Market Replay Connection

[ScottB]

Hi,

Is it possible to add a second market replay account like you can with sim accounts? I have a long and short strategy (dynamic hedging) I need to run at the same time on the same instrument.

In a production enviroment, we run these in two separate subaccounts and in sim, we simply use two different sim accounts both using the same data feed. I would like to test the same functionality in replay mode.

Best Regards,
Scott

[NinjaTrader_JoshP]

Scott,

What are you using the second account for in a Market Replay? Is it just that you want to be able to see that one is in short and one is in long instead of seeing flat? So basically you just want to see real-time performance? Historical performance could already be filtered out by your different strategies in the Account Performance reports. Thanks for the clarification.

[ScottB]

Josh,

I am using it for several reasons. I have a hedging strategy that would interfere with the trades in the first account if run at the same time. Also, it would save a lot of time.

Many of the strategies I work on are prototypes for high frequency trades and therefore require full book data (i.e. they cannot be backtested in the normal fashion). Market Replay has proven to be the best way to optimize parameters for these strategies.

Given the time it takes to run a Market Replay session even at 500x, I would like to be able to run a strategy multiple times with different parameter sets simultaneously as this would save a tremendous amount of time.

Real time performance gives you a feel you can't get from looking at performance reports, especially when you can look at a chart forming real time to get a solid grasp as to how different parameters react with different market conditions.

Having said all that, I recognize my requirements may be somewhat unique.

Best Regards,
Scott

[dvercher]

Hi,

I would like to use the option Record for market replay and I have a couple of questions.
If I want tick data I need to open a chart in a tick mode with the option "Record for market Replay" enabled, and then File-Utilities- Download Replay Data.

Where does it download it? Then is it possible to pass this data to for example excel?

Thanks

[NinjaTrader_RyanM1]

Hi dvercher,

Yes, to record tick data for market replay you need a tick chart or market analyzer set to the tick level. The data is stored in subdirectories of My Documents\NinjaTrader 7\db\data

Each directory there represents a day. The file format is proprietary to NinjaTrader, so no easy approach to working with it in excel athough you can still apply NinjaScript and use it to write to a file.

http://www.ninjatrader-support.com/vb/showthread.php?t=3475

http://www.ninjatrader-support.com/vb/showthread.php?t=3477

[NinjaTrader_JoshP]

Scott,

Thank you for your comments. I am just trying to understand what your requirements are to see what we can do.

You mentioned that the hedging strategies would interfere with each other, but I am not quite sure what you mean by this. Different NinjaScript strategies do not respond to each other at all. You could have one going long and another going short in the same account without any problems. Or are you trying to do some things like SyncAccountPosition at start where it would only be able to sync one of the positions for one strategy and not both?

[dvercher]

Hi Ryan,

I imported the sample "StreamWriter", so once I have this, and the downloaded replay data,what's the next step to store information related to certain market conditions or trades outside of NinjaTrader?

Sincerely

[NinjaTrader_RyanM1]

Read the documentation for the sample on the web page that was linked. There is also additional information commented within the indicator script. If you've not already imported the file:
Click File > Utilities > Import NinjaScript and select the downloaded file.

[ScottB]

Ryan,

Thanks for getting back to me; I just saw your response. I didn't realize that I could have two versions of the same strategy running on the same instrument on replay without the trades affecting each other.

I am watching real time and can separate out the trades for analysis. Thanks for the tip.

Best Regards,
Scott