Market Replay vs Historical Data

[GigaAshley]

Hi, I understand that historical data is not a perfect match to market replay data, but would anyone be able to explain the differences between these charts that I'm seeing? It seems as though the market replay is missing a lot of data compared to the historical.

Thank you!

EDIT: I noticed it stops happening about a month back when I scroll through the chart

They are both 5 minute candles on the morning of May 2nd 2022 for the MES 09-22:

[NinjaTrader_Zachary]

Hello GigaAshley,

Thank you for your inquiry.

I'd be happy to take a look and see if I experience the same. So I may accurately assist you, please answer all of the following questions:

• What version of NinjaTrader are you using? Please provide the entire version number. This can be found under Help -> About (Example: 7.0.1000.? or 8.0.?.?)
• Who is your data provider for what you are seeing on the historical data chart? (IE who do you normally connect to for historical data)?

I look forward to your response.

[GigaAshley]

Hi Zachary, my version number is 8.0.26.1 and I had run the strategy analyzer through the NinjaTrader Continuum (Demo) connection and viewed that historical data in the results chart.

[NinjaTrader_Clayton]

Hello GigaAshley,

Thank you for the update.

When using the Playback connection on Historical or Market Replay, it will apply the Merge Policy to all of the Historical data that is loaded in up to that point.

• From the moment you click Play and forward, it will use the "Real-time" data for the specific Instrument and Contract selected within the Instrument selector for the window
  • So, It will essentially function like the "Do Not Merge" Merge policy
• When you play back the market data for May 2 specifically, you are seeing the actual market data for the MES 09-22 contract on those days where the volume wasn't as high.
• If you wanted it to reflect the Historical Data in the screenshot, you would need to download the Market Replay for the MES 06-22 Contract for May 2nd and then set the instrument in the chart window to MES 06-22 and click Play.

If you just connect to live market data and then scroll the chart back, the chart will be affected by the Merge Policy.

• By default, the Merge Policy will be set to "Merge Back Adjusted" which merges the historical data from prior contracts to make the chart look like a Continuous chart for the instrument.
• Please see the following link for more information on how the Merge Policy will affect your charts:
  • https://ninjatrader.com/support/help...rge_policy.htm

Please see the following example I made to show how the Live connection vs playback connection is affected by the Merge Policy in the platform.