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Ninja Live/Demo vs Replay differences


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Ninja Live/Demo vs Replay differences

  #1 (permalink)
kandlekid
College Point, NY (Queens)
 
Posts: 63 since Nov 2009
Thanks Given: 5
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Hello All,

I've been involved with Ninjatrader for about a year now, working on my automated strategy. Doing some good stuff, I think. But one of the areas that I'm getting hung up on is the apparent difference between Ninja Live (Demo) and Replay data. This apparent difference when running a replay file prevents my strategies from firing when the live ones did.

To really see the difference, I decided to write a small ninjascript strategy. It just writes tick data to the file specified. I am attaching the ninajscript (PrintCurrentBidAsk.cs) and 2 sample output files from after hours testing (~10:30 pm EST) as NinjaTickTesting.zip. One sample is from the Live (i.e. demo feed), the other is from the corresponding replay file. Historical bars seem to be fairly consistent. You really see the difference by searching for "Tick 2" ... the 2nd tick of the 1st non-historical (i.e. real time) bar.

What think ye ?

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  #2 (permalink)
kandlekid
College Point, NY (Queens)
 
Posts: 63 since Nov 2009
Thanks Given: 5
Thanks Received: 20

I wanted to show another difference in live/demo and replay charts. Take a quick look at my attached word file. As you can see, there may be a substantial difference in how calculations are made w/r to live/demo and replays (due to the starting point of the data).

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Elite Membership required to download: ReplayVsLiveDifference.doc
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  #3 (permalink)
kandlekid
College Point, NY (Queens)
 
Posts: 63 since Nov 2009
Thanks Given: 5
Thanks Received: 20


Answered my own question ... it appears that NT 7 will solve this issue (i.e.
live vs replay differences) ...

Market replay help - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

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Last Updated on December 2, 2009


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