Thank you for your post and welcome to the NinjaTrader Support Forum.
The Download Market Replay will always be grayed out when you are connected to a data provider (Market Replay in this case).
The date shown on the top of the Replay Control window, does this match the End Date of the chart? The End Date is found by right clicking in your chart > select Data Sereis > chekc the End Date.
I look forward to assisting you further.
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