ES DOM off

[sledge]

Disconnecting and Reconnecting fixed it.

I connected around 2:41pm, so that could explain how the 3:01 and 5:13pm got in there, and since they were never touched, they were never over written.

This might have something to do with the market replay DOM becoming out of whack big time.

[NinjaTrader_Matthew]

Can you please clarify who you are using as your data provider? Who provides you with Level II data?

[sledge]

Can you please clarify who you are using as your data provider? Who provides you with Level II data?

ZenFire

*must reach 10 characters

[NinjaTrader_Matthew]

Hello,

Thanks - I'll have this looked into.

Curious, were you connected to Zen-Fire around 3:01 and 5:13? When the last time you connected?

[sledge]

Hello,

Thanks - I'll have this looked into.

Curious, were you connected to Zen-Fire around 3:01 and 5:13? When the last time you connected?

"I connected around 2:41pm, so that could explain how the 3:01 and 5:13pm got in there, and since they were never touched, they were never over written."

[NinjaTrader_Brett]

Hello,

Just to clarify this was market replay downloaded from our server correct?

If so we did some server maintenance this weekend to hopefully resolve these issues for future recordings, please let me know should you run into again on this weeks new recorded data.

-Brett

[sledge]

No. Live connection.

I think there is a timing issue, that if stuff gets stuck above (or below), it doesn't get cleared out, until it is touched or overwritten.

You can see Dom knows there are 2 above, and stops short showing underneath.

Hello,

Just to clarify this was market replay downloaded from our server correct?

If so we did some server maintenance this weekend to hopefully resolve these issues for future recordings, please let me know should you run into again on this weeks new recorded data.

-Brett

[NinjaTrader_Brett]

Got it, in this case it means you dropped your level 2 subscription at some point in time and if this happens could cause this to "stick".

A restart in this case is the right thing to do and I would expect to see this with more chance during the weekend.

If you start seeing this really frequent however we would want to look further into it.

-Brett

[forrestang]

I've seen this happen every once and a while, mainly during times of awkward market activity, or when it get extremely thick/thin.

Today, on the 10 and 30 year treasuries (ZN/ZB), the L2 seemed to just get really whacky. It was just all off and weird. Restarting the feed didn't seem to fix this, and it seemed to just be frozen.

Restarting NT all together and reconnecting to feed did not seem to happen either. My entire NT platform atm is just not receiving any data or quotes. See second pic, never had this happen before either.

All this happened right after the unemployment claims, as the volume in the treasuries were about 1/3 of what they typically are, so it was very thin. During this lack of liquidity, there was also very very fast movement for the treasuries as well.

I am using CQG demo data feed, and I suspect the problem might be on CQG's side? Although I dunno?

[forrestang]

A few reconnects and a few minutes later, I am recieving quotes, but the L2 information is still not there.

[NinjaTrader_Brett]

Hello,

I just tested a live CQG account and level 2 data looks good there on my side.

Suggest you contact your broker and have them check your account and make sure all is good as a first step here.

Might be a demo only item as well.

-Brett

[sledge]

Got it, in this case it means you dropped your level 2 subscription at some point in time and if this happens could cause this to "stick".

A restart in this case is the right thing to do and I would expect to see this with more chance during the weekend.

If you start seeing this really frequent however we would want to look further into it.

-Brett

NT_Brett-

How is level II recorded and stored in NT via live session?

I have L2 data for ES in market replay, but I do not have L2 for 6E or DX. Is this because I don't run a DOM for 6E or DX when recording in my live session?

I don't see any thing in the edit section for Level 2 data...is this something I can't see?

I'm tracking down why the DOM goes whacky in market replay, it's not random.

For instance,

in ES 03-12, 1/17/2012 12:24:48 EST AM is OK...
12:24:49 EST AM it jumps out of whack. Every time.

I was hoping to see the recorded data I have to view exactly what might have happened.

Interesting..

1/18/2012 ES 03 12 - 12:26:35AM whackyness starts
------------------------------------------------------------------------------------------

Now I remember!!!

I have having HardDrive problems with locking up which came to a head on 1/19 where my laptop only lasted like 30 minutes before locking up.

It looks like 1/23 is 1/24 is running smack on at 500x.

I've been replaying always from 1/3/2012 for ES 03-12.. so the DOM always got out of whack pretty fast... because of my HardDrive issues in recording data I assume.

[NinjaTrader_Jason]

Hello sledge,

You will record all real-time data you receive in NinjaTrader as long as 'Record for market replay' is enabled (Tools-->Options-->Data-tab).

If no Level 2 data is listed, it indicates you did not receive Level 2 data in real-time. Can you please connect to CQG and open a SuperDOM. Make sure you receive market depth in the SuperDOM and let it run for a while.

Disconnect and connect to the Market Replay connection. Right click in the Market Replay control window and select 'Available Data'. Click the plus icon in front of the instrument in question. Check if you recorded Level 2 data.


As per the dates that do not replay as expected, I suggest to delete these days and download new data. Please shut down NinjaTrader and navigate to the following folder:

C:\-->Users-->*Windows user account*-->Documents-->NinjaTrader 7-->db-->data

It will contain folders named per date which in turn contains Market Replay files per instrument. Please delete the folders for the dates affected. Do not make any other changes in the db-->data folder.

Start NinjaTrader and download Market Replay data at Control Center-->File-->Utilities-->Download Replay Data.