20240123 3:50PM EST another out of synch replay

[halgo_boulder]

Well at least I know my strategy still works and it was b/c market replay was out of synch.... again.
I literally just reloaded these files too. Ugh.

[NinjaTrader_Clayton]

Hello halgo_boulder,

Thank you for the message.

It isn't unexpected for a chart to look different after reloading the historical data. Especially when it is a Tick based chart like the Volume chart you are looking at.

Please see the link below for more information:

• https://ninjatrader.com/support/help...aFromTheServer

Please let us know if we may provide any further assistance.

[halgo_boulder]

The image is of 2 instruments... MNQ and NQ. The prices should be the same on replay should they not?

[NinjaTrader_Clayton]

Hello halgo_boulder,

Thank you for the update.

While the MNQ and NQ are based on the same underlying commodity, they are both their own independent instruments with their own price and volume.

• While it is common for their prices to be similar, it isn't expected for them to line up perfectly.

Since you are looking at a Volume Chart which is Tick-based, it would be expected for them to be even more different

• If there are just a few ticks of data that are different between the two, that would have a domino effect on all of the data after that point in time and could make the charts look very different.

So, we wouldn't expect things to line up perfectly between the NQ and MNQ even though they may often be very close. This would be true for all of the Futures that have a Micro variation based on the same commodity like the ES and MES for example.


Please let us know if we may provide any further assistance.

[halgo_boulder]

I'm pretty sure that at any given instant (time) in the market... they should line up... maybe differ by a few points, but not by 20.
Here is current live market... NQ on top and MNQ on bottom.

So am I correct in thinking they will not differ by more than a few points at any given point in time?

[halgo_boulder]

I know they are separate products ... but they trade off the same price level do they not?

[NinjaTrader_Clayton]

Hello halgo_boulder,

Thank you for the update.

They do not share a price level.

They will have their own prices and if they differ by a few points, that is because they do. They are separately traded instruments with their own volume

• In your picture above the MNQ shows 17700.00 and the NQ shows 17699.75.
• That is only a difference of 1 Tick or .25 points.

In addition to that, your chart in NinjaTrader is based on the Volume of trades for each instrument.

The MNQ traded almost twice the volume of the NQ today, so it would be expected for the charts to look different:

• 
  • https://www.cmegroup.com/markets/equ...l#venue=globex
  • https://www.cmegroup.com/markets/equ...l#venue=globex

Please let us know if we may provide any further assistance.

[halgo_boulder]

If you look at my first post... the prices differ by 20 points. This is on replay.

Back to my original issue:

On replay... they should NOT differ by 20 points.

The second image I posted was live market data. I would not be surprised if they differ by 1 or 2 points during the day.

So the original issue is and remains:

During replay... sometimes they differ by 20 points or more. This seems to be an error in replay. How can I fix it?

Thanks.

[NinjaTrader_Clayton]

Hello Halgo_boulder,

Thank you for the update.

What was the Date and Time showing in your original screenshot? Please provide the time in EST.

I would like to download the market replay data for that day and test it myself and see if the values were just 20 points different at that time.


We look forward to your response and resolving your inquiry.

[halgo_boulder]

Hi Clayton,

I apologize for double posting about this same issue... but looks like Christopher was able to reproduce the error and is looking into one of the examples. It happens a few times in January... here is the other post I started with screen shots and exact day/time for one occurence.

https://forum.ninjatrader.com/forum/ninjatrader-8/platform-technical-support-aa/1289396-jan-12-2024-11am-est-replay-data-out-of-synch

[NinjaTrader_Clayton]

Hello halgo_boulder,

Thank you for the update.

Since you originally posted the other Forum thread first and this one has been more focused on why data could look different between a contract and its micro-variation, please continue responding in the other forum thread if you have any further questions or comments about this so we aren't working on the same thing in two places.

[halgo_boulder]

Yes of course. Feel free to remove this thread so the other is the only instance.