L2 data not being recorded more than once

[StockStalker]

I recorded L2-data for C between 9.30-9.35 today. Then I disconnected from my live feed and connected to market replay. The data I recorded from 9.30-9.35 replays fine.

Then I reconnected to my live feed and opened an L2 window for C between 9.38-9.42. Once again, I disconnected from my live feed, connected to the market replay and tried replaying L2 data between 9.38-9.42. This time the L2 data does not play back.

What's causing this problem?

[NinjaTrader_Matthew]

Hello StockStalker,

Thank you for your post.

If you right click on the replay controller and select "Available Data" do you see L2 data for this time period?

Does the data work if you try restarting NinjaTrader and reconnecting to Market Replay?

I look forward to assisting you further.

[StockStalker]

If I rightclick and select "available data", under C, I see L2 begin 9.30 - L2 end 9.42.

However there was a cutoff between 9.35-9.38 that there is no mention off.

I also tried restarting it, and it still just replays data from 9.30-9.35.

[NinjaTrader_Matthew]

Hello,

If you start playing the L2 data at 9:30 and play through past 9:35, do you see the data restart around 9:38?

Do you get any L1 data around this time?

[StockStalker]

If I start the data at 9:30 it plays through to 9:35 then it stops completely.

Now if I fast forward it to ~9:38 it is still stopped completely. I'll try to let it play through 9:35-9:38 without touching the fast forward and see if it resumes then. I'll report back soon..

[StockStalker]

Okay, even if I let it play through, it still doesn't restart at 9:38. It's completely dead.

Note that this problem also occurs interday. I recorded some 5 minutes of L2-data for X yesterday up until the close. Then I recorded today from the open and 5 minutes in. And its the same problem here, only data from yesterday replays.

[NinjaTrader_Matthew]

Hello,

In your next post, can you please attach the Level 2 (nt2) replay data for the instrument? I will need to test this on my end.

You will find this under (My) Documents\NinjaTrader 7\db\data\20110420\C.nt2

[StockStalker]

Here it is: http://www.megaupload.com/?d=MY2815XR

I couldnt upload it to the forum as the format isnt valid on the forums.

Also keep in mind the times I mentioned above were to provide an example. Im on a different time zone so in this file on my side it plays data from 15:59-16:01 then stops, even though it should have several other points of data available up until 16:13 or so.

[NinjaTrader_Matthew]

Hello,

I have successfully downloaded this L2 data - can you please clarify that this is the stock for Citigroup Inc? Or was this the Cocoa Futures?

[StockStalker]

Its citigroup inc.

If you go to 15:59:55 in the file then you will see it replays all the way to 16:01:10 or so then it stops. Thats because I disconnected IB at 16:01:10. Then I reconnected to collect more L2 data between 16:03 to 16:13 or so I think (estimate), but as you can see, that data does not replay.

So in conclusion, it only collects data the first time you open the L2 for a new stock that you've never collected L2 data for before. Then if you reconnect at a later time to collect more data, this data never replays.

[NinjaTrader_Matthew]

Thanks,

Do you also have the L1 data for this time period?

Do you have the L1 for the first part that is working on your end as well as the second time range? Or is L1 data only available for the first range?

Can you please also send me your L1 data (C.ntm) for today?

[StockStalker]

Here is the C.ntm http://www.megaupload.com/?d=59HJAYJQ

I believe Level 1 data is automatically collected along with the Level 2 data, at least thats what the "Data available" says, it says the startpoint and endpoint is the same for both level 1 and level 2. (1559 - 1613)

[NinjaTrader_Matthew]

Hello,

I am not able to reproduce based off what you are describing. I see the data start at 7:59:52 AM and continue to 8:01:13.

At this point it stops until 8:07:10 AM and continues until 8:08:40 AM. There is again another gap from when you disconnected and restarts at 8:11:33 AM until 8:13:23.

I tested this using a Time and Sales window to verify the time stamps and any gaps in recording. Please test this again by going to File--> New--> Time and Sales and compare the times that I have listed above for gaps and working data. Note that the hour will based off your local PC clock, however you should see the same MM:SS stamped to compare to my tests.

[StockStalker]

you are right that the Time and Sales display this properly.

But the problem is the L2 window does not update. The L2 window stops completely at the first disconnection 16:01:13, and it never updates on the reconnections. Time and sales does this, but I need the L2 to work as well...

[NinjaTrader_Matthew]

StockStalker,

I see - I missed that step, thanks for the clarification.

Just to ensure we are seeing the same results, do you continue to see the Tot Vol and the Net Chg continue to update?

Can you also give me more information about your workspace? How are you collecting this data? Through the Chart, Market Analyzer, SuperDOM, L2 window, Time and Sales? A combination of these?

I look forward to assisting you further.