strategy stopped working using market replay

[bluelou]

I've been running a simple strategy with market replay data for a few weeks now. Today, it decided to stop working. As soon as I try to run the strategy NT goes 'Not Responding' on me. I've been trying to get it to run again all day but without success.

The "strategy" is just a simple script to take data stored in market replay and write it to csv files. It was working fine until today. Market replay seems to be running and I can see both trade and quote messages in the Time & Sales window. But, as soon as I enable the strategy NT stops responding.

I'd be glad to send the strategy if that will help. Please advise.

Thx,
Lou

[NinjaTrader_PaulH]

Hello bluelou,

Thanks for your post.

Is it possible that the CSV output file has become locked or is in use by another process (like excel)?

If that is not the issue, what happens when you create a new output file just to test using the dates of where you are in Market replay?

[bluelou]

Paul,
I think I just resolved the issue. It appears to be a simple oversight on my part. The drive I was writing to is nearly at capacity. It seems to be working fine now that I'm writing to another drive.

Having said that, I have a follow up question for you:
For market replay my understanding is that .ntm files are "Level 1" data and .nt2 are "Level 2" data.

Can you give me a precise definition of what is included in an .ntm file? What are the fields? I'm assuming that it's the top of the book; i.e, datetime, trade price, trade size, bid price, bid size, ask price, ask size. This would be the trade and quote messages at the top or first level of the book. Can you provide more detail?

Thx,
Lou

[NinjaTrader_PatrickH]

Hello Lou,

We do not have any specifics on it's structure. We can say that it contains data as recorded, meaning the tick, volume, and time of the occurrence. Any details in Level 1 or Level 2 would be recorded as received.

[bluelou]

Hello Lou,

We do not have any specifics on it's structure. We can say that it contains data as recorded, meaning the tick, volume, and time of the occurrence. Any details in Level 1 or Level 2 would be recorded as received.

Patrick,
So, I should only need the .ntm file and not the .nt2 file if I'm looking to extract the following from market replay and write to a file, correct? Data to be extracted from .ntm file only: datetime, trade price, trade size, bid price, bid size, ask price, ask size - i.e., top of book. Please confirm.

Thx,
Lou

[NinjaTrader_PatrickH]

You would need level two for any additional depth beyond the last bid or ask.

[bluelou]

What about trade price, trade size (i.e., trade messages) - will those be in the .ntm file?

That's what I'm trying to figure out: are the top of book trade and quote messages, price and size, available in the .ntm file by itself?

[NinjaTrader_PatrickH]

Yes, that would require Level II.

[bluelou]

Yes, that would require Level II.

Patrick, to be clear, the last trade and last size are considered "Level II" data and aren't in the .ntm file? Is that correct?

[NinjaTrader_PatrickH]

Hello bluelou,

No, the Last Trade and Size would be in the Level one so ntm file.

You can find more information on Level I and II data at the following link: http://daytrading.about.com/od/daytr.../OrderBook.htm

[bluelou]

Patrick,
Okay, thx, that helps. I just wanted to understand what was in an ntm file. I'm familiar with Level I and II data .

Thx again,
Lou