Strategy Analyzer with Level 2 Data?

[iantriestrading]

If I'm subscribed to level 2 depth of market data on Tradovate, and subscribed to Order Flow Plus on Ninjatrader, then can my strategy access the L2 depth of market data when being tested in Strategy Analyzer?

[NinjaTrader_ChelseaB]

Hello iantriestrading,

Unfortunately, Level II market depth is not recorded as historical and is not available in backtest.

[iantriestrading]

Ouch What about Market Replay?

[NinjaTrader_ChelseaB]

Hello iantriestrading,

Level II data is recorded with Market Replay data and is available in Playback.

[iantriestrading]

Hey Chelsea, that's great news! Thank you

[iantriestrading]

How many tiers of Level II data is recorded in Market Replay? It seems like only 5 ticks up and 5 ticks down.
When I trade live, I get a lot more tiers than just 5 up/down

[NinjaTrader_ChelseaB]

Hello iantriestrading,

While this is dependent on the instrument, I would expect 10 levels of ask and 10 levels of bid to be available for the most popular future instruments.

[iantriestrading]

Hey Chelsea, I'm trading NQ mini.
In market replay, the latest day I've downloaded never seems to have DOM data included. All previous days do though. Is DOM data added to the download separately at a bit later time after the day's download becomes available?

[NinjaTrader_ChelseaB]

Hello iantriestrading,

Yes, this is my understanding. The current day will not have level II data but it does get backfilled at the end of the day.

Below is a link to another thread where this is discussed.

https://forum.ninjatrader.com/forum/ninjatrader-8/platform-technical-support-aa/1332297-level-2-market-replay-data-not-available?p=1332447#post1332447