No way to work with Daily data while in Market Replay with a Strategy or an Indicator

[futurenow]

Hello

I’m testing a strategy that uses both intraday and daily data, it works as should if it runs in live data, but now I’m trying since yesterday to get it work while using the Market Replay in NT8 but for now haven’t been possible.

After make many tests I’ve noticed the problem is about Daily data while using the Market Replay, because when in the secondary DataSeries I change the time-frame from Daily to intraday (60 min bars for example), then the strategy starts to work and it also loads the historical trades in the historical data loaded in the chart.

The only thread I’ve found talking about working with Daily data during Playback or Market Replay in NT8 was the next:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/indicator-development/1148155-bars-getdaybar-1-always-returns-null-using-playback

I tried with replay that says:
“There must be enough intraday historical data on the chart to calculate the daily bar. The best way to do this would be to connect to a data feed and download the historical data through the Tools>Historical Data downloading tool. After you load the chart with sufficient historical data the day bar will be able to calculate.”

But the described solution didn’t work at all, and even I tested with the attached indicator in that thread “TestDayBar.cs”, and that script confirmed it only works while connected to a live datafeed or when NT8 is not connected to any datafeed but with the chart loaded with historical data, BUT when connected to playback that script doesn’t show the Daily time-frame information.

• I tested in 2 PCs, trying to get Daily (D1) information while in Market Replay.
• In the 2 PCs, I downloaded historical data for some range of dates, as for example shown in the attached picture.
• In the 2 PCs, I also connected NT8 to a live datafeed and loaded some charts with historical Daily and intraday (M1) data from hundreds of days, to make sure there are enough historical data.
• In the 2 PCs, re-downloaded the Market Replay Files to make sure the files are ok.
• One of the computers has a relatively new NT8 installation with minimal usage but the other computer is the one I normally use, that has to have enough historical data stored.

Why the Market Replay simply don’t look for the Daily values in the Market Replay locally stored files? Because for example, the Open and the Close in Daily time-frame are just the first and the last bar values in the files.

But even better, why the Market Replay files simply don’t contain a simple extra line with the OHLC values for the sessions they store inside and in that way to cover these cases and not being causing these kind of situations where a very basic information in not available until you have to do a process to have a datafeed, then to download historical data, connecting here, disconnecting there, connecting here again, and even doing that then not guarantee to have the available Daily data. 4 (OHLC) extra number values per file and done.


What could be happening that I haven't been able to work with Daily data nor in a Strategy, neither in a Indicator while using Market Replay even trying what explained above?


Thank you

[NinjaTrader_Emily]

Hello futurenow,

Thank you for your post.

Please clarify; are you using the Market Replay mode in Playback or Historical mode? There are two options inside of the Playback controller and I want to double-check which option you have selected.

Based on your screenshot, you downloaded ES 09-22 minute data for that time period. In order to use historical data on Playback, you must download historical tick data, as noted in the help guide here:

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

If you are using the Historical playback mode, you will need to download the appropriate data to ensure proper function. Please test again after downloading historical tick data, and if the symptoms persist please list the steps you are taking so I may test on my end to see if I am able to reproduce the behavior.

I look forward to hearing the results.