Market Replay Data Has Gaps

[Blaze212]

Hi team,

I've recently been using Market Replay data to run backtests on strategies. I went back and downloaded the last 90 days of data for NQ 2024. I'm running my strategy with Tick Replay enabled as I need intrabar updates.

I noticed that my strategy which was configured to only take trades when the 1 minute bar's isFirstTickofBar == True would take trades at any second, but only when looking at the older market replay data. I decided to print out all of the ticks that were occurring. I see all the ticks when I print via the OnMarketUpdate method however when I print in the OnBarUpdate method entire minutes can pass without an update...


I took the strategy out of the loop and just ran the Market Replay with the chart open. Look at these two screen shots. The April dated one has tons of gaps. The left of the screen is the historical filled bars and the right is the data I replayed (MarketDataGaps.png). This goes on for over a month of data until sometime in late May/June.

Then look at the next screenshot (MarketDataFull.png) of market replay from June those bars are full like I'd expect.


What's going on here? This is giving me bar results while backdating and is a huge problem for reliable test results.

[Blaze212]

I'll answer my own question. Looks like this is due to contract roll overs... It looks like viewing historical data on the chart auto merges that together but market replay does not.