Market Replay Data Of Previous MNQ Future Contract

[Caspersky_]

Hi,
Im trying to download Market Replay Data @ 18/09/2023 and failing, how to do this correctly ?

[NinjaTrader_BrandonH]

Hello Caspersky_,

Thanks for your post.

Only the past 90 days of Market Replay data can be downloaded from the NinjaTrader servers.

This means that you would only be able to download Market Replay data from October 25, 2023 to today's date (January 23, 2024)

To get Market Replay data further back, you would need to research a third-party provider that offers this data.

This forum thread will be open for other community members to share their insights on possible third-party providers you could get this data from.

[halgo_boulder]

I have a feature request related to this topic:
1. be able to download market replay data by selecting a start date and end date rather than 1 day at a time
2. have the contracts automatically roll over in market replay data so we don't have to work back to figure out exactly which contract to get for replay

It would be great to be able to run tests on replay data for weeks at a time... since the back testing engine seems to give unreliable results.

[NinjaTrader_BrandonH]

Hello halgo_boulder,

Thanks for your notes.

We are tracking interest for these features in existing internal feature request tickets and I have added your vote for these feature requests.

1. This request is being tracked under the number SFT-2943.
2. This request is being tracked under the number SFT-2773.

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

[halgo_boulder]

Awesome. Thank you.

[Caspersky_]

Thanks, this leads me to another question,
Does the Strategy Analyzer Tool takes into account Roll Over affect when testing previous instrument contracts ?
Namely, If I'd like to test my strat on 18/09/2023, Does it will perform accurate tests (Using Market Orders) ?

[Ray12345]

I have a problem with downloading Market Replay.

1. In the good old days before the orange virus it was possible to have a Favorites list for the instruments one wanted to download. Has this now been deleted ?

2. If I want to download up to 90 days back when I select the instrument the ONLY option I get is the forward month. So 90 days ago would need to be the DEC23 contract rather than the now default MAR24. If I do download back 90 days it creates a MAR24 folder and puts the data in there instead of the previously created DEC23 folder. I need to go into the actual NT data folder and move it from one folder to the other. Has the method been changed for downloading and I have missed something. ?

3. I have already uninstalled the latest version and gone back to 8.1.1.1.7 to avoid the compiler error problem. I want to go back to version 8.0.27.0 before history / market relay was butchered, which is also before the orange virus appeared. I guess that will be my final version to use as I can't see the major current problems ever being fixed. Can I get a link to 8.0.27.0 because it can't be downloaded from the Latest News / Versions list. It only takes you on a long distance cruise to the latest version prior to the current version, There is no option to go back further than that to older versions. I believe a link to version 8.0.27.0 will be the fastest solution.

Thank you

[NinjaTrader_BrandonH]

Hello Ray12345,

Thanks for your notes.

8.0.27.0 is not a version of NinjaTrader that can be downloaded anymore and we do not have a download link to provide for that version.

The most recent version for 8.0.X.X. is 8.0.28.0 and this could be downloaded on the NinjaTrader Account Dashboard at account[dot]ninjatrader[dot]com.

To download 90 days of Market Replay data, you could open a New > Historical Data window, expand the 'Market Replay' section, set the instrument to the current front month, and set the date to the date you want to download Market Replay data for. Note only one day of Market Replay data could be downloaded at a time.

Market Replay data for previous contract expiries would appear under that contract expiry. For example, data from ES DEC23 would appear in an ES DEC23 folder.

When playing back the data, you must use the contract expiry of the date you are testing. If you are testing Market Replay data for a date in the ES DEC23 contract expiry, the chart would need to be set to ES DEC23. If you are testing over data for a date in the ES MAR24 contract, the chart would need to be set to ES MAR24 to see that data.

See this help guide page for more information about downloading Market Replay data: https://ninjatrader.com/support/help...l?set_up12.htm

See this help guide page for more information about Playback: https://ninjatrader.com/support/help...8/playback.htm

NinjaTrader does have Instrument Lists where you could create an Instrument List containing your favorite instruments.

Note that Market Replay data can only be downloaded for one instrument and one day at a time. Historical Data could be downloaded for an entire instrument list.

See this help guide documentation about Instrument Lists: https://ninjatrader.com/support/help...ment_lists.htm

[venu29calm]

Hi, can you please help. After the roll over, i am not able to see ES Mar24 or any of the other futures contracts in the instrument drop down to load the charts. I can see in the tick replay window in the historical, there are days for which this contract is showing , but cannot find a way to launch a chart with that data. Need urgent help to do back testing

[NinjaTrader_BrandonH]

Hello venu29calm,

Thanks for your notes.

If you rolled over your ES instrument to the current contract expiry, you would need to use that current contract expiry when you open a chart window.

For example, the current contract expiry date for ES is ES 06-24, or ES JUN24 if your Symbology display style is set to Month Abbreviation.

To view the ES instrument, open a New > Chart window with the instrument set to ES JUN24.

If you are backtesting a script in the Strategy Analyzer window, NinjaTrader will use the Merge Policy setting you have set to determine how the chart/data will display.

When MergeBack or MergeNonBack Adjust is selected, the contract month selected should be the contract month of the last day of data in the test. (or today's contract month)

When DoNoMerge is selected, the contract month should be the contract month of the data being tested.

See this forum thread for more information: https://ninjatrader.com/support/foru...nth#post782986