ETF Data for replay

[mattfair]

I am looking how to get Replay Data for ETF (i.e. TNA, XIV, IWM, CLF, UVXY, VXX). I have tick data, but can't replay it and it is not available via File-> Utilities->Download Replay Data.
Thanks,
Matt

[NinjaTrader_Brandon]

Hello mattfair,

Thanks for writing in.

Historical tick data is different than Market Replay data. Market Replay data is saved in a specific format for NinjaTrader replay.
Downloading replay data from our servers is only available for futures and common forex pairs.
The only way to receive Market Replay data for ETFs would be by recording your real time data for replay at a later time

To do this you will need to enable the Market Replay Recorder by going to Tools> Options> Data
check Record for market replay and select OK
Now data will be recorded for any instrument in any NinjaTrader window that is receiving live market data. Level II (market depth) data is only recorded if a Level II, SuperDOM, or FX Pro window is open and receiving data for the instrument. The Market Analyzer window is the recommended recording window as multiple instruments can be added to one Market Analyzer window and all recorded at the same time.

Below I have provided a link to the Market Replay section of our online help guide.

http://www.ninjatrader.com/support/helpGuides/nt7/market_replay.htm

Please do not hesitate to contact us for any other NinjaTrader inquiries you may have.

[mattfair]

I downloaded historical tickdata from Tradestation and converted it to the Ninjatrader format:

yyyyMMdd HHmmss;price;volume

Is market replay the only solution to replay ETF data? Is there no way to convert historical data to replay data? If we got a data feed from Kineticks, would we be able to replay historical etf data from this feed?

Thanks,
Matt

[NinjaTrader_Brandon]

Hello Matt,

Thanks for your reply.

Historical data could not be converted to replay data.
Unfortunately the only way to get replay data for ETFs would be to start recording real time data.

[mattfair]

Thank you Brandon. Would it be possible to replay historical tick data via the ATI interface? http://www.ninjatrader.com/support/h...terface_at.htm

Specifically using the following?

int Last(string instrument, double price, int size)
Sets the last price and size for the specified instrument. A return value of 0 indicates success and -1 indicates an error.

int LastPlayback(string instrument, double price, int size, string timestamp)
Sets the last price and size for the specified instrument for use when synchronizing NinjaTrader playback with an external application playback. A return value of 0 indicates success and -1 indicates an error. The timestamp parameter format is "yyyyMMddhhmmss".

[NinjaTrader_Brandon]

Hello Matt,

Thanks for your reply.

I have consulted with one of our NinjaScript member and it would be possible to do something like this however this is unsupported.
The following link may help however.

http://www.ninjatrader.com/support/forum/showthread.php?t=46833

[mattfair]

Thank you Brandon for the info! I was able to get tick data imported into real time data via the AT Interface and using a C# script using NinjaTrader.Client and then we recorded the data feed using the market replay recorder as you suggested.

During the market replay if I do a market buy or sell, the order is entered, however it does not get filled. If I don't have Bid/Ask data (only last), does this mean that NT will not fill the order?

[NinjaTrader_Brandon]

Hello Matt,

Thanks for your reply.

This is unsupported and untested so I would not be able to say for sure.
Please send me your log and trace files for yesterday to support[at]ninjatrader[dot]com so I may look into the orders more.

The log file will be named "log.20130228.txt"
You will find the trace file on your PC in the (My) Documents > NinjaTrader 7 > Trace folder.

The trace file will be named "trace.20130228.txt"

Once located please send the files as an attachment to this email and in the message put ATTN Brandon with a link to this forum post.

[mattfair]

Brandon, again thank you. I was able to get it working, playback does requires both bid and ask data. First I needed to delete the existing recorded playback data because it just had Last data with empty Bid and Ask. Then I send my tick data via the AT Interface (using my C# program) with Bid, Ask, and Last and recorded it for playback. It works as it should now, when I place an order it gets filled.

[NinjaTrader_Brandon]

Hello Matt,

Thanks for the information.

I'm glad to hear you got it working.