Market Replay data missing for Friday, Sept 13 - maybe??

[StealthM93]

Hello,

I download the micro indices and gold every most every weekend. For all five instruments, the file size for Friday, September 13, is about 1/3 of the typical size. Looking at the CME website, the volumes for those days appear to be within a normal range. Looking at the date/time range in the Historical Data window, the start date/time is correct (12:00:00 AM Friday) and the end date/time shows 5pm (US Eastern) or later. Again, this is normal. I downloaded the data for each at least twice for the 13th.

I just did a quick run through MNQ for Friday, 5 minute chart, and GC, 3 minute chart. All seemed normal.

For the MNQ, here's the comparison of file size versus CME volume.



My file sizes:


According to the CME data, Sept 13th was nearly the same as Aug 27th. Yet, the Sept 13th file is clearly less than 1/2 of Aug 27th file.

I'm still using NT8 version 8.0.28.0.

Just seems odd.

Kind regards,
Matt

[NinjaTrader_Clayton]

Hello StealthM93,

Thank you for the message.

When I downloaded the MNQ 09-24 replay files for last week, they were different sizes.

• 

Either way, the size of the files should not be an issue unless you notice that data is missing.

The size can fluctuate and we do not have any additional documentation about the sizes of the Market Replay files.


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

[StealthM93]

Thanks, NinjaTrader_Clayton.

Wow, all your file sizes are much smaller. Does it depend on the version of NT8?

Anyway... As long as it's the complete, valid data, all is well.

Thanks,
Matt

[Bidder]

Dom data is missing beginning on the 13th

[NinjaTrader_ChristopherJ]

Dom data is missing beginning on the 13th

So I may look into this further can you tell me what instrument/expiry you have selected when you see this behavior.

[Bidder]

Dom data missing i.e. L2 data.
ES 09-24 starting last Friday 13th
ES 12-24 Yesterday has the same issue

[Bidder]

https://forum.ninjatrader.com/forum/ninjatrader-8/platform-technical-support-aa/1318376-market-replay-dom-l2-data-is-missing

[NinjaTrader_Clayton]

Hello everyone,

Thank you for the updates.

After further investigation, I've found that there was a change in the way the Level 2 Data is saved and provided to optimize our Historical Data and Market Replay servers:

• Level 2 will not be available/included for the current day until after Midnight, Eastern Time.
• It will then get pushed to the Market Replay Servers and then be included.

For example:

• Today is 9/27/2024
• It is currently, 4:04 pm MST (6:04 pm EST) where I'm at. If I try and download the Market Replay data for today (9/27/2024) right now, it will only include the Level 1 data.
• If I wait until after 10:00 pm MST (12:00 pm EST, so it is "tomorrow" or 9/28/2024 in the Eastern Time Zone) then try downloading the Market Replay Data, it will include the Level 2 data as well.

Moving forward, this is how the Market Replay data will work.

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