Market Replay Level 2 Insanity

[GotYour6]

I've come to rely on the NT replay function for learning to work with the market depth. I've never had any issue with the level 2 data until 12/13. I downloaded the replay data for ES 03-14 date 12/13 Level 1&2. The BBO never changes, the market depth never changes, the last price functions normally.

I assumed I had a corrupted file and deleted then re downloaded. I also tried on 3 different machines. All of which are dedicated trading machines - high levels of RAM and multiple core processors. It's not a system resource issue. I even dropped all the charts and just ran 1x speed replay with a NT Super DOM.

The attached image reflects the results. Last trade price is fluid - BBO is stuck and the market depth never changes. Please let me know if this is just a corrupt file on your end or if this is to be expected from market replay as an NT standard (read: wait for NT8). If the problem is on my end I'll take whatever steps you recommend.

In short, without replay NT has little value to me.

Many thanks for all you guys do,

GY6

[NinjaTrader_Brandon]

Hello GotYour6,

Thanks for your post.

At this time various replay data is missing level II information. Our servers team is looking at restoring the data over the weekend however it may take multiple weekends based on the size of the data.
Once it has been restored you will need to redownload the files.

[GotYour6]

Thanks Brandon. I assumed this was the case as many days have been a dud in replay. I'd assume given your relationship to IQ via Kinetick you would use that resource for high quality scrubbed data every day. Guess there are some redistribution costs that NT's avoiding with ZF.

Thanks again!

[NinjaTrader_Brandon]

Hello,

Thanks for your reply.

We have resources to restored the data hover it must be done during weekend maintenance.

[RichardHK]

Can I add my urgent plea for fixing this data asap. It has been broken for 2 weeks or so, and I wrongly hoped that last weekend's outage would have fixed it. Sadly no.

Like OP, I too rely on Market Replay for much post market analysis. Has really messed me up recently.

Look forward to your fix.

Richard
Hong Kong

[NinjaTrader_Brandon]

Hello RichardHK,

Thanks for your post.

The server maintenance will attempt to be completed this weekend. Please redownload the desired data after the weekend.

[RichardHK]

Thanks Brandon.
Good news. Fingers crossed for successful fix.
Richard

[RichardHK]

Dear Brandon,

As reported in another thread by me, Market Replay L2 data is still messed up, so weekend fix if done was not successful.

As reported in other thread (good to see many more now raising issue) this data has been messed up since November 26th - the day before US Thanksgiving. A very long time.

Look forward to a fix soon.

Best regards and Seasons Greetings to all.

[danx0r]

L2 data issue

hi all --

just a report to say I dl'd data for 12/23 - present over last 48 hours and L2 DOM is still messed up in market replay.

Looking forward to a fix, sorry for the NT team this has lasted thru holidays!

[NinjaTrader_Brandon]

Hello danx0r,

Thanks for your post.

Please let me know what instrument(s) you have downloaded that you see this.

[danx0r]

Hi --

ES 3-14 is the instrument. When running connected to Market Replay, onMarketDepth will either stop being called, or is called periodically with clearly wrong data with a never-changing timestamp.

The dates I was testing were 12/23/2013 and 12/24/2013. I have tested my code on earlier data from the 12-13 contract and it appears sane.

I do hope this can be resolved as I have been relying on the ability to download replay data rather than have to ensure I am live and recording data during every trading session.

good luck

Hello danx0r,

Thanks for your post.

Please let me know what instrument(s) you have downloaded that you see this.

[NinjaTrader_Brandon]

Hello danx0r,

Thanks for your reply.

Please delete this replay data and redownload it.

To do this open the following directory in Windows
(My) Documents\NinjaTrader 7\db\data
Delete the ES data under the December 23rd and 24th folders

[kaywai]

Hi Brandon,

I'm trying to download Level 1 replay data which is provided by Ninjatrader from the past 2 weeks for CL contracts and spot currency and I am getting the following message:-

"There is no L1 replay data available for instrument/date."

That can't be right. Please assist.

Thanks.

Kay Wai

[danx0r]

Thanks Brandon, the new data looks OK so far. I see sane-looking data for both dates now, no dropouts or obviously mangled stuff.

Thanks to NT for working on this thru holiday

Hello danx0r,

Thanks for your reply.

Please delete this replay data and redownload it.

To do this open the following directory in Windows
(My) Documents\NinjaTrader 7\db\data
Delete the ES data under the December 23rd and 24th folders

[GotYour6]

Data looks great now. Thanks Brandon and NT!

GotYour6