Playback

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Playback

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Once market replay data or historical tick 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.

tog_minus        How to connect to Market Replay data

Connecting to Replay Data

To connect to Market Replay data:

 

1.Left mouse click on the Connections menu in the Control Center
2.Select the menu item Playback Connection menu item

 

The Playback connection should now be connected and the Playback Control should be visible.

tog_minus        How to work with replay data

Playback Control

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

 

In the caption bar of the Playback control you will see the current date and time of where the play head is located.

 

Controls

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

 

Playback Type

Select either "Market Replay" or "Historical"

Start

Sets the start date for the left side of the slider

End

Sets the end date for the right side of the slider

Play

Starts the market replay.

Slide control

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

Speed control

Each successive click increases the speed of the playback. Playback of "Max" will process data at fastest possible speed.

 

Playback_PlaybackControl

 

Note: When changing dates in the Playback control window, open windows will not update to the new dates right away, but will wait until focus is taken away from the field being edited.

Right Click Menu

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

 

Playback_ContextMenu

 

Show Available Data...

Brings up the Historical Data Window window. Instruments with replay data will be displayed with the level 1 (L1) and level 2 (L2) Begin and End dates and times.

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.

Playback Current Day Only

Only the current day will be played back from Market Replay when dragging the slider between multiple days, for past days historical data would be loaded. Uncheck this if you want to ensure Market Replay data is played back for every day between the start point of the slider and the end point of the slider. This will be slower as NinjaTrader most process more data but is usefull when you are back testing a strategy in playback.

 

Tip: Should you be using the Playback 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_minus        Understanding how the Playback works

Playback supports running on Market Replay data or Historical data. Market Replay data is the most accurate and holds both level I and level II (market depth) data. If you do not have market replay data for a time frame, you can choose to playback historical tick data. However using historical tick is less accurate as there is no level II data.

 

Market Replay Data

NinjaTrader stores level I and level II together in a single market replay file to ensure that level I and level II events are perfectly in sync per instrument.

 

Market replay files have the ability to record time stamps down the 100 nanosecond level. However please note that we use the time stamp provided by the market data providers when storing data. This means that you are limited to the granularity of the provider if the time stamp is natively provided. Please see the Historical & Real-Time Data section of the help guide for more information.

 

Note:  When using market replay, the NinjaTrader core market data updates occur at the granularity provided by the market data provider.  However, the NinjaTrader user interface only visually updates in 1-second intervals for performance optimizations.  Even though the NinjaTrader UI's are only visually updating at 1-second intervals, orders and indicators will calculate just as they were running in real-time.

 

 

To provide the highest possible playback performance the visual update interval is 1 second, please note though that order fills and indicator / strategy calculations are processed with the highest time stamp granularity possible still.

 

Historical Data

When using Historical data for playback NinjaTrader will use historical tick data for playback. If the tick data from your provider is stamped with ask and bid data then NinjaTrader will use that to simulate the ask and bid price during playback. If your historical data provider does not support ask/bid stamped tick data then NinjaTrader will simulate the ask and bid price by setting it either to last price or last price +/- 1 tick at random.

 

Note: Ask and Bid Volume during playback with Market Replay or historical data will be simulated and set to "1" except for Equities and Forex, where "100" is used for Equities and "100,000" for Forex.