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Backtesting with Market Replay

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    Backtesting with Market Replay

    I am with a problem with a Market Replay in the ES 03-15.
    When I look in the "Available Data" in the window of Market Replay, I have all days between, 12/12/2014 and 01/27/2015. See below:

    ES 03-15 02/01/2015 0:00 28/01/2015 10:43 06/01/2015 8:52 22/01/2015 16:31

    L1 Begin L1 End L2 Begin L2 End
    02/01/2015 0:00 02/01/2015 17:15
    05/01/2015 0:00 05/01/2015 23:59
    06/01/2015 0:00 06/01/2015 23:59 06/01/2015 8:52 06/01/2015 16:17
    07/01/2015 0:00 07/01/2015 23:59 07/01/2015 9:29 07/01/2015 17:15
    08/01/2015 0:00 08/01/2015 23:59 08/01/2015 0:00 08/01/2015 23:59
    09/01/2015 0:00 09/01/2015 17:36
    11/01/2015 16:00 11/01/2015 23:59
    12/01/2015 0:00 12/01/2015 23:59
    13/01/2015 0:00 13/01/2015 23:59
    14/01/2015 0:00 14/01/2015 23:59
    15/01/2015 0:00 15/01/2015 23:59
    16/01/2015 0:00 16/01/2015 17:15
    17/01/2015 14:21 17/01/2015 14:21
    19/01/2015 0:00 19/01/2015 23:59
    20/01/2015 0:00 20/01/2015 23:59 20/01/2015 0:00 20/01/2015 23:59
    21/01/2015 0:00 21/01/2015 23:59
    22/01/2015 0:00 22/01/2015 23:59 22/01/2015 14:08 22/01/2015 16:31
    23/01/2015 0:00 23/01/2015 17:15
    25/01/2015 17:00 25/01/2015 23:59
    26/01/2015 0:00 26/01/2015 23:59
    27/01/2015 0:00 27/01/2015 23:59
    28/01/2015 0:00 28/01/2015 10:43



    But, when I simulate the period between 01/02/2015 and 01/27/2015 some days not appear. Not appear in the data or "Time & Sales". What could be wrong? Does not have all the data for these days, even appearing in the "Available Data"?

    Thanks...

    #2
    Hello ocorrea,

    From what you have posted there should be playback for the ES 03-15 from Jan 2nd at 12:00 AM to 5:15 PM.

    Are you unable to play back to the Time & Sales window during this time?

    What days are missing?
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      My strategy work at 9:00 and 16:00 hrs. Is missing some hours in the day 6, 9, 12 for example. In these periods where apparently has no data, the T & S showed nothing, stood still

      Comment


        #4
        Hello ocorrea,

        Just to confirm, you are playing back market replay data on Jan 2nd from 12:00 to 5:15 PM and you are finding that the data stops at 6:00 AM, 9:00 AM, and 12:00 PM, is this correct?

        So that I may check on this data and compare to what I am experiencing on my end, how long does the live data stop for and when does this continue?
        Chelsea B.NinjaTrader Customer Service

        Comment


          #5
          Is not it. In the days 6, 9 and 12, missing data from a few hours. I think with is missing because the T&S showed nothing in these period.

          I have updated the Market Replay data through "File \ Utilities \ Download Replay Data".

          Thanks

          Comment


            #6
            Hello ocorrea,

            I would like you to check a setting for me.

            Click Tools -> Options... -> Data
            Is 'Record for market replay' checked and enabled?
            Chelsea B.NinjaTrader Customer Service

            Comment


              #7
              Normally is 'Record for market replay' checked and enabled.
              When I updated the Market Replay data through "File \ Utilities \ Download Replay Data" the 'Record for market replay' was unchecked.

              Comment


                #8
                Hello ocorrea,

                If you record the data in real time, this can cause gaps anywhere where the instrument is not actively open in a window.

                Just to confirm, if you download the data for the 6th, 9th, and 12th can you play these back?
                Chelsea B.NinjaTrader Customer Service

                Comment


                  #9
                  OK, you are saying with if I record the data in real time, this can cause gaps. The best is I download the data through "File \ Utilities \ Download Replay Data"?

                  Ok, I will try it now.

                  Comment


                    #10
                    OK worked. Thanks...

                    Comment

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