(Bars.SessionBegin);. When I do a simple print on Bars.FirstBarOfSession though it returns false even if it is the first bar of the session.

I did Print(Now+" "+Bars.FirstBarOfSession); in OnBarUpdate() and this is what it returns to me "7/26/2007 6:30:02 AM False". 6:30:02AM is definitely in the first bar and yet the bool is still returning false.

[NinjaTrader_Dierk]

Is this reproducible? If so, then please PM your replay file and a simple sample strategy. Thanks

[NinjaTrader_Dierk]

This is a bug which will be fixed with next release. Thanks for bringing this up and for proving the reproducible scenario.