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what's the difference between Market Replay data, and historical data


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what's the difference between Market Replay data, and historical data

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  #1 (permalink)
Boise, Idaho
 
 
Posts: 71 since Feb 2013
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In one of the NT videos, the presenter made a point to emphasis that Market Replay data is not historical data.
But how does it differ? Which one is more accurate as a reflection of the trading day? I am currently looking at 6/4/13 on the ES. I saved an image from the Market Replay chart for that day which shows a very sharp (short term) falling wedge which would have made a good scalp to the long side. But now I am looking at the same day from the historical data mode, and the sharp falling wedge is not apparent. It is quite a contrast. Which mode is better for studying static charts? Thanks for your insight.

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  #2 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
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shots fired View Post
In one of the NT videos, the presenter made a point to emphasis that Market Replay data is not historical data.
But how does it differ? Which one is more accurate as a reflection of the trading day? I am currently looking at 6/4/13 on the ES. I saved an image from the Market Replay chart for that day which shows a very sharp (short term) falling wedge which would have made a good scalp to the long side. But now I am looking at the same day from the historical data mode, and the sharp falling wedge is not apparent. It is quite a contrast. Which mode is better for studying static charts? Thanks for your insight.

Market replay data is recorded real-time data. If you are in market replay mode the data will be treated by NinjaTrader in the same way as incoming real-time data. However, replay data cannot be stored as historical data in the historical data base of NinjaTrader.

Market replay data comes with fully synchronized bid and ask data and has a higher resolution than historical data. Historical data is limited to a 1-sec resolution and if you store bid and ask data it is more or less useless, as there is no proper synchronization.

However, there should be no significant difference between historical and replay data for a single instrument, if you use quality data from one of the known data vendors. Of course, if you use snapshot data from a broker, then you will observe differences. Best you post the two charts, which will allow to discuss the matter more in detail.

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  #3 (permalink)
Boise, Idaho
 
 
Posts: 71 since Feb 2013
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Fat Tails View Post
Market replay data is recorded real-time data. If you are in market replay mode the data will be treated by NinjaTrader in the same way as incoming real-time data. However, replay data cannot be stored as historical data in the historical data base of NinjaTrader.

Market replay data comes with fully synchronized bid and ask data and has a higher resolution than historical data. Historical data is limited to a 1-sec resolution and if you store bid and ask data it is more or less useless, as there is no proper synchronization.

However, there should be no significant difference between historical and replay data for a single instrument, if you use quality data from one of the known data vendors. Of course, if you use snapshot data from a broker, then you will observe differences. Best you post the two charts, which will allow to discuss the matter more in detail.

thanks for your answer. I do have both charts, but I don't know how to post the charts, and didn't have time to research it so I just posted the question without them. Thanks.

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  #4 (permalink)
SF (CA/USA)
 
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I didn't realize the 1 sec resolution for Market replay....Thank you!
is it still true for NT8?

What quality data vendor do you use?

TY!



Fat Tails View Post
Market replay data is recorded real-time data. If you are in market replay mode the data will be treated by NinjaTrader in the same way as incoming real-time data. However, replay data cannot be stored as historical data in the historical data base of NinjaTrader.

Market replay data comes with fully synchronized bid and ask data and has a higher resolution than historical data. Historical data is limited to a 1-sec resolution and if you store bid and ask data it is more or less useless, as there is no proper synchronization.

However, there should be no significant difference between historical and replay data for a single instrument, if you use quality data from one of the known data vendors. Of course, if you use snapshot data from a broker, then you will observe differences. Best you post the two charts, which will allow to discuss the matter more in detail.


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  #5 (permalink)
Market Wizard
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Wil70 View Post
I didn't realize the 1 sec resolution for Market replay....Thank you!
is it still true for NT8?

What quality data vendor do you use?

TY!

You are quoting a 7 years old post that referred to NinjaTrader 7. I mentioned that historical data had a 1-second granularity at that time, while market replay data was tick by tick data. I did not say the market replay data was limited to a 1-second resolution.

For NinjaTrader 8 historical data comes with microsecond granularity. Also NinjaTrader 8 offers tick replay. Therefore, replay data is not needed for many applications. Still, when running multi-bar series scripts or relying on bid or ask data, you may want to use market replay, as it is more accurate than the tick replay.

I use Kinetick data which is DTN/IQ rebranded by NinjaTrader.

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