Historical Tick Data Replay

[maggo123]

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.

[NinjaTrader_BrandonH]

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

[maggo123]

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

”

[NinjaTrader_BrandonH]

Hello maggo123,

Thanks for your notes.

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

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