Level 1 Trading

[jc.am]

Hello,

I understand that the difference between Historical Playback and Market Replay Playback is that Historical only uses Level 1 data and Market Replay uses Level 2 data.

Well, I have a strategy that works good on Historical and not as good on Market replay.

How can I configure my strategy tu run only on Level 1 data?


Regards,
Julio

[NinjaTrader_ChelseaB]

Hello Julio,

While Market Replay data also contains Level 2 data, the strategy will not be using it unless you have specifically coded it to do so by adding the OnMarketDepth() override.

https://ninjatrader.com/support/helpGuides/nt8/onmarketdepth.htm

You may be confusing the lack of intra-bar granularity with historical data as level. Historical data is level 1 data, but only contains the open, high, low, close, and volume of the bar and does not have all of the ticks in between. Because of this, orders are filled without accuracy if they are between the high and low, without knowing the exact time or price the order would have filled in the real-world.

Below is a link to a forum post that details adding 1 tick intra-bar granularity to increase the accuracy with historical order fills.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live?p=773377#post773377

Playback with Market Replay data is very accurate and is a recording of a live session. This means orders fill using the Simulation Engine and fill the same as if they were in real-time on the Sim101 account.