Missing bars in market replay data

[jasphere]

Hi,

I previously have live data feed recorded as replay data using a demo account until my demo account expires. However I am not convinced to jump into live trading yet so I continue my research using one-day-delay replay data. However, after I downloaded the replay data one day after my account expires, I found there is a big gap between my previous day data and the new day data.

Referring to the attached screenshot, you can see there is a gap between the highlighted areas. The timestamp also has a gap in between where the replay data doesn't fill in.

Please advise, thanks in advance.

PS: My timezone is GMT+0800 hence the day replay data starts at 12:00
PS 2: My replay setting is starting from 15th Oct until 18th Oct
PS 3: I have tried to remove the replay data from NinjaTrader/db/replay folder and re-downloaded, but the gap shifted to one day earlier.

[NinjaTrader_Melissa]

Hello jasphere,

Thank you for the post.

You mentioned that you have deleted the relay folder, but did you happen to delete any of the historical data from your provider? I would want to rule out that data being corrupted as well since the Playback chart uses a mix of historical and market replay data.

To do so, you may go to Tools->Historical Data and delete the MES 12-19 entries (right click and select "Remove" or select MES 12-19 and press the Delete key).

Another option is to download data from 14 October to see if that fills in the gap from a different time zone.

Please let me know if this resolves your inquiry.

[jasphere]

Previously I deleted the individual NRD file (20191015.nrd, 20191016.nrd...) and redownloaded those data.

You mentioned that you have deleted the relay folder, but did you happen to delete any of the historical data from your provider? I would want to rule out that data being corrupted as well since the Playback chart uses a mix of historical and market replay data.

I re-checked and saw the provider's data is still available until 1:22 of 16th Oct. However I also rechecked I have market replay data of 15th Oct which spans from 12:00 of 15th Oct to 11:59 of 16th Oct. If the chart is using both historical and market replay, the chart should pull the market replay data to fill in the gaps that don't exists in the historical data.

I tried to remove 16th Oct from the historical data, but this time, the gap shifted to between 16th 00:00 to 12:00 (which I assume is the same issue). Since deletion of historical data can only be done on daily basis, there is no way for me to just delete those entries starting from 12:00 to match the parting line of market replay data.

Another option is to download data from 14 October to see if that fills in the gap from a different time zone.

I tried before I submitted this thread. I redownloaded (without deleting the NRD files) from 14th until 17th but no changes.

Additional question regarding the replay. If I starts a market replay which contains the mixture of historical and market replay data, do I get the depth and each ticks replay for the historical data? I would like to try out tick based strategy, but if the historical data doesn't simulate the ticks, I would like to have an option to just use market replay data for the simulation.

Thanks in advance.

[NinjaTrader_Melissa]

Hello,

Thank you for that update.

One more thing I would check is the Trading Hours template that is loaded onto the chart (Right-click->Data Series->Trading Hours). Because you downloaded another data and it pushed the gap back I suspect that some setting is purposefully preventing that data from loading.

As for your second inquiry, you are correct that regular historical data does not include tick values. Market Replay by default will load tick values and depth of market and will not prevent that from loading if you have any historical data on your chart.

That being said, if the trading hours are not affecting your chart and you are unable to resolve the gap, some deeper troubleshooting would be required to ensure nothing is amis on your platform as a whole. If you are still experiencing this gap, 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-> Email 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: 2310818 ATTN Melissa.

I look forward to resolving your inquiry.

[jasphere]

Checked the setting for trading hour, which is set to "Instrument settings", which I think is the default setting.
I retried deleting the NRD files and redownloaded them, but this time I didn't experience the shift. I think I was remembering the wrong date when I was doing that for the first time.

Currently the gap is still there and I have sent the support email with the log files and chart data.