Historical Market Replay Data. Anyone have them?

[quantrob]

I'm working on AI trading strategies and need lots of tick L2 data on futures. But Ninjatrader 8 lets me download only 90 days or so. I need at least 6 months.
Does anyone have these .NRD files, I could possibly buy?

Thank you!

[bltdavid]

Download all the Market Replay data you want using this service,

https://www.marketreplaydata.com

[EDIT: subscription required, but it's pretty cheap at $6.95/month or $49/year.]

-=o=-

Btw, if you want Historical Data, that's quite a different thing.

I mean, using the phrase "Historical Market Replay Data" is a bit ambiguous.

NT7/NT8 has two completely separate kinds of data -- one is named "Historical Data" and the
other is called "Market Replay Data". Although similar, since they are both historical in the data
they contain, nevertheless they use completely different file formats and have different availability,
different sources, and different costs, different nuances, etc.

When you combine these two terms like you did in your title you open yourself up to lots
of potential confusion. NT8 kinda muddies the water a bit, but in NT7 these terms were really
quite separate.

I presumed, for ex, that you really do want Market Replay Data, and so the above link
is the best place to go for data in that format.

Good luck!

[quantrob]

Yes, thank you! I meant Market Replay Data. I downloaded data from the service and see that even thou the datafile is very similar, it's not the same as the one I downloaded from original Metatrade 8. The new file is slightly shorter by 200 bytes and the content is differs in some parts. Looks like it was recorded from a different source? Quality of the data is very important, so how is that different?

[bltdavid]

I've never heard of "Metatrade 8".
Do they supply Market Replay data files in the correct format for NT8?
What do you mean by their data files are "similar" to the MarketReplayData.com service?

Could different data sources explain the difference in the file sizes?
Sure, I suppose -- maybe one file is missing important data, or maybe one file has had its data
filtered and the "missing" data has been removed on purpose -- who knows.

If you have questions about the quality of data you downloaded, you need to ask "Metatrade 8"
and MarketReplayData.com these questions -- I doubt this forum can you help you much with
the mysteries you found ...

[quantrob]

Sorry, I meant Ninjatrader 8 lol. The data from marketreplaydata.com slightly differs from data I downloaded directly by the Ninjatrader 8 application.
I just compared two NT8 files from the same month for ES. Binary comparison shows differences. It means it's not the same file. So my question is, how do they collect the data and is it reliable, I guess that's more of a question for the owners of marketreplaydata.com. I'll ask them. Thanks for telling me about them!

[bc24fl]

Quantrob, did you find what the difference was? I'm curios to know.

[chartish]

The nrd files are usually about 40MB or larger. The total amount of replay data I have is over 30 GB. I don't see how to get any of it to you.