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NT: How I got market replay to work like live
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NT: How I got market replay to work like live

  #1 (permalink)
Trading for Fun
College Point, NY (Queens)
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG
Favorite Futures: YM
 
Posts: 63 since Nov 2009
Thanks: 5 given, 20 received

NT: How I got market replay to work like live

How I got NinjaTrader Market Replay to work live it's live ...

The Problem ... Market replay sets the state of NT based on a number of historical bars it sees prior to the start of the replay (i.e. real time bar). It will run the Initialization method, etc at the first historical bar. So to make replay work like live, we've got to get NT to ignore all the bars prior to the first real time bar (just like a live connection).

Here's how I did it ... note: assume there are several boolean states as follows ...

iAmNoPosition, iAmLong, iAmShort.

To see the difference with how market replay normally runs, I added the following code to my strategy ...

private bool iAmLong = false;
private bool iAmShort = false;
private bool iAmNoPosition = true;

private int once = 1; // Note, not static !

private int tickCnt = 1;
private int prevBar;

...

private void ClearPositions()
{
iAmLong = false;
iAmShort = false;
iAmNoPosition = true;
}

...

protected override void Initialize()
{
...

prevBar = -1;

CalculateOnBarClose = false;
}


protected override void OnBarUpdate()
{
if ( prevBar != CurrentBar ) // Historical bars and 1st tick of a real time bar.
{
prevBar = CurrentBar;
tickCnt = 1;
}
else if ( prevBar == CurrentBar ) // Real time bars only.
{
tickCnt++;
}

// Testing only - because market replay sets state prior to the
// real time date, I want to ignore that setting.
//

if ( true == IsMarketReplay && once == 1 && tickCnt > 1 )
{
ClearPositions();

Print("\n\nCleared all.\n\n");

once = 0;
}


That's it !!!!!

To see the difference between how market replay normally runs and this work-around,
change this line ...

if ( true == IsMarketReplay && once == 1 && tickCnt > 1 )

to this ...

if ( true == IsMarketReplay && once == 1 )

Cheers


Last edited by Big Mike; December 9th, 2009 at 02:29 AM. Reason: moved to Programmers Paradise
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  #2 (permalink)
Elite Member
NYC, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: NT
Favorite Futures: ES
 
Posts: 65 since Sep 2009
Thanks: 117 given, 75 received


kandlekid View Post
How I got NinjaTrader Market Replay to work live it's live ...


I would like to try to do this, but I don't know how to add this code where I'm supposed to... if it's not too difficult to do, would someone be able to help me set this up?

thanks!!

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