Tick Replay

[reynoldsn]

On the right of Strategy Analyzer is a checkbox called Tick Replay. By default, it is false.

What would be the difference of using Tick Replay and using Market Replay?

[NinjaTrader_ChelseaB]

Hello reynoldsn,

Playback with Market Replay data plays back as real-time.

TickReplay effects historical. This allows OnBarUpdate() to update for every price change with OnPriceChange or every tick with OnEachTick when State is State.Historical.

Further reading about TickReplay.

https://support.ninjatrader.com/s/article/Developer-Guide-Improving-backtest-order-fill-accuracy-with-intrabar-granularity

http://ninjatrader.com/support/helpGuides/nt8/en-us/?tick_replay.htm

https://developer.ninjatrader.com/docs/desktop/developing_for_tick_replay

[reynoldsn]

Hmm..really good to know.

I am trying to move to bar data instead of market replay.
Trying to use Strategy Analyzer, I usually don't include Tick Interval when downloading Historical data, but I might start trying along with OnEachTick.

I know your Historical data goes back quite a few years - does that include the Tick interval?

[NinjaTrader_ChelseaB]

Hello reynoldsn,

The NinjaTrader connection (to NinjaTrader Brokerage) offers:
1 year of historical tick data
Minute historical data as far back as recorded per instrument (typically 10 years)
Day historical data as far back as recorded per instrument (typically 10 years)

If the historical data is insufficient, you may want to look into a 3rd party such as tickData,com or cqgdatafactory.

Below is a link to a google search.
historical tick data - Google Search

Also, below is a link to the help guide on the file name and content format for importing.
Help guide: Operations > Historical Data > Importing

[reynoldsn]

And when you use the term "historical" data, that would be the type of data that gets used by Strategy Analyzer, is that right?

[NinjaTrader_ChelseaB]

Hello reynoldsn,

That is correct. Historical data is used for backtesting and is also what back fills a chart when you first open it, before real-time data begins streaming.

[reynoldsn]

Just one more follow up...

Using Strategy Analyzer and referring to Tick Replay under Data Series.

Does clicking Tick Replay mean level 2 data is used?

Also, I would think that if a strategy is using

• Calculate.OnEachTick
• Calculate.OnPriceChange

that one would want to use Tick Replay.

Would those be the primary reasons to check TIck Replay?

[NinjaTrader_ChelseaB]

Hello reynoldsn,

No, TickReplay consists only of level 1 Last tick data.

TickReplay would be used to allow Calculate for each tick or price change in historical.

If you are using Calculate.OnPriceChange or Calculate.OnEachTick and you want this to be effective in historical, enable TickReplay.

[reynoldsn]

I really appreciate your help, Chelsea.

I've been doing a lot of NT development lately and as I get a little better with results, I keep questioning myself that I'm doing something wrong with the data.

For years, I always used Market Replay but over the long haul that is just not practical for doing long time period testing. And I always had a feel that Market Replay is close to "real-time". That led me down the road of trying to understand how Strategy Analyzer consumes data.

Again, you've been very helpful.