Tick charts and market replay?

[veetotheone]

Hi everyone,

I've been looking at the Market Replay function and have been running into issues when using market replay data with tick charts. I download market replay data and set it to Playback connection. I load up a tick chart and so far everything looks good. The bars that get populated on the chart all look accurate. However, once I press play, the bars that get printed differ a lot than what it would have actually been during live trading and historical data. If I were to forward the time a few hours, the bars look accurate up until I press play again. It seems like there were a few forum posts on this topic before with one of them not having significant discussion or answer and the other indicating that market replay functions at 1 second intervals (which if that is the case, then tick charts are essentially useless with market replay).

Related forum posts:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/1139872-market-replay-differs-from-historical-charts

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/1128734-tick-chart-in-market-replay-not-correctly-building-bars

Not sure if I'm missing anything or there is a tweak I can do. Is there anyway to accurately playback through market replay (or other methods) accurate tick charts that would resemble what happened live?

[NinjaTrader_Zachary]

Hello veetotheone,

Thank you for your inquiry.

Different data providers produce charts that are different from one another, especially with tick-based intervals. The data that you see on the chart before you begin playing back the replay data is back-filled from your data provider, while the data that populates as you replay comes from our servers. Thus, the information is from 2 different sources and differences would be expected. You may read more about the variables involved in building bars at the link below;

https://ninjatrader.com/support/helpGuides/nt8/index.html?how_bars_are_built.htm#UnderstandingTheVariablesInvolvedInBuildingChartBars

If you'd like replay data that matches your real-time data providers data more closely, you could record replay data yourself using your providers data rather than download the data from our servers. You may read more about recording market replay data at the link below;

https://ninjatrader.com/support/helpGuides/nt8/index.html?set_up12.htm#HowToRecordLiveMarketData

I also wanted to clarify that it's the playback UI that updates on a 1 second interval, not the data or order processing itself. This still updates as it would in real-time.

[veetotheone]

Thank you for the explanation Zachary. I will try recording replay data myself and see if the playback more closely with real-time.

[wildwex]

We had the same exact question just moments ago having reviewed downloaded playback data vs data that we had from our provider. Just as we were getting ready to create a new post, this posted addressed the question. Thank you #veetotheone for asking and thank you #NinjaTrader_Zachary for providing additional insight.

We never realized until we ran more detailed testing that something was off and having used more and more tick chart based algo's - how critical accurate data was. Data coming from 2 different sources really fouls things up. I'm not sure what can be done about this from NT Platform's point of view, but now I understand more of what's going on and will work accordingly.