Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Historical Tick Data Replay

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    Historical Tick Data Replay

    Hi,
    I created a strategy that I am testing via the playback function but I am using historical instead of market replay data. The strategy uses a 5 min timeframe with an added series of 1 tick chart for the intrabar granularity.
    The problem I have is that when I place an order of multiple contracts, the first contract always gets bought on the expected price, but all the others are one tick higher (for a long position, vice versa for a short).
    e.g. I place a long order of 7 contracts at price 1000. The first contract gets filled on 1000, the 6 others at 1001. And this is not normal slippage, it happens every time with every fill and independent of the number of contracts. Is that normal behavior with 1 tick data?

    It seems that the tick data do not contain level 1 data. Is that correct? Is there a way to get more reality based fills?

    Thank you.

    #2
    Hello maggo123,

    Thanks for your post.

    When using Historical data for playback NinjaTrader will use historical tick data for playback. If the tick data from your provider is stamped with ask and bid data then NinjaTrader will use that to simulate the ask and bid price during playback. If your historical data provider does not support ask/bid stamped tick data then NinjaTrader will simulate the ask and bid price by setting it either to last price or last price +/- 1 tick at random.

    This information could be found on the 'Understanding how playback works' section of the Playback help guide: https://ninjatrader.com/support/helpGuides/nt8/playback.htm

    To have more accurate tests, you could use Market Replay data with Playback instead of using Historical data. Market Replay data is the most accurate and holds both level I and level II (market depth) data.

    To download market replay data for playback, see this help guide page: https://ninjatrader.com/support/help...jaTraderserver
    Last edited by NinjaTrader_BrandonH; 08-13-2023, 04:21 PM.
    <span class="name">Brandon H.</span><span class="title">NinjaTrader Customer Service</span><iframe name="sig" id="sigFrame" src="/support/forum/core/clientscript/Signature/signature.php" frameborder="0" border="0" cellspacing="0" style="border-style: none;width: 100%; height: 120px;"></iframe>

    Comment


      #3
      Thank you, but your link leads to “ Page Not Found

      ​”

      Comment


        #4
        Hello maggo123,

        Thanks for your notes.

        I have fixed the link from my previous post and you could find the link below also.

        <span class="name">Brandon H.</span><span class="title">NinjaTrader Customer Service</span><iframe name="sig" id="sigFrame" src="/support/forum/core/clientscript/Signature/signature.php" frameborder="0" border="0" cellspacing="0" style="border-style: none;width: 100%; height: 120px;"></iframe>

        Comment

        Latest Posts

        Collapse

        Topics Statistics Last Post
        Started by ttrader23, Today, 04:48 PM
        0 responses
        1 view
        0 likes
        Last Post ttrader23  
        Started by wisdomspoon, Today, 03:50 PM
        3 responses
        14 views
        0 likes
        Last Post rockmanx00  
        Started by Mountain_cast, 02-10-2025, 11:14 PM
        2 responses
        19 views
        0 likes
        Last Post Mountain_cast  
        Started by Robotman, Today, 01:06 PM
        2 responses
        37 views
        0 likes
        Last Post Robotman  
        Started by PH_GMT, Today, 12:40 PM
        4 responses
        19 views
        0 likes
        Last Post PH_GMT
        by PH_GMT
         
        Working...
        X