This question is going to be weird and I guess the answer is going to be a NO but I still wanted to ask. Is it possible to merge market replay data from different days into 1 market replay file?
Here is why I need it:
1. I am developing an automated strategy and it only trades 2 hrs a day and 3 days a week.
2. I have downloaded market replay data for the last 1 year for the instruments I need.
3. I have been running the strategy for the past few days in market replay mode to test it out. And it is taking some time. Especially because I want to try out slight changes and re-run the strategy over the same time interval.
4. The fact that the strategy only runs 2 hrs a day and 3 days a week - this makes market replay mode extremely slow since most of the time the strategy is not running and waiting for the right time.
SO I was thinking if I can somehow extract the 2 hrs that I need from every market profile file of every day and generate one big market replay file that I can possible run continuously, it would be great. Of course I would pre-fetch some additional data before the time I actually need since the strategy looks back a few bars.
So is this possible to selectively extract and merge market replay files? I see they are binary files and I have searched long in here and also on NT forums but couldnt find any such thing.