Market Replay Data 1m FX candles are very "blocky" compared to "real" 1m candles

[bippo]

Hi,

I downloaded Forex Market Replay Data from one of your partners (marketreplaydata.com). I understand they get the data from the Ninjatrader servers, so I'm asking you.

My question concerns how the candles of the forex data I downloaded look on the 1 minute charts - compared to "real"/live 1 minute candles. Here's an example:


1 minute Market Replay Data candles the way they look in Ninjatrader:
http://i.imgur.com/OjceR68.png


1 minute candles on any other broker or charting software (in this example I'm showing a Tradingview.com candle):
http://i.imgur.com/FHDN8Ek.png


As you can see, the 1 minute candles on the Market Replay Data

-look very blocky / rectangular / choppy
-almost always have a length of 1 pip between open and close
-almost never show any candle wicks/shadows/tails

compared to the "real" chart I also linked above. The candles of the "real" chart 1) intersect each other, 2) differ in length and 3) have wicks/tails/shadows of differing lengths.

1. Is this normal?
2. And could you explain why the candles of the Market Replay Data 1m candles look like this?
3. And last, is there anything I can do to fix this?

My original intent was to backtest my strategies on a 1 minute chart, which I think isn't possible if the candles look this way. I assume that the "granularity" for the 1m candles recorded by your service simply isn't small enough to show more subtle nuances on the 1m time frame, so nothing can be done. Is that correct, and if so, would you therefore recommend me to backtest my strategies on a higher time frame, such as 5m or 15m?

I've read a lot about trading but I'm still very new as far as real trading and backtesting is concerned, so I'm really looking forward to your response! Love your detailed forum support, by the way!

[jackt]

Hi I'm a user too. I had the same problem before and don't think there's anything you can do about it, because the quality of the data is just bad.

I suggest that you test your strategy on the corresponding FX futures data. NT's futures market replay data is very good. If you trade 1M chart it wouldn't make a big difference.

Jack
=======
P.S.: I don't know about your time zone, but the NT chart you showed is likely during Asian session, or US afternoon, when liquidity is low.

The Tradingview.com chart, on the other hand, is total crap.

[NinjaTrader_Jason]

Hello bippo,

Unfortunately the Market Replay data does not include tenth pips (5th decimal). It plots price in 4 decimals only. The other platform uses 5 decimals which is why you see differences.

NinjaTrader itself supports tenth pips providing the connected data feed/broker sends such data. You would then set 'Quote currencies (FX) in' to TenthPip, which you can find at Control Center-->Tools-->Options-->Data-tab. Unfortunately setting it to TenthPip will not change the Market Replay data to include 5 decimals.

[bippo]

@jackt: thanks for your futures trading suggestion. At this moment in time I'm not prepared to learn about how to do the contract rollover / continuous contract thing which - I heard - you have to do if you want to trade futures, so I'll concentrate on FX first. Maybe sometime in the future.

And yep, the Market Replay Data in my screenshot is from the beginning of the Asian session which indeed is illiquid..


@Jason: thank you, that pretty much cleared it up.

[bippo]

Hi again,

It's been two years since my last post.
I'm now giving NT another try, but I'm encountering the same problem. This time, I'm using the FXCM Demo feed (not Market Replay Data, like two years ago).
Even though I set "Quote Currencies (FX)" to "TenthPip" (Options => Data), my EURUSD 1 minute chart still looks very blocky/chunky - even though FXCM is a broker specialized in currencies.

I also have a FXCM Demo account using another trading software, and there, my EURUSD 1 minute chart looks a lot smoother, i.e. the candles do NOT all open and close at the same level, next to each other.

Does anyone know a way I can fix this? Is this problem on the data provider's end or is it native to NT7? It can't be a liquidity problem as EURUSD is still liquid enough even to the last trading minutes of the week (as confirmed by the 1 minute charts of other trading platforms).

Screenshot of chunky EURUSD 1 minute chart using live data from FXCM demo:

https://i.imgur.com/yl69G2h.png

[NinjaTrader_EricB]

Hello,

Thank you for your post.



Please write into to PlatformSupport[AT]NinjaTrader[DOT]Com along with your log and trace files and a link to this forum post.

Include ticket number 2205068 in the body of the email.

Please follow the steps below to manually attach your log and trace files to your response so I may investigate this matter further.
Open your NinjaTrader folder under Documents.
Right click on the 'log' and 'trace' folders and select Send To> Compressed (zipped) Folder.
Send the 2 compressed folders as attachments to this email.
Once complete, you can delete these compressed folders.


We look forward to assisting further.