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market replay on continuous contract

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    market replay on continuous contract

    Is it possible to do a market replay going back many years on continuous contracts? Where is this data available?

    If this is not available, what if I download my own historical continuous data, how can I make it work with replay?

    My strategies need sequential tick data and level.2 and cannot be backtested.

    #2
    Hello brucelevy,

    Thank you for your note.

    Yes it would be possible to run market replay on continuous contracts going many years back as long as you had the data on your machine in the form of historical tick data or historical replay data. In the control center>tools>historical data, you’ll see the historical data manager which has Historical and Market Replay data folders on the left. Here is where you can check whether you have the needed data.

    Market replay data requires level 2 order book information and may be difficult to find going many years back however you could run Market Replay/Playback connection with historical tick data, which would be easier to find for sale going years back. I would suggest doing a web search for Historical Tick Data for the instruments you’re interested in and even adding NInjaTrader to the search.

    Once you download the data you would need to import the historical tick data for the contracts, then you would run your backtest on CL ##-##, which would be the continuous symbol.

    I've included some additional resources on importing, and using historical data in the Playback connection.

    Playback (Historical and Replay differences explained here):
    https://ninjatrader.com/support/help...ePlaybackWorks

    Importing:
    https://ninjatrader.com/support/help...?importing.htm

    Please let us know if you need further assistance.
    Alan P.NinjaTrader Customer Service

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