Market Replay

[billr]

I hope I'm not beating a dead horse here, but I would like to get some clarification on Market Replay if possible.

My understanding of Market Replay is that it is literally a playback of actual market tick data that is recorded by user or retrieved from NT servers. I also assume that there is no compression or bundling (can't remember the nomenclature) of data into OHLC, 1-minute, or other larger-than-tick increments that might alter the way a chart is formed or strategy performs.

If so, I would also assume that if one ignores the non-ninja factors such as slippage, broker execution, etc, that the Market Replay data provides a tick by tick data stream with each tick retaining its original sequence, thereby eliminating problems like the "time machine" effect and other platform related problems associated with backtesting charts built on historical data. Is this correct?

My quest is to get an accurate (systemic, not real-world) way to test and gather statistics that would trigger stops, targets and other tick-by-tick events correctly. Including any chart type (renko, range, etc).

Again, I fully understand the non-ninja issues that exist when comparing any test to live trading, but I need to establish whether or not I am testing against an unfettered market data flow that is not manipulated by the testing platform in a way that could alter results. (also ignore the possibility of isolated technical problems with quality of the recorded data)

Sorry to overstate the question, but I recognize that you need to be careful to hedge your answer to avoid making any claims that the market replay is the same as live market conditions. So even trying to ask the question correctly can tend to drift off point.

I am experiencing an inarticulate moment here, so please let me know if I need to clarify or re-state the question.

Thanks.

[NinjaTrader_JC]

Hello billr,

Each tick will be recorded and played back in the same order that they are were recorded in correct. Here is a link to our Help Guide that goes over in detail how market replay data works that you may view.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?replay.htm

I am not familiar with the "Time Machine" effect, could you clarify that for me?

[billr]

Thanks for confirming that JC. Regarding the Time Machine effect, sorry for the obscure reference, I got that term from somewhere in this forum. In short, it refers to a condition in backtesting when a strategy event is triggered at a time/price that did not happen. A typical condition might be when a bar type is used like renko where the open of a bar can be significantly different than the previous bar close. The backtest might calculate an entry price at a time long after the instrument had already moved away from that price. Hence, going back in time, or time machine effect.

[NinjaTrader_JC]

Hello billr,

Thanks for clarifying that.

Yes, the "Time Machine" effect that you have stated would not happen when using Market Replay Data.