Market Replay / Playback. Huge candles.

[lucyb]

I downloaded some previous days ES to test out my strategies. On the surface they look fine but when I hit play they just play out as huge candles so something is wrong but I'm unsure what.

2000 tick chart es.

[NinjaTrader_Clayton]

Hello lucyb,

Thank you for writing in.

Please make sure your chart Window is set to the same Contract and instrument as the data you downloaded and try again. If it is from another contract, it could cause odd -long bars.

Please follow along with these videos I made that go over using the Playback connection with each type of data:

• How to use the Playback Connection with Market Replay data
• How to Playback Historical Data

Some things to be aware of when using the Playback Connection:

• Make sure you have the same Instrument and Contract/Expiry selected in each Window as the Market Replay data that you downloaded
• Make sure you actually have market replay data downloaded for the specific Instrument, Contract, and Date that you are looking at
  • If you downloaded the 1st, 2nd, and then accidentally skipped the 3rd and then downloaded the 4th and 5th, it would look like it wasn't working on the 3rd for that instrument and contract specifically
  • Go to the Control Center > Tools > Historical Data > Click the + next to Market Replay > Click the + next to the Instrument and then Expiry/Contract > Make sure you have the date and specific time you are looking at downloaded
• Make sure you are not looking at a time the Instrument isn't traded, a Saturday, or a Holiday
• Make sure the Chart or Window has the correct Instrument and Expiry/Contract selected
• If looking at a Chart and SuperDOM and the SuperDOM is moving but the chart isn't, check the Trading Hours Template on the chart:
  • Right-click on the Chart > Data Series > Properties > Time frame > Trading hours > Set this to "Default 24x7" and click OK
  • Right-click on the Chart and select "Reload all historical data"
• If the chart is still not working:
  • Create a New Chart and make it a 1 Minute chart
  • Set the Trading Hours Template to "Default 24x7"
  • Make sure "Template" in the top right is set to <None>
  • Click OK to make this chart
    • Does it load in and move as expected?
    • If you open the Chart Trader panel, does it show the Ask and Bid values updating or just 0's
      • If the values are updating, this means there should be moving data
      • If the values show 0's there is no market data downloaded for that specific Instrument, Contract, and Time/Date

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

[lucyb]

Hey, thanks for your reply. I checked through your list.

The end part where you suggest 1 minute chart works fine. But some of the days I downloaded do not work with ticks. ES 09-24. As soon as I hit play, it just creates huge candles.

Is it something to do with the rollover? some of the days toward the end of June are fine. But the ones I downloaded earlier in the month are all creating these huge candles.

[NinjaTrader_Clayton]

Hello lucyb,

Thank you for the update.

I would suggest to remove those specific days where the data isn't appearing as expected and re-download it.

• Go to the Control Center > Tools > Historical Data
• Click the + next to Market Replay
• Click the Instrument and contract > Click the specific date of data > Right-click > Click Remove
• Then, re-download the Market Replay data for that date and instrument/contract and test again
  • 

If the behavior continues, please take a screenshot of the entire chart that is showing the long bars and include that in your response so we may verify if we see the same on our platform:

• To send a screenshot with Windows 10 or newer I would recommend using the Windows Snipping Tool.
  • Click here for instructions

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

[lucyb]

ok, I guess I answer my own questions. I should be downloading 06.24 before the rollover date?

[lucyb]

after removing the file from 09-24, 4th June and re-downloaded it. The problem remains.

When I skip the playhead through the day, the bars look as they should. As soon as I hit play is when the big bars start. See this screenshot on the right.

[NinjaTrader_Clayton]

Hello lucyb,

Thank you for the update.

This is a result of the point before the playhead being loaded in with Historical Data from the ES 06-24 contract and not the ES 09-24 contract at that time.

Please switch the Merge Policy in your platform to "Do not merge" then right-click on the chart and select Reload all historical data.

• How Can I Learn How NinjaTrader's Merge Policy Impacts My Charts?
  • Now, it will show the specific historical data for the Instrument and Contract that is specified in the Chart's Instrument selection dropdown menu

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

[lucyb]

So I have to switch to the 06-24 contract to view 4th June data ?

[lucyb]

Hey. I'm still having issues with this.

I have my settings set to DO NOT MERGE. All the 09-24 contracts from days 17th June to present work fine.

However. When I try to load 06-24 contracts from before this date. When I run my strategy I get zero output, zero trades, nothing. Everything looks fine. I can see the historical data and it plays fine. Just my strategy will not work on it and there's not a single entry in the Ninjascript output other than enable/disable.

[NinjaTrader_Erick]

Hello lucyb ,

Thank you for reaching out.

June 17th was the date within NT8 when the 06-24 contract rolled over to 09-24

So on the chart where you are trying to play back days before June 17th, please select the 06-24 contract on your chart before playing.

Let us know if you have any other questions.

[lucyb]

Hello, that's what I'm doing and this is the problem, the 06-24 contracts prior to June 17th. They don't interact at all with my strategy. The data looks fine and plays fine but my strategy doesn't work with them.

And I definitely have 06-24 contracts loaded because 09-24 prior to June 17 are more or less empty.

[NinjaTrader_Erick]

Hello lucyb,

Thank you for your message.

If I am not mistaken, you have to select an instrument for your strategy to execute on.

In your strategy settings, do you have it set to ES 06-24 or ES 09-24?

Also, is the automated strategy you are working with, a strategy coded by yourself using the Strategy Builder, or was it acquired from a 3rd party?

If it is your own coded strategy, please contact our engineering team at

[email protected]

and they will be able to guide you if you need assistance modifying it.

If it is a 3rd party strategy, you would want to contact the developer for assistance with their software.

Please let us know if you have any other questions.

[lucyb]

Ah you are correct. When I add my strategy you also have to select the contract there as well. Thanks a lot.

Is there a specific reason why you need to assign a strategy to an instrument there? I think it's not so clear. Perhaps in the strategies panel it should display which strategy is assigned to which instrument in it's own column. Otherwise you have to edit each one to see

[lucyb]

Hey, still I have issues with this.

When I download market replay data I will often see huge candles that clearly aren't meant to be there. I have pause and reload the historical data all the time. I have my strategy applied directly to the chart.

In the screenshots you can see before and after reloading of historical data.

[NinjaTrader_Erick]

Hello lucyb,

Thank you for your post.

Since the speed of Playback affects the order in which the ticks come in, playing back the data at a faster than normal rate can alter your fills. If you are using an automated NinjaScript strategy, the Strategy Analyzer window may be a better alternative than using the Playback Connection. I've included a link with some additional information about the Strategy Analyzer from our help guide;

Just a moment...

https://ninjatrader.com/support/helpGuides/nt8/strategy_analyzer.htm

Please let us know if we may assist you any further.