Why do live data bars differ from market replay bars?

[NinjaTrader_BrandonH]

Hello QuantKey_Bruce,

Thanks for your note.

Yes, there is the ability to add intra-bar granularity by submitting orders to a 1-Tick series.

To address the original poster's inquiry, i have clarified what is referred to by "The data pump".

"When using market replay, the NinjaTrader core market data updates occur at the granularity provided by the market data provider. However, the NinjaTrader user interface only visually updates in 1-second intervals for performance optimizations. Even though the NinjaTrader UI's are only visually updating at 1-second intervals, orders, indicators, and strategies will calculate just as they were running in real-time.

This is noted in the "Understanding how the Playback Works" section of the help guide linked below.
https://ninjatrader.com/support/help...ePlaybackWorks"

I have attached a demonstration video here showing the market replay data matches or is very close to matching when comparing market replay data to realtime data in post # 90. Also in post # 90 I stated you can record market replay data from real-time data by enabling the 'Enable market recording for playback' option in the Tools > Options > Market data tab to make the market replay results similar to the realtime data.

[QuantKey_Bruce]

NinjaTrader_BrandonH I think the key question here is when you say the replay results will be "similar to realtime data" - why would they differ at all? Especially if, as you suggest, the checkbox 'Enable market recording for playback' is used to play back the exact same data as was received in realtime? How, then, could they possibly not be identical?

[NinjaTrader_BrandonH]

Hello QuantKey_Bruce,

Thanks for your note.

When comparing Tick data using Market Replay/Playback the Market Replay/Playback data pump can mean ticks are off by up to one second.

This means results will be exactly the same or very close to the same.

We are tracking interest in an internal feature request for having the Playback connection update tick per tick instead of a 1-second interval. Please let me know if you would like me to add your vote to this feature request.

[QuantKey_Bruce]

Hello QuantKey_Bruce,

Thanks for your note.

When comparing Tick data using Market Replay/Playback the Market Replay/Playback data pump can mean ticks are off by up to one second.

This means results will be exactly the same or very close to the same.

We are tracking interest in an internal feature request for having the Playback connection update tick per tick instead of a 1-second interval. Please let me know if you would like me to add your vote to this feature request.

I thought that NinjaTrader had stated that during market replay the user interface is updated at a 1-second interval but the indicators and strategies still receive every tick? When you say "ticks are off by up to one second" that is confusing, as ticks should not be off at all even if the UI is only updated on a timer basis once per second... what am I missing here?

[NinjaTrader_BrandonH]

Hello QuantKey_Bruce,

Thanks for your notes.

When it comes to comparing real-time tick bars to market replay/playback tick bars you would likely see different bars based on what historical data loaded first. You would have to have exactly the same tick starting point and all the same exact historical data before playing the playback data. If any historical data was different the real-time, playback data is going to build different bars.

The 1-second update would only really affect the building bar, it would look different based on it updating at 1-second intervals. The bar data shouldn't otherwise be affected by that.

[NickolasNT8]

I just don’t really understand this. If live data updates on a per tick basis, why wouldn’t market replay? It is another “data connection” right? I just don’t see how performance can be so much worse that the solution is to make the market replay unrealistic. It’s not true market replay at that point.

I had Jigsaw for a little while and that was TRUE market replay. Seeing the DOM update on a per second basis is essentially unusable for me to go back and sharpen my skills. Just my thoughts.

[NinjaTrader_BrandonH]

Hello NickolasNT8,

Thanks for your note.

NinjaTrader stores level I and level II together in a single market replay file to ensure that level I and level II events are perfectly in sync per instrument.

"When using market replay, the NinjaTrader core market data updates occur at the granularity provided by the market data provider. However, the NinjaTrader user interface only visually updates in 1-second intervals for performance optimizations. Even though the NinjaTrader UI's are only visually updating at 1-second intervals, orders, indicators, and strategies will calculate just as they were running in real-time"

See the 'Market Replay Data' section of the "Understanding how the Playback works" help guide page linked here: https://ninjatrader.com/support/help...gHowThePlaybac kWorks

We are tracking interest in an existing feature request ticket for having the Playback connection visually update tick per tick instead of a 1-second interval. Please let me know if you would like me to add your vote to this feature request.

[NickolasNT8]

Oh… I see these are just pre-generated responses. You’ve already added my vote to this feature request… But sure, add me 100 times if you can. Thanks

[markdshark]

We are tracking interest in an internal feature request for having the Playback connection update tick per tick instead of a 1-second interval. Please let me know if you would like me to add your vote to this feature request.

Please add my vote for this too, thank you.

Mark

[NinjaTrader_BrandonH]

Hello markdshark,

Thanks for your note.

I have added your vote for this feature request. This request is being tracked under the number SFT-2099.

As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted on the Release Notes page of the Help Guide.

Release Notes — https://ninjatrader.com/support/help...ease_notes.htm

[eDanny]

Add my vote

[NinjaTrader_BrandonH]

Hello eDanny,

Thanks for your note.

I have added your vote to this feature request.