Could it be possible to add this two functions:
OnReplayMarketData(MarketDataEventArgs e)
OnReplayMarketDataDepth(MarketDepthEventArgs e)
linked with a boolean variable use in initialize function like UseReplayDataInHistorical (default FALSE).
My meaning of this functionnality is when Ninjatrader reads historical data and if UseReplayDataInHistorical is TRUE, Ninjatrader will replay ntm or nt2 data files in this 2 functions without using replay.
This solve at least 2 issues:
1. In historical data, ask/bid are unknown
2. You don't have to replay at 500x months of data for each instrument if you want to test strategy or indicator with right ask/bid.
A another way is to have the structure of ntm or ntm2 file or class to read them like NTMReader or NT2Reader.
Thanks
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