re: Market Reply settings..

[sev888]

NT support,

I wasn't sure which sub-forum to post in, since none of them listed Market Replay as a topic. I am looking to utilize your Market Reply feature, and I just read the help section on it, and watched the tutorial video (which seems like it might be out of date, since it looks like some of your screens are different looking now than in the video). My questions are the following:

1) I assume that when I run Market Replay, that I can run one of my ATM strategies, I can speed up the replay by clicking the double arrow button in the Replay window, and then I can quickly see how that ATM strategy would have played out over the day- correct?

2) When I go to Tools -> Options -> Data, I can check the "Run Market Replay Recorder" box in order to activate the Market Replay feature, but
a) where do I select which markets I want it to record? (does it automatically record all markets in my instrument list?)
b) where do I select the time frame that I want it to record?

3) Also in Tools -> Options -> Data,
a) There is the "Store real-time bar data", what is this? is this different than "Run Market Replay recorder"? does it store the data in bars only rather than ticks?
b) There is the options of "Split adjust historical data" and "Dividend adjust historical data", what happens I check these boxes? are they simply for if I'm trading stocks that split or have dividends?
c) And there's an option for "Real-time tick filter", what does this mean? doesn't the Market Replay already record real time ticks?, please explain the difference between enabling it and not enabling it? as well as what the "Bad tick offset as %" does?

4) Also in Tools -> Options -> Data, there is a "Chart default look back period", which then has a "Tick, Volume and Range" field which is currently set to 3. Is this merely a feature for chart viewing, or does it also affect the data which is stored in Market Replay, and thus would not allow me to utilize ATM strategies which require actions based on 1 or 2 ticks (i.e. Market Replay only records every 3 ticks)?

5) The help section said it's important to set up a new chart window when replaying the market data, so that I don't mess up my current workspaces charts, and said that I should set the "Days Back" input to 1, and that I should uncheck the "Include Today's Data" box, but when I pull up a New Chart, it does not have a "Include Today's Data" box (it seems that NT 6.5 has evolved since this help section), so does that mean that I don't have to uncheck this box, or is it done somewhere else now?

6) How many days of data can I store before it starts to slow or clutter my NT software? i.e. do I have to clear some sort of cache from time to time, or can I just allow the Market Replay feature to continually store data every day, and it just gets stored in a folder and doesn't clutter NT with too much data stored?

7) Are there any issues I should be aware of when using the Market Replay feature, i.e. Does it slow execution or connection speed while it's recording during my live trading sessions? Can it interfere in other ways with my ATM strategies or NT software?

8) It seemed from some posts I read that I can backtest my ATM strategies on data even further back than what I record with Market Replay, how do I test my ATM strategies for previous months' days?

Thanks for your time and assistance

[NinjaTrader_Jason]

Hello sev888,

1. Correct.

2.
a) You will record any instrument that receives real-time data in a NinjaTrader window when this option is enabled.

b) It will record as long as you receive real-time data.

3.
a) This option will store real-time bar data in the NinjaTrader database, which will be loaded as historical data upon future sessions.

b) Split adjust historical data
Enables or disables split adjusting historical data for use with any function that requires historical market data

Dividend adjust historical data
Enables or disables dividend adjusting historical data for use with any function that requires historical market data

http://www.ninjatrader-support.com/HelpGuideV6/Data.html

c) The real-time tick filter is not related to the Market Replay. Please see the link below for more information regarding the real-time tick filter.

http://www.ninjatrader-support.com/HelpGuideV6/Real-timeTickFiltering.html

4. Does not affect the Market Replay data; it sets the default value as per these intervals upon creating a chart.

5. Correct, the video is outdated; you do not have to check this option, it is not available anymore.

6. I am not sure, however I have not seen such issues that NinjaTrader became unresponsive due to many Market Replay data. Market Replay data is saved at My Documents-->NinjaTrader 6.5-->db-->data per date folder. You can delete older dates if you like. Make sure not to change the file structure of this folder or paste files that do not belong there.

7. It does not affect other NinjaTrader processes, however recording data will take some PC resources.

http://www.ninjatrader-support.com/HelpGuideV6/PerformanceTips1.html

8. Unfortunately this is incorrect; you can only backtest automated strategies using the Strategy Analyzer.

http://www.ninjatrader-support.com/HelpGuideV6/BacktestAStrategy.html

[sev888]

Thanks for your time in reply, here are a couple follow up questions:

3c) the help page states you should I use tick filtering "if you are running automated strategies where a data spikes have implications", but what is considered to be a "data spike"? is that like right before a big financial number is released and the market thins out to a 'fast market' or is a data spike something else?

6) Do such data files take up a lot hard drive space- any estimate on how much space each day's recording take up for something like the Emini SP?

7) a)the help page states that I can improve performance by unchecking "Run market replay recorder", but this is what I'm looking to do- can you give me any estimate of how much this slows down performance? is it a little or a lot?

b) the help page also states that I can improve performance by unchecking "Store real-time bar data", but if I do this, what will it affect? I can still record market replay data, but I wouldn't be able to view the market replay on my charts because it doesn't store real time bar data? also with this feature, can you give me any estimate of how much this slows down performance?

[NinjaTrader_Jason]

Hello sev888,

3c) It refers to a bad tick; a tick far away from where the market is trading.

6) You can check this yourself at My Documents-->NinjaTrader 6.5-->db-->data and check the size of each date folder.

7a) Unfortunately this is hard to determine. I suggest to have this option enabled and let me know if it slows down performance.

7b) If your data feed supports historical data, we recommend to have this option disabled, since there's no need to save real-time data as histtorical data.

This option is not related to the Market Replay feature. Not sure how it will affect performance on your end, I suggest to test it yourself as well.

[sev888]

it's tough to tell if it slows performance or not..

does ZenFire data feed supports historical data?
does TT data feed supports historical data?

[NinjaTrader_Jason]

You can check at the link below, which will list all supported data feed providers and what services they offer.

http://www.ninjatrader-support.com/HelpGuideV6/HistoricalData.html

[sev888]

8) re: backtesting a strategy
I read to the Backtesting link you provided and watched the video, and I when I went to File-> New -> Strategy Analyzer, and then right clicked on ES and selected Backtesting and got the Backtest window, at the top it gives a 'Strategy' drop down choices, but none of my ATM strategies are listed, how can I get my ATM strategy templates into this list of choices? Thanks..

[NinjaTrader_Jason]

Hello sev888,

Unfortunately it is not possible to back test ATM strategies in the Strategy Analyzer; automated NinjaScript strategies only.