Create my own Market Replay files

[wadams]

Hi all,

Is it possible to create my own Market Replay files from historical quote, trade and order data? Or, are the only ways via the in-app download and recording live data?

Thanks.

[NinjaTrader_Manfred]

Hello wadams,

Thank you very much for your post.

As market replay data is based on recorded Level 2 tick data, it would not be possible to recreate this data out of historical tick data, as this would not provide the same depth.

It would, however, be possible to record live data as market replay data. This may be enabled under Tools > Options > Market Data > Enable market recording for playback.

Please don't hesitate to let me know, should you have any further questions!

[wadams]

Hi NinjaTrader_Manfred,

Thanks for the quick reply.

Oh, I did mean recorded Level 2 tick data when I mentioned "order" data. Here's what I'm looking at as a starting point: https://kb.dxfeed.com/en/data-model/...struction.html.

My approach would be:

1. Ingest dxFeed historical data
2. Reconstruct the order book
3. Transform into Market Replay files
4. Enjoy NinjaTrader with historical Level 2 data

It's step 3 that I have uncertainty about. Is there a way to create market replay files, given that I have access to historical Level 2 tick data?

[NinjaTrader_Jesse]

Hello wadams,

As mentioned there is not a way to generate your own playback data files, you can record data using the platforms existing record feature. Playback files are a proprietary format that is not exposed in a way that you could make your own files and have the platform read them.

It would, however, be possible to record live data as market replay data. This may be enabled under Tools > Options > Market Data > Enable market recording for playback.

[wadams]

Thanks for confirming that NinjaTrader_Jesse.

Do you or anyone have any thoughts or ideas about how to backtest strategies that use Level 2 data?

[NinjaTrader_Jesse]

Hello wadams,

You can use the playback connection to test historical days with level 2, you need live data to see level 2 data so that would really be the only option to use recorded or downloaded live playback data. The backtest uses historical data which does not contain level 2 data.

[wadams]

NinjaTrader_Jesse, does NinjaTrader ever take on sponsored features? I would an addon that would be able to turn historical data into Market Replay Files. And because the Market Replay format is proprietary, it doesn't look like I could commission a 3rd party developer to do the work.

[NinjaTrader_Jesse]

Hello wadams,

I believe you are missing a crucial point here, historical data is absent of level 2 data, it does not contain level 2 data at all. There is no way to convert historical data into level 2 because they are two different types of data. Historical data contains Time/OHLC/Volume data points only. Level 2 data is not recorded at all with historical data, the only way to record that is to use the playback feature which records specific files for level 2 data. You can download pre recorded data for most common instruments, for other instruments that are not recorded you would have to do the recording yourself from your live data connection which pushes live level 2 data to your PC.

[wadams]

Sorry for the confusion. I was using "historical data" in different ways throughout the posts. But in my mind, I was distinguishing between NinjaTrader's historical data format and dxFeed's historical data service. dxFeed's historical data service stores and makes available Bid/Ask, Last Sale, and Full Order Depth data. (See Sample dxFeed data)

Let me rephrase the steps I have in my mind:

1. I'll acquire necessary data from dxFeed. This will be a combination of their separate feeds for Bid/Ask, Last Sale and Full Order Depth.
2. Transform dxFeed data into NinjaTrader's Market Replay files. This is where I'm blocked and need NinjaTrader's help.
3. Enjoy testing level 2 dependent strategies in NinjaTrader with arbitrary symbol and day sets.

[bltdavid]

FWIW,
You can buy Market Replay data from these sources,

Market Replay Data Downloader

[NinjaTrader_Jesse]

Hello wadams,

There is not a way to import level 2 data from an external source into the platform, the only means to use level 2 is either a live data feed or playback data that was recorded from a live data feed. You would have to either download the level 2 data that is already NinjaTrader format or record it yourself.