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market replay data to historical chart

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    market replay data to historical chart

    Hello,

    While doing market replay I noticed a bar formed differently than it did when I was offline and looking at a chart for the same time period. It is for NQ 12-16, unirenko bars 1/1/3. I attached screenshots of each.

    Thanks,
    mw355
    Attached Files

    #2
    There are many factors that could contribute to this difference.

    Who are you connected to for real-time and historical data? You can see this in green in the bottom left corner of the Control Center?

    If you reload historical data on your live chart, does it change the chart or match your Market Replay chart? You can reload historical data by right-clicking on your chart and selecting 'reload all historical data'

    Did you record the Market Replay data, or did you download it from the server?
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Hello Patrick,

      Thanks for the response.

      My real time data is through CQG.

      I'll reload the historical data and see if that makes a difference. To be clear, I'll have to open NQ 12--16 and reload that, open ES 9-16 and reload that, etc.? Reloading once does not reload everything?

      I downloaded the market replay data from the server.

      Comment


        #4
        Since we are focusing on the NQ 12-16 at the moment, this would be the only chart which is necessary to reload for our test. A reload would need to be done on a per-instrument basis.
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Patrick,

          I reloaded the historical data and it made no difference. I then closed ninjatrader, deleted the historical data I had downloaded, open ninjatrader, downloaded the data again and still no change. Pulling up a chart for a certain time period displays different bar and indicator activity than market replay does.

          I've attached two more screenshots of the same time period. One from the chart and one from the market replay. The 9:46 time shows a good example of the issue.

          mw355
          Attached Files

          Comment


            #6
            Do you notice this difference when using a chart which is not a custom bar type and time based?

            For example, use a 5 minute chart as a test. Please provide screenshots of these charts.
            Patrick G.NinjaTrader Customer Service

            Comment


              #7
              Patrick,

              Here are the screenshots from the 5 min chart, no difference on these.

              mw355
              Attached Files

              Comment


                #8
                OK, great. Now, lets test with a built-in tick-based bar type like Range, Renko, or Tick.

                Does the data change on these intervals when reviewing replayed market data vs. historical data?

                Please keep in mind that to do these tests correctly from the Market Replay side, you would need to go to a time in Market Replay before the moment that you want to compare, play the data, then take a screenshot.

                If you go to a time after the moment you want to compare then you are simply comparing the same historical data to each other as the Market Replay connection uses your locally stored historical data to backfill charts with data.
                Last edited by NinjaTrader_PatrickG; 11-28-2016, 03:03 PM.
                Patrick G.NinjaTrader Customer Service

                Comment


                  #9
                  Patrick,

                  Here are screenshots from a 4 range, 9:36 and 9:46 area show differences. I started the market replay at 9.

                  Appreciate your effort here. I'm at a standstill until this gets resolved.

                  mw355
                  Attached Files

                  Comment


                    #10
                    start the replay before the previous days session break. We want to compare historical data from CQG to replay data that has been played from before the session break. This will ensure that both data sources started the creation of the bars at the same time and get every incoming tick.

                    The most recent session break was Friday at 12:15 Central time. Please start the replay from before this time.

                    Can you tell me what time zone you're in? I'd like to run this test simultaneously with you to see if I can reproduce this behavior. Knowing your time zone will ensure we're comparing the same time period.
                    Patrick G.NinjaTrader Customer Service

                    Comment


                      #11
                      Patrick,

                      I'll do this now and send the screen shot, I'll do the 4 range again.

                      May computer is set to east coast time (I'm on the west coast though).

                      mw355

                      Comment


                        #12
                        Patrick,

                        I started the market replay at 11:55pm, 9/9. Attached is the screenshot, same results. Did your test match the chart or market replay?

                        mw355
                        Attached Files

                        Comment


                          #13
                          The session break of Friday 9/9/16 is at 5PM Eastern time, so you did not quite go back far enough on your playback to start before the last session break before 9/12/16 at ~9:34AM Eastern time.

                          I started my test at 12:00PM (noon) on Friday and played all the way through Monday. I then loaded a historical chart. I received identical charts:

                          Replay chart:

                          http://screencast.com/t/JlkNqJYhoMU

                          Historical chart:

                          http://screencast.com/t/TnQHonsP

                          Can you please run the test again making sure that you begin the playback from before the session break?
                          Patrick G.NinjaTrader Customer Service

                          Comment


                            #14
                            Patrick,

                            Your charts match my market replay data (where I started the market replay at 11:55pm Friday). That means my charts are not correct. This, at least, clarifies for me I need to test my strategy on the market replay data. But the downside is I can't trust the data on my charts. This is good to know but will cost me a lot of time, plus I can't trust results I've already gotten by checking the activity on my charts. I'm sure the chart should match market replay - what can I do to make this so?

                            I appreciate your time on this.

                            mw355

                            Comment


                              #15
                              Please send me your log and trace files so that I may look into what occurred.

                              You can do this by going to the Control Center-> Help-> Mail to Platform Support.

                              Ensuring 'Log and Trace Files' is checked will include these files. This is checked by default.

                              Please reference the following ticket number in the body of the email: 1611073 ATTN Patrick G

                              Please also include a link to this thread.

                              I will then follow up with you via email.
                              Patrick G.NinjaTrader Customer Service

                              Comment

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