tick replay on higher timeframes

[soulfx]

Hello, i have developed a tick replay indicator which has been in operation for 8 months way back in beta and has very much been working very well in continuing N8 releases as various bugs and aspects stabilise.

For the most part i have been applying this to smaller timeframes say tick 5M 15M and 30M charts ...
Today i tried to load this on a 4H chart ... for CL 04-17 contract - for about 90 days going back.
Notably the markers i expect on the chart went back to around the 15th/16th feb the time of the roll of this contract from the CL 03-17
The data prior to this appears to show predominantly 0/zeros for the bid/ask data which i use to make some calculations.

The chart also froze ...but the price is moving and there is nothing in the log .....
I suspect depending on your answer to this .. i will need to cater for this in my display logic and calculations : IF all tick replay data will be expected to be zero because ninja cannot access it or does not have storage for it when tick replay spans contracts ?
Would be useful to know if this scenario has been tested or considered.


even though i am looking at the 04-17 doesnt ninja automatically pull in data for the 03-17 if dates prior to the 04-17 are included in the number of days?
what are the limitations (if any of this) particularly in relation to tick replay for this.

Do i need to / would i need to get access to the continuous contract for this type of analysis spanning contracts .. eg in this case CL?

just wondering on what the expected mechanism within ninja is on this and how it spans the contracts

thanks

[NinjaTrader_Jim]

Hello soulfx,

Thanks for writing in to our Support Forums!

While OHLC data will be downloaded for as many days going back, tick data is not stored for the same amount of time and the look back period cannot be downloaded for a period of time longer than what your provider has available. This means that you will see data from previous contract months with OHLC data but not for tick data. As each provider and the way they calculate ticks vary, there is not a cut-and-dry answer for how much tick data can be downloaded at a given time. Using a continuous contract month will not make this data available.

Since this data availability varies between providers, it is suggested to add logic to your indicator to check if the tick data is non existent or giving you 0 values.

Even if a user has stored tick data, the data might not show as available if the provider denies the look back period. This data can be accessed locally if the NinjaTrader platform is set up to not request historical data from servers. This can be set in the Market Data section of the Tools > Options menu of the Control Center.

Please reference the documentation below for a full understanding while developing your indicator.

Tick Replay: https://ninjatrader.com/support/help...ick_replay.htm

Developing for Tick Replay: https://ninjatrader.com/support/help...ick_replay.htm

Market Data Options: https://ninjatrader.com/support/help...marketdata.htm

Data Availability by Provider: https://ninjatrader.com/support/help...y_provider.htm

Please let me know if you have any further questions.

[soulfx]

Hello, thanks for the reply.

With the connection being rithmic according to the below for historical bid/ask data is supported.
The chart stopped displaying from what i can see until i reproduce this tomorrow from about the 14/15th February which is only 20-21 days prior. The rollover was around the 15/16th.
Do you know to hand what the restriction/limitation is for Rithmic for the CL contract? And what is the lookback period for Rithmic in this instance.
Is it the rule then that if it is set up to request historical data from servers as per your note then the previous contract data will ONLY be OHLC? Just wondering if this is setup internally in Ninja Data load manager or is a rule/general process for when accessing data for the prior contract?
I just mentioned about 90 days for the 4H chart but i can bring this down substantially to work within the Rithmic limitations for what those may be.
Once i know a bit more about above then i can better understand what to check for in my logic for the indicator - ie if it will always return zeros for the PRIOR contract then that will be the indication i can work with and mark the data as such prior to displaying on the chart.
thanks

[NinjaTrader_Jim]

Hello soulfx,

Thanks for your reply.

I do not know Rithmic's limit for tick data. This a question that would be best made to them directly.

If you request a certain look back period and your data provider denies it, you will not be able to see any tick data before the last day that your provider offers. You may use the setting in the Control Center to disable downloading historical data from servers if you wish to view tick data that you already have downloaded and stored on your machine. Remember, this is for viewing data that you already have downloaded and would not be requesting additional data.

If you have tick replay enabled and you request data from your provider that goes beyond the last date they offer tick data, no data will be seen on the chart before that date.

If you do not have tick replay enabled and you request data from your provider, there will be no restriction in which your provider can say it does not have tick data. Since you are not asking for tick data, your request for data will not get denied after a certain date where tick data is not being offered.

I would suggest to add Print() statements to your indicator so you can identify what the data looks like when the tick data is unavailable. Basic debugging will help you identify what good data looks like and the conditions in which that data is valid.

Print() documentation can be found here: https://ninjatrader.com/support/help...-us/?print.htm

Additional debugging information can be found here: http://ninjatrader.com/support/forum...ead.php?t=3418

Please let me know if you have any further questions.