Market replay question

[gamblerKi]

I imported some tick data through the Historical Data Manager successfully. The tick data was stored in :

"C:\Documents and Settings\gamblerKi\My Documents\NinjaTrader 7\db\tick".


I found that the NinjaTrader Replay did not read the data in the above directory, instead it read the data in :

"C:\Documents and Settings\gamblerKi\My Documents\NinjaTrader 7\db\data"

Questions:
1. Can the NT Replay engine use the imported tick data?
2. What is the purpose of importing tick data in NT?

Thanks.

[NinjaTrader_AdamP]

gambler,

There is a third party utility that lets you replay whatever data you want. I'll try to remember what it is.

Otherwise, market replay data is separate from historical data. Importing data is for charting.

I seem to remember links to this utility can be found in our forum.

[StockJock]

I'm having trouble with replays on equities with the simulator. I followed the instructions in your self help video library to get replay data imports. Example: I tried to import replay data for BAC with level 1 and level 2 data for last Friday February 10, 2012. I get an error that says "There is no L1 replay data available for instrument/date" So I tried again for Feb 3rd and I get the same error. I tried several other equities that I usually get real time data from TD Ameritrade, but there's no replay data for them. What's the solution?

I then went to the historical data download window, I had all the checkboxes checked and I get an error "Error on loading chart data for ''BAC Default": Error - response too short {2D}{20}{2D}{20}{2D}" What's the solution?

I have no idea what these error messages mean, nor do they give me any idea on how to resolve the problem.

Later I checked the boxes under Real-time data for "Save chart data as historical" and for "Record for market replay." Running the replay with recorded data doesn't look the same as streaming real time data. Also, there must be a way to skip over extended hours and jump directly to the next day. What's the solution?

Also when I'm in the Historical Data Manager and I click on Reload All, I get two popup errors together "Error on loading chart data for ''BAC Default": Error - response too short {2D}{20}{2D}{20}{2D}" and "TD Ameritrade ERROR: BACKFILL ''BAC": response too short {2D}{20}{2D}{20}{2D}" What's the solution?

There's lots to learn on using NinjaTrader 7. Please respond to each item I mentioned.

[NinjaTrader_AdamP]

StockJock,

Please send a message to support at ninjatrader dot com, we would be happy to help you there.

[gamblerKi]

gambler,

There is a third party utility that lets you replay whatever data you want. I'll try to remember what it is.

Otherwise, market replay data is separate from historical data. Importing data is for charting.

I seem to remember links to this utility can be found in our forum.

If I import tick data through the Historical Data Manager, this tick data is only for charting?

[NinjaTrader_AdamP]

Gambler,

Correct. There is a utility I have seen before that links to the external data feed which can replay tick data from text files I believe. I am having difficulty finding it. I would suggest perusing our forum.

Please let me know if I may assist further.

[crimsonite]

I have a similar question, although probably more noobish ,

I did the following:

1.) Download Replay data from file>utilities>replay download - I did it each day individually for the one contract I need data for
2.) I opened Market Replay connection
3.) I made a strategy in the strategy tab
4.) I pressed play, and fast forwarded...

however no orders or anything. I'm probably doing something wrong... any thoughts?

[NinjaTrader_AdamP]

crimsonite,

Is the strategy enabled? I.e. is it green in the strategies tab?

Could you please check your log tab for any error messages?

I look forward to helping you resolve your issue.

[crimsonite]

crimsonite,

Is the strategy enabled? I.e. is it green in the strategies tab?

Could you please check your log tab for any error messages?

I look forward to helping you resolve your issue.

It's enabled, and green.

Is it appropriate to download and re-download data for each individual day? Is data downloaded for the past few weeks when I do just one day? I was running a one week time frame, from five days I downloaded... I also have the Replay account selected. Thanks for your help.

[NinjaTrader_AdamP]

Crimsonite,

One one day at a time is downloaded. Perhaps this explains the issue? You also must download instruments separately.

It has been suggested as an enhancement to allow download of date ranges.

Please let me know if I may assist further.

[crimsonite]

It works!... my strategy just was not placing any orders that day. I checked my backtest data on periods to pick a day where I knew it was making orders, and replayed that day. Thanks

[crimsonite]

One small note... on market replay, some days the market replay is more than the backtest data, on most others, it is about half.

Is this normal? I'm assuming I should be trusting the market replay data over backtest data?

Also, when I ran market replay, I setup multipule strategies, each with 0, 2 and 4 ticks of slippage respectively, just to see what happen. The slippage did not kick in (see attached - same results).

[NinjaTrader_AdamP]

crimsonite,

Most data should be available in market replay, though its variable for each instrument.

As far as your slippage, I will have to ask our tech lead about it as I am not sure how this is calculated in market replay.

[crimsonite]

crimsonite,

Most data should be available in market replay, though its variable for each instrument.

As far as your slippage, I will have to ask our tech lead about it as I am not sure how this is calculated in market replay.

Okay... thanks...

[gamblerKi]

Gambler,

Correct. There is a utility I have seen before that links to the external data feed which can replay tick data from text files I believe. I am having difficulty finding it. I would suggest perusing our forum.

Please let me know if I may assist further.

Hi AdamP,

I googled the external data feed. A NT member (VitaminC) developed an application (NTDataFeeder) to feed data into NinjaTrader from various historical replay data format. However, that application is not available on the internet anymore.

It is possible to create an application to read a tick data from a text file and then feed the data to market replay, right? If yes, do you have more information on the API stuff? because it seems the information in the NT support guide is not sufficient.

Thanks!