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Market Replay reliability

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    Market Replay reliability

    Hi there,

    I have been testing an automated strategy using Market Replay. I have followed the following steps:

    1. Go to "Tools/Historical Data", click on "Load" tab, go to "Get Market Replay data", select instrument, select date and finally click on "Download".
    2. Then go to "Connections" and select "Playback Connection".
    3. Then I open a chart, attach it my automated strategy and click in "Enable".
    4. In the Playback emerged window I select "Market Replay", select start date, select end date, left the speed at 1x and push "play" buttom.

    Then the chart starts to run at 1x but I have noticed that the run resolution is every second not every tick, that means that some seconds the price moves up or down more than 1 tick, so there are missed ticks between second and second. Same occurs in the T & S and SuperDom.

    Is there any way to get tick by tick resolution in market replay?

    If not, is the Market Replay reliable to testing automated strategies that are optimized for 1 tick resolution?

    Thanks.

    #2
    Hello Zenersev,

    Thank you for your patience in allowing us to get back to you.

    So I may accurately assist you, please answer all of the following questions:
    • What version of NinjaTrader are you using? Please provide the entire version number. This can be found under Help -> About (Example: 7.0.1000.? or 8.0.?.?)
    Thanks in advance; I look forward to your reply.
    Sergey S.NinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_SergeyS View Post
      Hello Zenersev,

      Thank you for your patience in allowing us to get back to you.

      So I may accurately assist you, please answer all of the following questions:
      • What version of NinjaTrader are you using? Please provide the entire version number. This can be found under Help -> About (Example: 7.0.1000.? or 8.0.?.?)
      Thanks in advance; I look forward to your reply.
      Hi there,

      I think I am using the lastest version of NinjaTrader 8 (8.0.19.0 64-bit ).

      Comment


        #4
        Hello Zenersev,

        Thank you for your reply.

        To begin, I see that you're using an older version of NinjaTrader 8. To update NinjaTrader, please follow the steps below.
        • First, copy your license key from NinjaTrader under Help> License Key then exit NinjaTrader
        • Click on the link: http://ninjatrader.com/PlatformDirect
        • Enter your license key and press Submit
        • Select 'NinjaTrader 8'
        • Select 'Download'
        • Critical: Before running the installer, ensure NinjaTrader is closed.
        Once updated, you may turn on Tick Replay by going to Tools>Options>Market Data. Check the box labeled 'Show Tick Replay' and press OK. Then to add Tick Replay to the Chart for Market Replay, Right click on the Chart and select Data Series. Check the box labeled 'Tick Replay' and press OK

        Please let me know if you require any additional assistance.
        Sergey S.NinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_SergeyS View Post
          Hello Zenersev,

          Thank you for your reply.

          To begin, I see that you're using an older version of NinjaTrader 8. To update NinjaTrader, please follow the steps below.
          • First, copy your license key from NinjaTrader under Help> License Key then exit NinjaTrader
          • Click on the link: http://ninjatrader.com/PlatformDirect
          • Enter your license key and press Submit
          • Select 'NinjaTrader 8'
          • Select 'Download'
          • Critical: Before running the installer, ensure NinjaTrader is closed.
          Once updated, you may turn on Tick Replay by going to Tools>Options>Market Data. Check the box labeled 'Show Tick Replay' and press OK. Then to add Tick Replay to the Chart for Market Replay, Right click on the Chart and select Data Series. Check the box labeled 'Tick Replay' and press OK

          Please let me know if you require any additional assistance.
          NinjaTrader 8 (8.0.19.0) disappeared without notice, and NinjaTrader 8 (8.0.19.1) seems to just have appeared in its place. At the very least, I think it would be appropriate to inform us when you make such a change, not just replace the file.

          What are the differences between 8.0.19.1 and 8.0.19.0? If there were some unresolved error(s), it would be kind to let us know.

          I have updated, based solely on your response here. Whether or not we shall update is not the point: the problem is simply disappearing a posted version with no notice.
          Last edited by koganam; 10-21-2019, 12:02 PM.

          Comment


            #6
            Often we will push a small release after a major release to make sure critical items are addressed. We typically do not send out an in-product pop up like we would with a major release. You can find all of the changes for all versions and sub-versions in the release notes:

            https://ninjatrader.com/support/help...8/8_0_19_0.htm

            I do not believe there are necessarily any updates in 8.0.19.1 that are directly related to your inquiry, but we always recommend using the latest version so we may eliminate that variable.

            We may have misunderstood your initial question, so I apologize for they confusion. Market Replay only visually updates data ever second, but a NinjaScript strategy still processes based on it's 'calculate' property - either on bar closes, on each tick, or on price changes. logic will be processed immediately with no delay.

            For example, you have a strategy set to calculate on each tick. 4 ticks arrive within one second. Let's say the price begins at 100, moves up to 101, then down to 99. Your 'on each tick' strategy would have calculated 4 times in this one second. The chart, visually, would have displayed a price change from 100 to 99.
            Patrick G.NinjaTrader Customer Service

            Comment


              #7
              Originally posted by NinjaTrader_PatrickG View Post
              ... You can find all of the changes for all versions and sub-versions in the release notes:

              https://ninjatrader.com/support/help...8/8_0_19_0.htm
              Not really true, as clicking on the provided link demonstrates. I checked before I posted the first time. Nothing is said about 8.0.19.0. THAT is the point that I was raising. 8.0.19.0, and any mention of it simply disappeared, as if it never existed. (Other, of course, that there was a failure to excise it from the 8.0.19.1 page text itself.).

              Comment


                #8
                If you scroll down that page, you'll notice that there is eventually a separator that specifically mentions where 8.0.19.1 changes begin. It's about 90-95% of the way down the page:

                https://www.screencast.com/t/gXFaVW9lK

                The assumption being that the changes mentioned above that separator are for 8.0.19.0. It looks like in prior pages, the original version is listed at the top as well. I'll see if we can get that amended to avoid confusion.
                Patrick G.NinjaTrader Customer Service

                Comment


                  #9
                  Originally posted by NinjaTrader_PatrickG View Post
                  Often we will push a small release after a major release to make sure critical items are addressed. We typically do not send out an in-product pop up like we would with a major release. You can find all of the changes for all versions and sub-versions in the release notes:

                  https://ninjatrader.com/support/help...8/8_0_19_0.htm

                  I do not believe there are necessarily any updates in 8.0.19.1 that are directly related to your inquiry, but we always recommend using the latest version so we may eliminate that variable.

                  We may have misunderstood your initial question, so I apologize for they confusion. Market Replay only visually updates data ever second, but a NinjaScript strategy still processes based on it's 'calculate' property - either on bar closes, on each tick, or on price changes. logic will be processed immediately with no delay.

                  For example, you have a strategy set to calculate on each tick. 4 ticks arrive within one second. Let's say the price begins at 100, moves up to 101, then down to 99. Your 'on each tick' strategy would have calculated 4 times in this one second. The chart, visually, would have displayed a price change from 100 to 99.
                  So I could be confident that the results obtained by my tick-by-tick strategy in the market replay are reliable and conform to reality. Thank you for your explanation.

                  Comment

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