Market Replay issues for 30-Jan-2017

[ntuser2017]

Hi there

I am experiencing issues with Market Replay on data I downloaded for yesterday.

The price movement is out of synch with the order book. In fact, the resting orders on the book do not appear to move at all.

This is for instrument CL03-17.

The connection I use is Continuum.

I attach two screenshots to demonstrate the behavior.


Can you please help?

[NinjaTrader_Jason]

Hello ntuser2017,

I see the issue occurs between 9:07 - 9:10 AM in your screenshot. Can you please tell me what time zone your PC clock uses.

If you replay just January 30th by setting the From and To dates to January 30, are you able to reproduce the issue?

[ntuser2017]

Hello ntuser2017,

I see the issue occurs between 9:07 - 9:10 AM in your screenshot. Can you please tell me what time zone your PC clock uses.

If you replay just January 30th by setting the From and To dates to January 30, are you able to reproduce the issue?

Hi Jason, thanks for the quick response

The timezone I am in is GMT. Every NT Replay day starts at 5:00 AM in my timezone.

I have set the from and to dates to Jan 30 as suggested and yes, I could reproduce the issue (behavior is the same).


Also of note: I am used to see every day in Market Replay starting at 05:00:00 AM (GMT), but this specific day appears to start 2 seconds earlier at 04:59:58.

Screenshot attached.


By letting the Market Replay run, it appears the issue starts around 5:02:00 AM (GMT).

[NinjaTrader_Jason]

Thank you for clarifying.

I am not able to reproduce this on my end. Can you please shut down NinjaTrader and navigate to the folder below.

Documents-->NinjaTrader 7-->db

Right click the folder named "data" and select Cut. Right click on your desktop and select Paste.

Start NinjaTrader and download Market Replay data again for yesterday as per the CL 03-17.

If you now replay the CL 03-17 again, do you still see L1 and L2 out of synch?

[ntuser2017]

Thank you for clarifying.

I am not able to reproduce this on my end. Can you please shut down NinjaTrader and navigate to the folder below.

Documents-->NinjaTrader 7-->db

Right click the folder named "data" and select Cut. Right click on your desktop and select Paste.

Start NinjaTrader and download Market Replay data again for yesterday as per the CL 03-17.

If you now replay the CL 03-17 again, do you still see L1 and L2 out of synch?

Thank you Jason,

Yes, by re-downloading only yesterday in the way you described the issue does not appear to present itself.

In order to resolve the issue do I need to remove the old Level 1 and 2 Market Replay data from yesterday and replace with the new one?

I know that the subfolder 'db\data' contains level 2 data, not sure where Level 1 is though.

[NinjaTrader_Jason]

Good to hear it works this way.

Please shut down NinjaTrader and restore your old db-->data folder.

Open the data folder and then the folder named 20170130. Delete the files in the attached screenshot.

[ntuser2017]

Good to hear it works this way.

Please shut down NinjaTrader and restore your old db-->data folder.

Open the data folder and then the folder named 20170130. Delete the files in the attached screenshot.

So, just to confirm, you want me to delete the the contents of the folder '20170130' (as essentially each day has only those 2 files in there as I understand it), and would that be equivalent to deleting the '20170130' folder itself?

After I have done that, should I attempt to redownload?

[NinjaTrader_Jason]

Yes, you could delete the folder named "20170130" as well if it only contains Market Replay data for the CL futures.

Once deleted, please start NinjaTrader and download new Market Replay data for yesterday.

[ntuser2017]

Yes, you could delete the folder named "20170130" as well if it only contains Market Replay data for the CL futures.

Once deleted, please start NinjaTrader and download new Market Replay data for yesterday.

Jason, unfortunately that does not solve the problem.

I have restored the data folder, deleted the 20170130 folder and redownloaded, however I have exactly the same issue.


Is L1 data not contained in a separate folder from 'db\data'?

The reason I ask is, I noticed that sub-folders under 'data' are created only when 'Downloading Level 2 replay data' shows, and not when 'Downloading Level 1' shows in the status bar.

[NinjaTrader_Jason]

The "data" folder contains folders named per date which in turn contain .ntm and .nt2 files per instrument. If the file structure in the "data" folder is changed, it will cause issues. Please make sure the "data" folder only contains folders named per date and no other folders or files.

[ntuser2017]

The "data" folder contains folders named per date which in turn contain .ntm and .nt2 files per instrument. If the file structure in the "data" folder is changed, it will cause issues. Please make sure the "data" folder only contains folders named per date and no other folders or files.

Hi Jason

Yes, I can confirm that is the case. There is nothing in the 'data' folder other than the data downloaded from NT when using 'download market replay'

[ntuser2017]

Could the size of the 'data' folder be a factor here?

It's 877 Megabytes

[NinjaTrader_Jason]

I am not sure if size is related. If you copy half the content of the "data" folder to a different location while NinjaTrader is shut down. Subsequently start NinjaTrader and connect to the Market Replay, does it replay the CL 03-17 for yesterday without issue?

[ntuser2017]

I am not sure if size is related. If you copy half the content of the "data" folder to a different location while NinjaTrader is shut down. Subsequently start NinjaTrader and connect to the Market Replay, does it replay the CL 03-17 for yesterday without issue?

Unfortunately not. I still see the same issue.

These in the screenshot are the days I had left, for a total of about 350 Mb.


Also, I still see the same anomaly of start time for the 31st Jan, i.e. rather than the timestamp starting exactly at 5:00:00 AM (GMT) as it should, it starts from 4:59:58 AM.

It's probably worth noting that when I removed all the days and downloaded only the 30th as you initially recommended, the Market Replay timestamp started at 5:00:00 AM as expected.

[NinjaTrader_Jason]

I suggest to relocate your "data" folder once more while NinjaTrader is shut down. Subsequently start NinjaTrader and download new CL 03-17 data again. Check if it still replays without issue.

Shut down NinjaTrader and restore the old "data" folder, but do not delete the new "data" folder yet. Within the old "data" folder, please substitute the folder named "20170130" with the folder from the new "data" folder.

Start NinjaTrader and check if the issue persists.