Market Replay depends on Days To Load

[ATI user]

before/after...no difference

[NinjaTrader_PatrickH]

Hello ATI user,

Thank you for your response.

Please advise if you are referring to the fill at the open price or pulling the Close[0] at session start?

I look forward to assisting you further.

[ATI user]

Please advise if you are referring to the fill at the open price or pulling the Close[0] at session start?

do not understand your question.

my strategy is on a 1 min chart with 9:30:00 session start...it waits 8 mins before making a trade... decisions are made using closed bar data only... on condition entries are plotted on the chart on the opening tick of a bar....sometimes the trades are filled and sometimes they are not.... if not, I have to change the days to load, I think, to synchronize the historical and replay data.... after this 'sync' I GoTo 9:30:00 and the same trades are now filled

whether I start the replay at 9:30:00 or 9:29:59 or 9:30:01 does not make any difference.

I have found, if I am replaying single dates instead of continuous dates chronologically, that I have to synchronize the data less often if going backwards chronologically. If replaying single dates going forward chronologically ninja will not fill the orders 95% of the time.

in addition, I will get different results for the same date depending on whether I replay the date separately or I replay the date in a series of dates replayed continuously. At this point in time I am thinking that a continuous replay of data gives 'accurate' results. In this case I usually have to 'sync' the data to start the series and then all dates replay as expected.

Again, this problem seems to be lack of consistent organizing of data. The strategy uses 10 additional data series besides the chart data series. I believe ninja does not align this data consistently for replay. Changing the replay start time by a second has no effect at all.

[NinjaTrader_PatrickH]

Hello ATI user,

Thank you for your response.

With what you have detailed here please provide a specific scenario where we can re-create the same scenario.
Include instruments used, detail the exact steps taken (including days to load and session templates), detail the days loaded in Market Replay (From and To fields) for each step, and I understand you record Index data from your provider as the NinjaTrader Market Replay Servers do not provide this data, what data provider are you connecting to when recording the data for the Indexes?
Any additional steps that we can take and at the very least a 'toy' version of your strategy would be most helpful in this case.
You can send this information to support[at]ninjatrader[dot]com if needed as well.

Once again, thank you for your information on this matter and we look forward to your response.

[ATI user]

regarding recording data for replay...

I have 10 weeks of data recorded from IQFeed as a result of multiple instruments added to a strategy.

when trying to replay that data after changing the Add( , PeriodType. , ) statement in the strategy from 1 min to 30 seconds the data will not replay

must the data be recorded in the same interval in order to replay in that interval?

it would appear so since I can replay the entire 10 weeks if I use Add( , PeriodType.Minute ,1 ) ..but only a couple of days if using Add( , PeriodType.Second ,30 ) ...

Please confirm

[NinjaTrader_PatrickH]

Hello ATI user,

Thank you for your post.

I am able to get Tick, Minute and Daily based bars when only recording Minute data. Do you perhaps have an example I can test on my end?

I look forward to your response.

[ATI user]

got it working ok...i.e. data recorded on 1 min interval replays for 30 second interval

[NinjaTrader_PatrickH]

Hello ATI user,

Thank you for your update on this matter.

Please let me know if I may be of further assistance.

[ATI user]

the reason that Days to Load needs to be changed when changing from one date back to an earlier date is because Replay does not update the number of days loaded when it goes back to the earlier date.

for example, if replaying a date in Nov with 33 days loaded and then changing From date to a date in Sep there will only be a few days in the chart...ie. not 33.

to test this
1) have a strategy print the date on first bar of session and first tick of bar.
2) in replay for a Nov date, load the strat and note on enable the number of days printed in the output window
3) change the date to a Sep date, load the strat and note many fewer days printed in output window

replay does not load any more days even though the date has changed.

IMHO this is a bug... the workaround is to change the days to load when you change to an earlier date which should not be necessary

[NinjaTrader_PatrickH]

Hello ATI user,

Thank you for your update on this matter.

I will begin testing with this information on my end and follow up with you here with my findings.

I look forward to assisting you further.

[NinjaTrader_PatrickH]

Hello ATI user,

Thank you for your patience.

While performing this test I want to ensure I am testing the same environment you are. So please advise the following information:

• For the second step please advise what the From and To date are set to for the Market Replay Control window.
• For the third step I need the exact same information, i.e. what are the From and To fields set to.
• Please also provide screenshots of the above information.
• I am also going to need at the very least a toy version of your script that is printing on the first bar and first tick of the session.

I look forward to your response.

[ATI user]

Hello ATI user,

Thank you for your patience.

While perform this test I want to ensure I am testing the same environment you are. So please advise the following information:

• For the second step please advise what the From and To date are set to for the Market Replay Control window.
• For the third step I need the exact same information, i.e. what are the From and To fields set to.
• Please also provide screenshots of the above information.
• I am also going to need at the very least a toy version of your script that is printing on the first bar and first tick of the session.

I look forward to your response.

it is a one line strategy anyone there can create
pick any dates with from and to dates the same

[NinjaTrader_PatrickH]

Hello ATI user,

Thank you for your response.

I was able to create a strategy that would print on the first tick of the first bar of a session. However, we need to test your code to re-create the same behavior.

I will need to know exactly what from and to dates you are using for both your second and third steps. Please also provide screenshots of the above information.

To clarify, I need a toy version of your strategy that prints on the first tick of the first bar of the session, I will also need the From and To field dates you used to create this matter for both the second step and third step.

I look forward to your response.

[ATI user]

it has nothing at all to do with my code

take the ninja strat 'SampleMultiTimeFrame' and add this code

private int sessionNum = 0;

if ( Bars.FirstBarOfSession && FirstTickOfBar ) {
sessionNum++;
Print("Session "+sessionNum+" C:"+Close[1] +" O:" +Open[0]+" " +Time[0].DayOfWeek+" "+Time[0] );
}

open a 60 sec NQ 12-12 chart with Days to load = 33

connect replay with both From and To set to 12 dec 2012

load the strat

output window shows 23 sessions

change From To dates both to 20 nov

only 7 sessions are printed to output window... ninja does not maintain the 33 days

change both dates to 12 nov and only 1 session prints to output window

so, going back in time, you need to keep resetting the Days to load in the Data Series or strats do not run

[NinjaTrader_PatrickH]

Hello ATI user,

Thank you for that information.

I will test this item on my end and follow up with you when I have additional information.