L2 data

[ScottB]

Hi,

I had to reinstall NinjaTrader due to a computer crash and therefore my issue may be due to a setting I have missed.

I now longer get L2 data displayed during replay, in fact, I do not get any size data displayed at all.

To answer a few likely questions in advance, yes, I have the instrument set to extended trading hours and I have looked at replay both in and outside of RTH (ES 03-14 but other contracts as well).

Yes, I checked the box to get both L1 and L2 data and as I mentioned, I only get last price with the volume of the last trade in the center price column but no size on either the bid or ask at any level including the inside bid/ask.

No, there is nothing unusual in either the log or the trace files. Yes I do have both the .ntm and the nt2 files for the instrument in question and yes, I have tried this on multiple instruments and on several different days.

If I go to replay data from prior months I do have and am able to see/process L2 data. The lack of usable L2 data is confirmed by a strategy which is not getting the data (so I know it isn't just a display issue).

Any help would be appreciated.

[NinjaTrader_JC]

Hello ScottB,

At this time various replay data is missing level II information. We are looking into trying to get it restored but we do not have an ETA on when this will be resolved.

During this time you may want to record Market Replay for the Level II data.

Happy to be of further assistance.

[ScottB]

Thank you for getting back to me.

Do you have any sort of date range for ES, CL and GC (ES is my primary concern) where you know the data is correct? I am testing a scalping routine so as long as I can get a good mix of day types, it really doesn't matter when those days occur.

I am primarily trying to avoid a lot of expired months hanging around in Instrument Manager for the sake of being able to use data outside the front month's effective dates.

[NinjaTrader_Kyle]

Hi ScotB,

I cannot find any information specifying the earliest effected date however I suspect that any data older than around a month should not show this same issue.

[ScottB]

Kyle,

Is this an ongoing issue and will the missing data be restored or is it now gone forever? Also, where could I have found out about this prior issue to now (I have a live license and have not received any sort of notice regarding this)?

[NinjaTrader_Kyle]

Hello,

While we hope to restore any missing data It is unclear at this time what data can and cannot be restored. There is currently no in product pop up announcing the issue at this time however I will forward the suggestion that users be notified proactively to my superiors for further consideration.

[ScottB]

Thank you Kyle.

Not sure if a pop up is the right answer but some procedure for posting known problems would save people a lot of time looking at code thinking the issue is specific to them. This is fairly common among software companies.