Market Replay Depth Inconsistencies (ES)

[gaz0001]

Hi Ninja's,

I am unsing Playback and ES Data from last week.
I have Orderflow setup with 1000 Levels.

I am seeing inconsitencies with the data being displayed.
Some intervals i have the full data, some intervals i get just a 10 levels.
Most intervals Bid data is missing, but ask data is either full or limted to 10.

Below chart illustrates the above.

Please advise.
Thanks

[NinjaTrader_Jason]

Hello gaz0001,

There should only be 10 levels of market depth per side. It seems additional levels of market depth on the sell side were recorded for January 23rd on the servers somehow. I assume you download the Market Replay data. I notice the same on my end when I test the ES 03-23 on January 23rd.

I did not notice any missing market depth on the bid side when I replayed January 23rd.

If you test the ES 03-23 for February 1st, do you receive 10 levels of market depth on each side. It's easier to check this in a SuperDOM or Level II window.

[gaz0001]

Hi Jason,

My question relates to the extended depth.

I get the regular 10 levels.

I get 400 levels when in a live chart.
I was expecting 400 levels in Market Replay also.

Does market replay support the full depth?
As you can see from my chart there are intervals where full depth is visible, but mostly its not.

Thanks

[NinjaTrader_Jason]

You should expect 10 levels of market depth on each side with Market Replay data you download. This time I tested January 30th to February 2nd for the ES 03-23 and it shows 10 levels of market depth on each side.

You can record Market Replay data by enabling the 'Enabling market recording for playback' setting at Control Center-->Tools-->Options-->Market data. This will record all realtime data you receive from your broker/data feed connection in the NinjaTrader platform as Market Replay data.