Downloading Replay Data

[MakesTrades23]

I'm not sure if this is the right place to be asking this but I'm having some trouble downloading replay data.

I can do it fine if I want to do the current contract but if I am trying to download a random day last year I can't determine which contract I need to download with it.

As an example if I wanted to download data for February 15th, 2016 which CL and NQ contract would I download to load that? Is there a general rule of thumb as to which is the right contract given the day?


Thanks for your time,

Ryan

[NinjaTrader_JamesC]

Hello,

Thank you for your Post.

Yes, this is the perfect place to post your question for Technical Support issues with the platform.

For the example in your question, I will first point out that this would not be possible as of today's date since NinjaTrader servers only provide up to 366 days worth of Market Replay data.

For futures contracts, the rollover dates are usually done in 3 month (quarterly) or 1 month increments.

To see the rollover dates that are set within NinjaTrader for an instrument, you can go to the Control Center -> Tools -> Instrument Manager. Next, type in the instrument symbol in the "Name:" box or type in a general description in the "Description:" box and then click "Search". Then, click on the row with your instrument to highlight and click the "Edit" button. Next, click the "Misc" tab, scroll down to "Contract months" and click inside the box with "52 contract months defined" and then click the box with "..." . In the "Contract Months" window click on the dates on the left to highlight and you will see the "Rollover date" on the right under "Misc".

For example, the ES 03-16 contract has a "Rollover date" of "12/10/2015" and the ES 06-16 contract has a "rollover date" of "3/10/2016". Therefore, for any date from "12/10/2015" to "3/9/2016" I will want to choose the ES 03-16 contract and for any date after "3/9/2016" I will want to choose the ES 06-16 contract.

Of course keep in mind you will still need to take into account that there are only 366 days that are available for Market replay data.

Please let us know if we may be of further assistance.

[bobajob78]

ZB level 2 data

I have not been able to get working level 2 data in the front month of the ZB contract using the Market Replay function. The level 2 data works until about 11:27ish and then freezes.

Any reason why this is happening? It is many weeks now where I can't get this data to work after 11:30 at night and nothing for the entire next day.

I have tried 2 different computers, one with a demo version and the other an actual Ninjatrader brokerage version.

Many thanks in advance.

Nick

[NinjaTrader_JamesC]

Hello Nick,

Thank you for your reply.

Can you please tell me the day that you have downloaded and are attempting to replay so that I can test this issue on my side. If you have tried multiple days, please list them in your response.

Also, does this happen only with the ZB or does this happen with other instruments as well?

I look forward to your response.

[geekodude]

Hello, I am using NT8.0.5.2 and want to download replay data for ES 03-17 contract. However, I am not able to find this contract in the instrument list (maybe because I opted to do a rollover during installation). I can only download ES 06-17 contract replay data. Any way around this?

Thanks in advance.

[NinjaTrader_JamesC]

Hello,

Thank you for your post.

Please follow the steps below to download data for the ES 03-17 (or other expiry) contract.

1. From the Control Center go to Tools -> Historical Data
2. In the Historical Data window, click on the "Load" tab
3. Click the arrow pointing to "Get Market Replay data" to expand this section
4. Click inside the drop down box under "Instrument" and type "ES 03-17" (you may need to erase "Select")
5. Under "Date", click the arrow in the drop down box and choose a date for the "ES 03-17" contract
6. Click the "Download" button

Please follow the steps below here to add the "ES 03-17" contract to your "Instrument Lists" so that you are easily able to pull the contract up on the chart.

1. From the Control Center go to Tools -> Instrument Lists -> Futures (under Lists)
2. In the "Instrument Lists" window and on the right under "Instruments" click the "add" button at the bottom
3. In the the input box that is displayed, type in ES 03-17 and then hit the "Enter" key on your keyboard
4. Click the "OK" button

You should now be able to see the "ES 03-17" contract listed in the instrument drop down section of your chart (or other windows) under the "Futures" list.

Please let us know if we may be of further assistance.

[geekodude]

Hello thanks for the quick reply. I did everything outlined in the Historical Data Screen. For some odd reason, what you outlined in the Instrument List, I cannot find ES 03-17. So the replay files still cannot download.

See video link.

https://screencast.com/t/xIEgsqqeAj90

[NinjaTrader_JamesC]

Hello,

Thank you for your reply.

I've tested this out on my end and I asked my lead about this issue. For Market replay data in NT8 you will only be able to go back 90 days to download data.

This means that you would only be able to get Market Replay data from as far back as January 6th of this year since it is currently April 6th. Although, there are some known issues with particular days in January that the Data Team is currently aware of.

Please let us know if we may be of further assistance.

[geekodude]

It's working. Thank you so much. I downloaded January 6 replay data onward.

[bobajob78]

On the subject of market replay data - as an example - this last week 3rd to 7th of Aprill. I have downloaded the front month data for ZB, ZN and ZF. Data starts out present for all, but only the ZF level 2 data is in sync with the best bid / offer. Both ZB and ZN contracts have level 2 data that is frozen after a certain period (varies) away from the market. I have just added the ZF contract and so wonder if this is the issue. I shall try to delete the other contracts and re-add them, to see if that resolves the problem.

UPDATE - After removing the contract and re-adding it there is no difference. The ZB contract stops first with level 2 at around 11pm, the ZN stops around 1am and the ZF continues ok.

[NinjaTrader_JamesC]

Hello,

Thank you for your post.

Are you using NinjaTrader 7 or 8? Also, what day/s did you test? Which day does the ZB contract level 2 data stop at around 11pm, the ZN stop around 1am and the ZF continue ok?

I would like to test this out on my end to see if I get the same results.

I look forward to supporting you further.

[bobajob78]

If I test Thursday last week all markets (ZF,ZN, ZB) all stop at around 11:18pm. Typically I see the level 2 data drop out around 11pm - 11:30pm. It has been this way since around the middle of January.

Is there a software update I should install? I am using Ninja 7 for compatibility reasons.

Thanks,

[bobajob78]

I resolved this issue by deleting all of the replay files - including the database file. This seems to have resolved the issue! Not sure which file did it exactly.

[NinjaTrader_JamesC]

Hello,

Thank you for your reply, and letting us know that you were able to resolve this issue.

Please let us know if we may be of further assistance.

[bobajob78]

Ok - so now it is back to how it was - i.e. not working. All of the treasury bonds stop level 2 at about midnight in Replay. I don't know if this had anything to do we me needing to change my clock an hour back for some reason. Getting pretty tired of this. Have deleted all of the database files as I did before but no difference this time.