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Tick Chart in Market Replay - Not correctly building bars

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    Tick Chart in Market Replay - Not correctly building bars

    Hi,

    I am using Market Replay to try and replay a day's worth of trading on a tick chart. When I scroll through the day to choose a start time for the replay- the point going forward from that start time will not have a single bar built correctly for the rest of the day.
    Example: I load Friday November 20th in Playback, and scroll to 9:00:00 AM. The chart takes a second and rebuilds with all bars up until 9am. All bars on this tick chart up until 9am are built correctly. Once you hit the 'Play' button, none of the bars from that point on will build correctly or look similar to what the tick chart should look like at the end of the day.
    If you scroll to the end of the day, let's say RTH at 4pm- then when chart loads at 4pm, all the bars will have loaded and built correctly. But again, if you start at 9am, and then hit 'Play', and let it go until 4pm- the chart will look COMPLETELY different. This is a major problem. It seems like the system is throwing off the tick count when you use Market Replay for tick charts and fast forward to a start time.
    Attached Files
    Last edited by DanDaMan; 11-21-2020, 07:13 PM.

    #2
    Hello DanDaMan,

    Can you please tell me if you downloaded or recorded the Market Replay data.

    To what broker/data feed do you connect to load "regular" historical data in NinjaTrader.

    What time zone do you have selected in NinjaTrader? You can check this at Control Center-->Tools-->Options-->General-->Time zone.

    In addition, what Tick interval (100 Tick, 250 Tick, 750 Tick, etc) do you have selected in the chart?

    JasonNinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_Jason View Post
      Hello DanDaMan,

      Can you please tell me if you downloaded or recorded the Market Replay data.

      To what broker/data feed do you connect to load "regular" historical data in NinjaTrader.

      What time zone do you have selected in NinjaTrader? You can check this at Control Center-->Tools-->Options-->General-->Time zone.

      In addition, what Tick interval (100 Tick, 250 Tick, 750 Tick, etc) do you have selected in the chart?
      Hi Jason,

      The Market Replay data was downloaded.
      The data is provided by CQG/Continuum.
      Time Zone in NT8 is set to (UTC-05:00) Eastern Time (US & Canada).
      Tick interval for the chart- this can happen with any interval, but the one you saw in the screencap is 2000.

      I also noticed that it looks like the bars, when replayed at normal 1x speed, are not building as they would normally when each tick is recorded- instead it seems the bars progress in a steady 1-second interval, and then build up with the tick data that occurred over that 1 second interval.
      I believe the tick data should be properly timestamped to the 100th nanosecond in NT8 with a data provider such as CQG Continuum- and so the tick chart in replay at 1x should be showing the bars building with the ticks up and down as they would be coming in. Instead, it seems to be 'bunching up' all the ticks that occurred over the past second and then spitting out the change in the bar exactly a second later- this is highly inaccurate for replay and would rendered the system unusable for realistic replay on anything other than a time-based chart if that is the case.

      Comment


        #4
        I can also confirm now after testing, that the building of the tick based bars gets thrown off if you replay at any speed faster than 1x. I could never get the same bar to draw the same way twice, and this throws off every subsequent bar for the day.
        I am not sure if I am doing something wrong, or have a setting off- but this is very concerning for a replay or sim system.

        ... and again- If I fast forward to a point in the day and hit play, the bars up to that point are built correctly, but from that point on do not reproduce the same way as what a final end-of-day tick chart would look like in NT8 using the same data. In essence, what I am trying to explain as clearly as I can- is that a tick chart played in NT8 Playback could look completely off from the exact same tick chart loaded live in NT8.
        Every time you hit pause and play, you will effectively change how every future bar will be drawn- each time.
        This is the behavior I am getting.
        Last edited by DanDaMan; 11-22-2020, 04:40 PM.

        Comment


          #5
          The 1 second interval is as expected for Market Replay data. Please see the link below.
          https://ninjatrader.com/support/help...gHowThePlaybac kWorks

          Note: When using market replay, the NinjaTrader core market data updates occur at the granularity provided by the market data provider. However, the NinjaTrader user interface only visually updates in 1-second intervals for performance optimizations. Even though the NinjaTrader UI's are only visually updating at 1-second intervals, orders and indicators will calculate just as they were running in real-time.

          Please note that when you fast forward to a point in time, data before this time is loaded as historical tick data and not Market Replay data. Realtime data is received as Market Replay data. You can experience subtle differences between different data sources. See the following link.
          https://ninjatrader.com/support/help...derstandingThe VariablesInvolvedInBuildingChartBars

          Discrepancies Between Different Data Feeds
          Different data feeds produce different charts, especially when using tick based intervals vs time based intervals. Market data vendors each employ various methods for tick filtering, throttling and time stamping. As a result, no data stream is 100% identical and thus can cause subtle differences in charts. Since NinjaTrader supports many of the leading brokerage and data feed technologies, it is highly likely that two traders using NinjaTrader on different data feeds will have minor differences when plotting the same market and time interval.

          JasonNinjaTrader Customer Service

          Comment


            #6
            Jason,

            Thank you for that. If NT8 is only able to playback at 1 second intervals, then that inherently means that it cannot be effectively used to play back tick charts in a meaningful way, as tick charts do not print to the screen in 1 second intervals, and this would throw off any testing as order timing would be greatly affected.

            What about the original problem detailed in this thread- of getting a different tick chart printed on the screen every time you fast forward, rewind, or playback at more than 1x as detailed above?
            That is a major issue for any tick chart user trying to replay the day, and I would be very surprised if this is not a known issue already.

            Comment


              #7
              Hello DanDaMan,

              Thank you for your note.

              The UI elements in the playback environment are updated at 1 second; however, the data and orders are processed at the realtime 100 nanoseconds. I have included a link with more information.

              https://ninjatrader.com/support/help...ePlaybackWorks

              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: 2844138 ATTN Paul.

              I look forward to assisting you.
              Paul G.NinjaTrader Customer Service

              Comment

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