Market Replay vs Historical Data?

[gbourque]

I've been using Market Replay data to test strategies for some time. But I'm wondering what is the is difference between Market Replay data and Historical Data. In what situations would I want to use Historical Data over Market Replay data, and vice versa?

[NinjaTrader_Manfred]

Hello gbourque,

Thank you very much for your post.

Market Replay data is provided by NinjaTrader directly, and is available for the most commonly-traded Futures instruments only. This data is available going back 90 days.

This data is recorded live on our servers and includes Level II data. By replaying this data, you replay the market movements the instrument experienced as accurately as possible on the platform, as you replay a full recording

When using historical data, the availability of data would rely on your provider. This would provide access to additional instruments, such as Forex or Stock instruments, but only includes Level I data.

Further information about the differences between both data types may also be found in our HelpGuide below:

https://ninjatrader.com/support/helpGuides/nt8/index.html?playback.htm#UnderstandingHowThePlaybackWorks

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

[Keenbean23]

Hi, I have a question about market replay data. I have found that at the end of a market session, replaying the strategy using the market replay data that I download returns a different result. More often, the result is profit in market replay and loss in real time (the previous, same market session). Since market replay data contains level II data, I'm not sure why this happens. Is anyone able to please shed light on this? I only run one strategy at a time (real time and market replay).

[NinjaTrader_Gaby]

Hello Keenbean23,

Thank you for your post.

Market Replay is a recording of live data as it is seen. While it is a complete recording of data in exact sequence, there could be some slight differences in testing when compared to live. Depending on how the strategy logic is sensitive to these differences, we could see different results.

• There is no order submission latency in Playback, while orders will need time to travel to the broker and exchange in a live scenario. This can result in slippage, which can change the PnL of trades, and if that is relevant to the strategy logic, it could control the number of trades taken.
• The origin of your regular realtime data feed may have slight differences than Playback. Market Replay data on our servers are recorded from CQG data.

Another important topic to consider is how much data was loaded, when exactly you enabled the strategy and the settings used. For example, if you connect to Playback and enable the strategy, but you have not enabled it at the same time the strategy was enabled live, it would not be an apples to apples test because the data on the chart before we hit the Enable tick box would be processed as historical data instead of realtime.

Below is a link to a forum post that demonstrates how to find what is causing differences between real-time and playback.

https://forum.ninjatrader.com/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance#post100192

Help Guide: Discrepancies - Realtime vs Backtest - https://ninjatrader.com/support/help...ime_vs_bac.htm

Please let me know if you have any further questions.