Market Replay data is aggregated

[Alexpl]

Hello!
I have some problem with my strategy. I think what I founded the reason
Post #2 http://www.ninjatrader.com/support/f...ad.php?t=38168
NinjaTrader_Austin: "Market Replay data is aggregated into .25 second sections, so that is probably where the discrepancy crept in."


Can I aggregate my data into .25 second sections?
How to code it?

Thanks

[NinjaTrader_AdamP]

Alexpl,

How are you wanting to do this? Like in a multi-series script?

Are you having an issue with Market Replay not matching something you expect?

[Alexpl]

The last some months I looked for the answer to a question (Post #1): http://www.ninjatrader.com/support/f...290#post298290
After long searches of the reason, I am sure that the answer in data. I don't know as it to make technically, but data should be identical to that in a market replay (aggregated). If it is true.

[NinjaTrader_AdamP]

Alex,

Unfortunately I am not sure here. Have you tried printing GetCurrentBid() and GetCurrentAsk() for both market replay and real-time data to see if there are differences? How are you entering the order with this information?

[Alexpl]

NinjaTrader_AdamP, thanks for the reply

From NT Help Guide (http://www.ninjatrader.com/support/h...l?replay.htm):
"This would appear to be out of chronological order, but because the meshing is simply not done with a granularity higher than 1 second this can occur. For this reason, L1 and L2 sequencing should not be relied on in Market Replay if that sequencing is needed at a more granular level than 1 second."
Does it mean what data are aggregated?
I have started strategy for detailed Prints. Results will be tommorow.

Thanks for help.

[NinjaTrader_AdamP]

Alex,

Correct, market replay would be accurate to the second by time stamp but the ticks should be in the correct order they were received. The data shouldn't be aggregate though.

The post by Austin I believe was for NT 6.5 but I am not 100% sure.

One thing to note is that order fill in Market Replay there would be no simulated delay vs. in live or live simulator mode there would be a delay on order fill. I realize you mentioned you tried various settings here. You did try 0 delays in the simulator?

Who is your data provider for real time operation?

[Alexpl]

Adam,

I used the following parameters:
Dellay comm.: 0
Delay exchange: 0
Enforce immediate fills: On
Other parameters are identical to both modes.
My data provider is CQG, also I have tested Zen-Fire with same results.
I am surprised by the results using these parameters.

[Alexpl]

Prints/ GC 12-12; 04.10.2012; Range 4; COBC=true;

[NinjaTrader_Joydeep]

Hello Alexpl,
Data from market replay is sourced from ZenFire and it may not match 100% with CQG data.

Also it would matter from which server you are pulling the data (from ZenFire). You can configure it from your Account Connections (via DS- B settings in Tools>Account Connections>Select your ZenFire based account and click Change. In the Connection options click Next 2 times and then click on Settings>>).

In Market Replay the time will be available down to 1 seconds only. You may be also running into this limitations. Please refer to the section "Understanding how the Market Replay works" to know more.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?replay.htm

For our next major release we have enhancing this area on our feedback list, which would improve your scenario likely.

In Market Replay the Delay exchange are not used.

*Delays are not used when connected to a Market Replay

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?simulator_tab.htm

[Alexpl]

Hello
Thanks, Joydeep for reply. You are correct.
On this time, I have used Zen-Fire unfiltered feed. Prints has differences. I prefer Replay variant for my strategy.
What about reason? It was caused by NT limitations from your last post or something another from my side?
Can you check prints on your side?
I used this code:
Print(Time[0].ToString("dd/MM/yyyy") + "," + Time[0].ToString("HH:mm:ss:ff") +","+ "Ask:"+ GetCurrentAsk());
Print(Time[0].ToString("dd/MM/yyyy") + "," + Time[0].ToString("HH:mm:ss:ff") +","+ "Bid:"+ GetCurrentBid());

Thanks

[NinjaTrader_Joydeep]

Hello Alexpl,
It may be the case that there might be discrepancy in live data due to latency. If you download historical data from our servers then can you match it (including time) or you are witnessing any discrepancies.

Also please let me know the instrument you are testing it.

[Alexpl]

Instrument: GC 12-12, date 04.10.2012, live Zen-Fire datafeed, historical data was downloaded via NT after stoping "print strategy" from the same data feed. Time zone: UTC/GMT 0 hours. (post 10)
Of course, it's probably latency factor.
My signals are based on the data structuration, including current ask and bid. And if data has some latency, is no problem, if it correct and full data, because formations must be preserved. It's my opinion. On replay these formations are far more common.
I hope you understand me.
I am ready to carry out any further tests and settings, if needed.

Thanks

[NinjaTrader_Joydeep]

Hello Alexpl,
I suppose to get a 100% match you need to have the time granularity more than 1 seconds, which is a limitation in NinjaTrader 7. Our next major release intends to improve in this regard, and hopefully you will find a more realistic matching then.

[Alexpl]

That would be amazing. There is at least an approximate release date?

[NinjaTrader_Joydeep]

Hello Alexpl,
Unfortunately I do not have any estimate when the next major version will be released.