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Market Replay Question

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    Market Replay Question

    i) Can I collect tick data from my broker in Market Replay for several instruments at a time? For example ES and EURUSD

    ii) Can I used both of these instruments in a strategy that utiizes multiple instruments (i.e. ES and EURUSD) - can I backtest using these, optimize ect?

    Thanks

    #2
    Hello acre94,

    Thank you for your note.

    i) Yes you can record Market Replay from your data provider. To do this go to Tools > Options > Data > enable the option "Record for market replay" > OK. Now any data you are viewing in NinjaTrader (you must be viewing the data) will be recorded for Market Replay.

    ii) Using NinjaScript you can add multiple instruments to a strategy and you can backtest/optimize these instruments in your strategy as well. For an example of using multiple instruments in a strategy please go to Tools > Edit NinjaScript > Strategy > SampleMultiInstrument > OK.
    For information on the Strategy Analyzer please visit the following link: http://www.ninjatrader.com/support/h...y_analyzer.htm

    Please let me know if I may be of further assistance.
    Patrick H.NinjaTrader Customer Service

    Comment


      #3
      Thanks Patrick.

      How would the system know to use the data collected from the data provider in the backtest (it would need ES and EUR tick in my example)? This is tick data btw.

      Comment


        #4
        I don't think my last comment was very specific. Sorry....re-phrased

        In market replace, it appears that I can replay a single instrument and then I put the strategy on top of that chart to see what happens. If the strategy replies on two instruments and they are both coming from market replay, I am not sure how to accomplish this?

        Alternatively, could I get tick data from somewhere else and import it into the system to run a back test, i.e. import both ES and EURUSD in my example

        Comment


          #5
          Hello acre94,

          Thank you for your response.

          Historical data (which is needed to run a Backtest) is different from Market Replay data (which is used only for the Market Replay connection).

          If you are running your strategy on a chart while connected to the Market Replay connection and you have recorded or downloaded the Market Replay data for both instruments needed in the strategy you should not run into any items.
          You can check the available data when you connect to Market Replay, by right clicking in the Market Replay Controller and selecting Available Data...

          For information on Market Replay please visit the following link: http://www.ninjatrader.com/support/h...ket_replay.htm

          Please let me know if I may be of further assistance.
          Patrick H.NinjaTrader Customer Service

          Comment


            #6
            which data is used in Backtesting with Market Replay connection?

            I have Historical Data stored for May 2012 as well as Market Replay data downloaded. I want to run a backtest in May. If I'm connected to Market Replay and perform a Backtest, which data will be used, Market Replay or Historical?

            Comment


              #7
              Hello levesque,

              Thank you for your post.

              If you are using the Strategy Analyzer (File > New > Strategy Analyzer) then you will be using Historical Data.
              If you are testing on your chart while connected to Market Replay, then it will be using the Market Replay data.

              For information on the Strategy Analyzer please visit the following link: http://www.ninjatrader.com/support/h...y_analyzer.htm

              Please let me know if I may be of further assistance.
              Patrick H.NinjaTrader Customer Service

              Comment


                #8
                Edit of prior reply

                So just to clarify, when connected to Market Replay, the Strategy Analyzer will use Market Replay data, NOT Historical data, correct?
                Last edited by levesque; 07-31-2012, 09:46 AM. Reason: Possibly misunderstood NT's reply

                Comment


                  #9
                  Hello levesque,

                  Thank you for your response.

                  Market Replay will work for tick based intervals and will act as the real-time market would building bars tick by tick.
                  For information on Market Replay please visit the following link: http://www.ninjatrader.com/support/h...ket_replay.htm

                  For backtesting I would recommend reviewing the information available at the following link, this is for backtesting with intra-bar granularity and provides a reference sample for your review as well: http://www.ninjatrader.com/support/f...ead.php?t=6652

                  Please let me know if I may be of further assistance.
                  Patrick H.NinjaTrader Customer Service

                  Comment


                    #10
                    Thanks Patrick.

                    Comment


                      #11
                      Just to make sure I'm 100% clear: My understanding is that a strategy cannot be backtested with Market Replay data within Strategy Analyzer. The only way to test it is to load a chart and within that window, load a strategy. Is that correct ? Thanks

                      Comment


                        #12
                        Yes, that is correct.
                        MatthewNinjaTrader Product Management

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