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Weird Market-Replay Behavior

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    Weird Market-Replay Behavior

    I am experiencing weird price action behavior in market replay for oil. I've specifically tested 8/1/11 and 9/1/11. What I'm seeing is that price is not moving and often not staying in sync with the bid and ask. Bid and ask are updating, I presume, correctly, but often price will just sit there and then all of a sudden "jerk" hard to a new price. For example, I can sit there for like 5 to 10 seconds with no price movement (unusual for oil) while bid and ask are updating. Or say, price is sitting on 92.3 - I might see a bid of 92.4 and ask of 92.5 which makes no sense.

    Any ideas?

    #2
    Hello,

    Was this replay data downloaded from our servers or was it recorded from a live connection?

    What is the expiration month you are using on the dates you are testing?

    I look forward to assisting you further.
    MatthewNinjaTrader Product Management

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      #3
      It is data downloaded from your servers.
      If I remember correctly, the expiration month for 8/1 is CL 10-11 and for 9/1 it is CL 11-11.

      Comment


        #4
        Hello,

        I see this behavior on 8/1 when using CL 10-11 - however the contract with the most volume at that time was the CL 09-11.

        Can you please try again for 8/1 using CL 09-11 and let me know if you see issues with this expiration.
        MatthewNinjaTrader Product Management

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          #5
          You're right - that was it - thanks.

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