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Replay

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Once replay data is available by either recording or downloading (See the "Set Up" page of the Help Guide), it can be replayed in all NinjaTrader windows.

 

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tog_minusHow to connect to Market Replay data

Connecting to Replay Data

To connect to Market Replay data:

 

1.Left mouse click on the File menu in the Control Center
2.Select the menu item Connect
3.Select the menu item Market Replay Connection

 

"Connected - Replay" should now show in the lower left hand corner of the NinjaTrader Control Center.

tog_minusHow to work with replay data

Replay Control

Once connected to the Market Replay data (see the "How to connect to Market Replay data" section above for how to connect), the Replay control window will appear.

 

At the top of the Replay control window, the replay speed and current replay date and time are shown. Below that title bar you can select the replay From and To dates.

 

Controls

The Replay control is set up much like a DVD player. The following controls are available:

 

Play button

Starts the market replay

Pause button

Pauses the market replay

Speed control button

Each successive click increases the speed of the playback

Slide control button

Selects a point in time to start replay (sliding during playback will reset the Replay101 account trade history)

 

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Right Click Menu

Right mouse clicking in the Replay control window will bring up the right click menu with the two following menu items:

 

 

Available Data...

Brings up the Available Data window. Instruments with replay data will be displayed with the level 1 (L1) and level 2 (L2) Begin and End dates and times. Left mouse click on the "+" icon to view a more detailed report for instruments with multiple replay dates as shown in the image to the right for the ES 03-10.

 

 

 

 

 

 

Go To...

Brings up the Go To window where you can specify a date and time to jump the replay file to. There must be recorded data available for the selected time.

Tips

1.Should you be using the Market Replay for testing a NinjaScript strategy, please be sure the chart you apply the strategy onto has bars populating it prior to the start time of your replay.
tog_minusUnderstanding how the Market Replay works

The following outlines how the Market Replay works in syncing the Level I and Level II data together. The same concept applies to syncing events between different instruments being played back at the same time.

 

NinjaTrader's Market Replay feature uses two separate files for Level I and Level II data.
When replaying, the Level I sequence is guaranteed to be in the correct sequence in relation to all Level I events for that instrument.
The Level II sequence is also guaranteed to be in the correct sequence in relation to all Level II events for that instrument.
When both Level I and Level II data streams are played in conjunction, the Level I and the Level II events are still guaranteed to be in the correct sequence in relation to their individual streams. So L1 is still correctly sequenced for all L1 and L2 is correctly sequenced for all L2s.
What is not guaranteed though is the sequence of events between L1 and L2 greater than that of a one second granularity.
What the NinjaTrader Market Replay does is increment the replay in seconds intervals (00:00:00 to 00:00:01) <-- HH:mm:ss
When the second moves up by one, NinjaTrader will gather all the L1 information that happened within that second and then gather all the L2 information within that second. Then they are meshed together.
There is no guarantee as to how the L1 and L2 data will mesh together at this point. What this means is that it is possible to have L1 events timestamped as seemingly after a L2 event yet still played first and the vice versa as well.

 

Ex:

L1 data between 00:00:00 and 00:00:01. We have a L1 event of 00:00:01:00 (HH:mm:ss:ff)

L2 data between 00:00:00 and 00:00:01. We have a L2 event of 00:00:00:90 (HH:mm:ss:ff)

 

Notice how both of these events with a seemingly 00:00:00 and 00:00:01 seconds granular timestamp were gathered together for replaying for the same 1 second time increment on the replay file. The meshing of these two events could result in the L1 event of 00:00:01 being shown first followed by the L2 event of 00:00:00:90.

 

This would appear to be out of chronological order, but because the meshing is simply not done with a granularity higher than 1 second this can occur. For this reason, L1 and L2 sequencing should not be relied on in Market Replay if that sequencing is needed at a more granular level than 1 second.