Market Replay not playing back available data

[sam2018]

Please see replies within quotes below.

Hello sam2018,

If you restart NinjaTrader does the data show correctly in the Historical Data window?
- No, the data does not show correctly in the Historical Data Window on restart.
May I have the data to view on my end?
- Please find attached, please note that I have deleted the file from the screen shot date. However, I tried to record CGIX again from this morning (around 8 AM) and it is exhibiting the same issue.

The data is in:
Documents\NinjaTrader 8\db\data\CGIX
- I do not have a "..db\data" folder, however I do have a "..db\replay" folder. I have grabbed the file from that folder.

Please zip this up and send this through wetransfer.com.
-The file size is only 62KB, therefore I have attached within this thread.

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

[NinjaTrader_ChelseaB]

Hello sam2018,

Are you receiving real-time data for this instrument that is not delayed data?

Is it possible that this instrument is receiving delayed data?

I have downloaded the data and inserted into the replay directory, however after restarting NinjaTrader the data is not showing as available in the Historical Data window.

If you are certain this instrument is not delayed, I'd like to schedule a call with you to observe this instrument loading in a workspace by itself with no other scripts or windows open, observe that real-time ask and bid prices are actively changing, and test a few minutes of recording real-time data as replay and then attempting to play this back.

If this is successful, we will try a longer duration in the same state.

Please let me know if you are certain this is not delayed data and you have an active subscription. If so, I have another email ticket with you open on a similar subject and I will contact you using that ticket id.

[sam2018]

Please see replies within quote

Hello sam2018,

Are you receiving real-time data for this instrument that is not delayed data?
- Yes, I am receiving real-time data

Is it possible that this instrument is receiving delayed data?
- No, it is not possible it is receiving delayed data.

I have downloaded the data and inserted into the replay directory, however after restarting NinjaTrader the data is not showing as available in the Historical Data window.

If you are certain this instrument is not delayed, I'd like to schedule a call with you to observe this instrument loading in a workspace by itself with no other scripts or windows open, observe that real-time ask and bid prices are actively changing, and test a few minutes of recording real-time data as replay and then attempting to play this back.
- I have been testing with all other work-spaces closed and just one work space open with only a chart and no indicators or scripts. The same issue was present in the chart. I have attached a screen shot from this morning(please note that Market Replay recoder was not enabled). (sorry I should have stayed with CGIX, but I wanted to make sure it was something that was trading at 6:30AM, so I chose AAPL.) I want to point out again, that this new bar print taking the hour to be 16:00 seems to be independent of Market Replay Recorder issue.

ALSO, DURING NORMAL MARKET HOURS AND AFTER HOURS THE CHART AND RECORDING SEEMS TO BEHAVE NORMALLY. THIS ISSUE SEEMS TO ONLY AFFECT TICKERS ADDED FOR RECORDING PRE-MARKET AND CHARTS BEING OPENED PRE-MARKET.


If this is successful, we will try a longer duration in the same state.

Please let me know if you are certain this is not delayed data and you have an active subscription. If so, I have another email ticket with you open on a similar subject and I will contact you using that ticket id.
- I am certain it is not delayed data. As I have indicated in the response above, I think we will need to schedule the call during pre-market hours as the issue seems to be present during pre-market hours.

[NinjaTrader_ChelseaB]

Hello sam2018,

Thank you for letting me know this only affects recording during pre-market hours.

What window is recording the data?

Is this recorded by the Market Analyzer?

If so, what is the column type used in the Market Analyzer?

Is the Trading Hours template set to Default 24 / 7 or US Equities ETH in this column (if settable)?

[sam2018]

Hi Chelsea,

Please see my responses below,

Hello sam2018,

Thank you for letting me know this only affects recording during pre-market hours.

What window is recording the data?
-I tried it with only the chart open, only the L2 window open, only the T&S window open...all present the same issue for the recorded data, where the data start time says some time past 4PM on the record date.

Is this recorded by the Market Analyzer?
-No, it is not being recorded by the MA

If so, what is the column type used in the Market Analyzer?

Is the Trading Hours template set to Default 24 / 7 or US Equities ETH in this column (if settable)?
-I have tried with the default instrument settings. and session settings, RTH and ETH as well as the Default 24/7 and get the same result.

Please note that in my below post I have indicated that when I open a new ticker in a chart during pre-market hours regardless of whether MARKET RECORDER IS ENABLED OR NOT I get the first bar print at 16:XX. All the other bars up until the point I opened the chart will have the correct time prints, but the very next bar is what is affected. Then as time goes on the bar will continue to update in the same position, i.e. 16:XX not matter what the bar interval is set to. But once I right click and "Reload All Historical Data", the time prints will be normal again and the chart will continue to update normally IF the ticker has received a tick between the time I opened the chart and "Reload All Historical Data", IF it did not receive any ticks(no market activity) it will continue to show the next bar at 16:XX position. I believe there is an issue with how the platform is processing the last available tick information, if the last available tick time stamp is before the RTH.

[NinjaTrader_ChelseaB]

Hello sam2018,

I want to focus on the instrument you are reproducing this with.

With the CGIX instrument I am looking at historical tick data on April 18th. I'm showing that is a single tick at 8:00 AM, then the next tick received is at 8:38 AM followed by another single tick at 9:01 AM.

Then there are about 5 ticks received from 7:01 to 7:30 AM.

So there is not a lot of activity on this instrument in the pre-market hours.

However, I will test using the US Equities ETH template starting at 8:00 Eastern time with CGIX on a chart and see if I am able to reproduce the behavior.

I appreciate your patience while I test.

[sam2018]

Thank you for working on this.

May I suggest you test with AAPL, as it is a much more liquid stock during pre-market? I had the same issue with AAPL this morning.

EDIT: What I meant to say was that can you please test with AAPL and CGIX, as they are usually on either end of the spectrum in terms of pre-market liquidit?

[NinjaTrader_ChelseaB]

Hello sam2018,

I am happy to use AAPL, however, I am wanting to use whatever instrument you are using to reproduce the behavior so that I am not testing something that is not able to reproduce the behavior.

Whatever you tell me you have reproduced this with, is what I will be testing.

To confirm you are receiving real-time data for AAPL and you are certain this is not delayed data, is this correct?

[sam2018]

Hi Chelsea,

I can confirm I am receiving real time data for AAPL and CGIX.

And I would like to request that you test with both AAPL and CGIX as they are quite different in terms of pre-market liquidity.

[sam2018]

Hi Chelsea,

Please note that I am able to reproduce the same issue with AAPL this morning (April 20th 2018), screen shot attached

CGIX does not seem to have any pre-market activity yet (06:46).

[NinjaTrader_ChelseaB]

Hello sam2018,

I left the connection on and recording enabled overnight with AAPL and CGIX.

But unfortunately my testing machine was restarted at 7:22 AM Mountain (9:22 AM Eastern)..

(My local time zone is Mountain time. The video linked below will show mountain time.)

So I have recordings up to 7:22 AM. The CGIX appears to only created one tick during that time at 6:00:10 AM.

I have double checked the historical tick data which confirms this.
(Historical tick data shows a tick for CGIX at 6:00:10 and then the next tick at 7:30:00)

This means the CGIX does not have any activity that could have been recorded from 6:00 AM to 7:30.

However, AAPL did have some ticks during that time which I am able to playback successfully.

Below is a link to the playback test.

https://drive.google.com/file/d/16RCrYtpKhygaB8mCEdEcZmwTgdnMk5p4/view?usp=drivesdk

[sam2018]

Thanks for the test Chelsea.

The issue still exists for me. I guess I can try uninstall and re-install to see if it makes a difference.

[NinjaTrader_ChelseaB]

Hello sam2018,

As I am not able to reproduce this behavior on my end, this would infer that the platform is developed correctly to record the data in the proper environment.

Do you have another computer connected to another internet source you can test with?


If not, the next step would be for me to test with your machine.

As you are only able to reproduce this behavior in the pre-market hours (using AAPL which should have data during that period), I would need to connect to your machine in the evening, ensure the connection remains connected overnight, and allow a test to run overnight (similar to my test), without interference with the machine.

Would there be a time I would be able to test for this behavior overnight and into the next morning without interruption? (Meaning a time where you will not be needing to use this computer)