Market Replay not playing back available data

[sam2018]

Hello,

I am having an issue replaying market data(stocks) which i had recorded during yesterdays session using Market Analyzer (I have a L2 subscription as well). I had recorded about 77 tickers, and the first 5 I have tried are not working (i.e. playing back). Is there something obvious I may be missing in playing back recorded market data?

ADDITIONAL INFO


As stated above, I am having issues replaying market data(stocks) which i had recorded using Market Analyzer (I have a L2 subscription as well).

When I view the available data within the MarketReplay connection, I see the date(April 13th 2018) available for the tickers in question. Also when I check the db folder for the replay files I can also see the files are available for April 13th 2018 for the tickers in question.

However when i try to playback the file via the MarketReplay playback mode, the chart simply stays at the end of session on April 12th 2018.


Also, going through most of the tickers I had recorded for April 13th 2018, all the files below 350KB in size seems to work, with the following exceptions; I cannot see the depth of market in the L2 window or Dynamic Super DOM, but I can see the top of book in the Dynamic Super DOM only. I don't see the top of book in the L2 window.

For the files that are not working (which also happen to be all the files bigger than roughly 350KB), they have a commonality in that they show data in the L2 Window for 12:00:00AM time print and show a print at 12:00:00AM in the T&S window. However the time stamp of the first bar in the CHART indicates 4:03AM (I am using 3 min candles). The first bar print in the CHART at 4:03AM is probably due to my session time template which is set to begin at 4AM, however when I use a 24 hour template to try and sync with the 12:00:00AM T&S print, the play back still does not work, all the windows (Chart, T&S and L2) freeze at that first print with the play back controller continuing to advance normally.

I tried testing with some data available for download from NinjaTrader. I am not able to download Futures data, which I have read includes L2. I am able to download Forex pairs. To my understanding Forex pairs do not have L2 data. I am not sure why I am not able to download Futures. The downloaded Forex data plays fine even though the files are around 500KB.

I am looking for some feed back as to what might be the issue here.

Is there a size limit on the files NT8 MarketReplay can play back (in market replay mode, not historical)?
Can I not see the depth of market information even though I have subscribed to L2 data?
Is the play back not working because the recorded data seems to be corrupted for files bigger than 350KB due to that first T&S print that seems to show up at 12:00:00AM?
Why am I not seeing the market depth in the L2 Window or the Dynamic Super DOM window for the files that are working (size smaller than 350KB)?

[NinjaTrader_ChelseaB]

Hello sam2018,

Who are you connected to for data? This is indicated with a green dot in the Connections menu of the Control Center.

Start with a single instrument that cannot playback.

What is the symbol for this instrument?

Please open the Tools -> Historical Data window, then expand Market Replay -> and the symbol in question. Highlight the row of data you are attempting to playback.

Then send a screenshot of the Historical Data window, the Playback Controller showing the time of playback, and the Chart showing Chart Trader so that we may see if there are ask and bid prices.

[traderpards]

Hello sam2018,

Who are you connected to for data? This is indicated with a green dot in the Connections menu of the Control Center.

Start with a single instrument that cannot playback.

What is the symbol for this instrument?

Please open the Tools -> Historical Data window, then expand Market Replay -> and the symbol in question. Highlight the row of data you are attempting to playback.

Then send a screenshot of the Historical Data window, the Playback Controller showing the time of playback, and the Chart showing Chart Trader so that we may see if there are ask and bid prices.

Same here...
CQG
ZN 06-18

I need treasuries at around 6:00 am, April 12th and it won't play back. Historical mode shows the trade I need to debug just fine, except I need to debug in a live mode, which I can't do because ZN won't load. Every other instrument I need - YM and ES are all good and I couldn't resist the temptation to Reload Historical Data, except that caused the chart to hang. Probably a Market Replay quirk.

Thanks.

[NinjaTrader_ChelseaB]

Hello traderpards,

I am showing this data is available on the NinjaTrader Market Replay servers and can be downloaded and played back and has both Level 1 and Level 2 data.

Below is a link to a short video that demonstrates.

https://drive.google.com/file/d/19Hcgdw2at-297FqTQtBmXGJsgdX5N9RR/view?usp=drivesdk

If you delete the data and re-download using the steps in the video are you getting different behavior than what is shown in the video?

What version of NinjaTrader 8 are you using?

[sam2018]

Hi Chelsea,

Who are you connected to for data? This is indicated with a green dot in the Connections menu of the Control Center.

- My data feed provider is IQFeed. That is who I am connected to when I am recording market data for replay.

Start with a single instrument that cannot playback.

What is the symbol for this instrument?

- GERN

Please open the Tools -> Historical Data window, then expand Market Replay -> and the symbol in question. Highlight the row of data you are attempting to playback.


Then send a screenshot of the Historical Data window, the Playback Controller showing the time of playback, and the Chart showing Chart Trader so that we may see if there are ask and bid prices.

- I cannot seem to enable Chart Trader. I have included the L2 and T&S window to show the bids and asks. The playback controller keeps advancing but the Chart, T&S and L2 seem frozen. Please see screen shot.



Also note that I was able to download ZN 06-18 from the Ninja Trader server and that works fine.

[NinjaTrader_ChelseaB]

Hello sam2018,

Is this an equity that trades from 9:30 AM to 4:00 PM Eastern?

What Trading hours template is selected for the instrument and for the chart?

Was real-time data showing on the chart or Time & Sales window when this was being recorded?

Are you getting an error when attempting to open Chart Trader on the chart?
Are you using a Direct Edition License?
(Do not post your license on the forums)

[sam2018]

Hello sam2018,

Is this an equity that trades from 9:30 AM to 4:00 PM Eastern?
- yes it is, also has pre market and after hours, so 8am to 8pm EST.
What Trading hours template is selected for the instrument and for the chart?
Chart template is equities-ETH

Was real-time data showing on the chart or Time & Sales window when this was being recorded?

- For this particular ticker yes, i had the chart and L2 open. For many other tickers i simply had them in Market Analyzer. My understanding is that is sufficient to record the data including L2. Am i wrong?

Are you getting an error when attempting to open Chart Trader on the chart?
- no it is simply greyed out and not available for selection.

Are you using a Direct Edition License?
- no i am not
(Do not post your license on the forums)

Please see replies within quote

[NinjaTrader_ChelseaB]

Hello sam2018,

I would need you to demonstrate that the real-time data is not being recorded with a new recording.

I believe I have received an email from you regarding this thread in our support email. I will reach out to you to schedule a call during our normal support hours.

[sam2018]

Good Morning Chelsea,

Yes, I did also email customer support with a reference to this thread. Please let me know what time works for the call.

I do not understand what you mean by ;
"I would need you to demonstrate that the real-time data is not being recorded with a new recording."

I suppose you can help me understand during the call.

[NinjaTrader_ChelseaB]

Hello sam2018,

This means I will need you to enable recording, connect to a live feed for a while, disconnect, disable recording, and then attempt to play back the short amount of recorded data. This is to show me if while live data is being received it is not be recorded properly.

[sam2018]

Hello Chelsea,

I tried recording from this morning at 9AM to about noon. Some of the tickers says the data is available from 4/16/2018 4PM to 4/16/2018 4PM, which is odd as it is not 4PM yet.

There are other tickers that show the data begins at 4/16/2018 12AM to 4/16/2018 12PM. Which is again odd, as I didn't turn on the PC till 9AM in the morning. But when I play them back they do work, however there is no L2 info, just top of book, these ones also seem to be the low liquidity ones.

[NinjaTrader_ChelseaB]

Hello sam2018,

I was not able to observe these actions.

Are you receiving my emails from platformsupport [at] ninjatrader [dot] com where I have requested your contact information?

[sam2018]

They were filtered to my junk folder. I will respond momentarily.

[sam2018]

Hello Chelsea,

Thank you for your time in working out the NT8 version(8.0.12.0. seems to have the issue, which was resolved by upgrading to the the latest available version on this date) issue regarding Market Replay recorder. Now the Market Replay recorder seems to record, and plays back what it has recorded. However, there is an abnormality in what it records and what is available for playback. I am not sure if it is an issue with the Market Replay recorder or the Charting platform itself. Let me explain;

Even though I would start the recorder sometime in the morning, let's say at around 8AM EST, the file is being stamped with a start time of 4PM EST in the available replay data section of the Historical Data dialog box. When I try to play back the file it seems to play back from 4PM onward till the end of the file (usually around 8PM).

Before recording with live data, I usually have the chart open and when I look at the time scale at the bottom, it prints the next bar (the previous bars, which are historical at point when I open the chart will have printed correctly) from the time I opened the chat at 16:03 and will continue to update the bar on that 16:03(3 min interval setting) position until I "Reload All Historical Data".

The first bar is being printed on the chart at 16:03 regardless of whether Market Replay Recorder is enabled or not.

To me, this first print at 16:03 seems to correspond with when the Market Replay recorder is time stamping the recording to have started, regardless of the fact, it was started sometime around 7/8AM.

However the prints in the T&S windows seems to be printing accurately along with the L2 data being updated with the correct timestamps.

I would like to note that I have updated my session templates to be a modified ETH, which starts at 4AM and ends at 8PM, as I am interested in all the pre-market and after close trading. I have also updated the instrument template to be the same, so that there are no discrepancies.

Please see screen shots attached that illustrated this issue. In each one these screen shots the chart was opened around 7/8AM in the morning and left to run for about 10-15 mins. You will notice that the last time stamp is at 16:03 and the chart has not progressed past that.

[NinjaTrader_ChelseaB]

Hello sam2018,

If you restart NinjaTrader does the data show correctly in the Historical Data window?

May I have the data to view on my end?

(edit)
The data is in:
Documents\NinjaTrader 8\db\replay\CGIX

Please zip this up and send this through wetransfer.com.

Then post a link to the data with your next post.