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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)
shots fired
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)
 Fat Tails 
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
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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)
shots fired
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)
 Wil70 
SF (CA/USA)
 
Experience: Beginner
Platform: NT / Proprietary
Broker: IB / may be Kinetic
Trading: ES, CL, NQ, YM, 6E
 
Posts: 30 since Nov 2015
Thanks: 167 given, 8 received

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)
 Fat Tails 
Market Wizard
Berlin, Europe
 
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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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  #6 (permalink)
nivi
Madrid, Spain
 
 
Posts: 30 since Feb 2017
Thanks: 4 given, 6 received

Hello partners.

For 3 years I have been collecting market replay data from 6E, ES, FDAX futures.
Unfortunately I have lost data for the year 2020 months 5 and 6.

If there is someone who has them on file, in return I can offer you 3 years of historical data. In total I have 80 Gb

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  #7 (permalink)
 xplorer 
Site Moderator
London UK
 
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nivi View Post
Hello partners.

For 3 years I have been collecting market replay data from 6E, ES, FDAX futures.
Unfortunately I have lost data for the year 2020 months 5 and 6.

If there is someone who has them on file, in return I can offer you 3 years of historical data. In total I have 80 Gb

Hi Nivi

In the Downloads section I have got these ES market replay files available




However they are available to Elite users.

I don't have either 6E or FDAX uploaded I'm afraid.

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  #8 (permalink)
 Tuglife 
Escondido CA USA
 
Experience: Beginner
Platform: Jigsaw Daytradr + Ninjatr
Trading: E-Mini ES
 
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Posts: 118 since Jan 2020
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I am just starting to investigate the NinjaTrader Market Replay feature. It's pretty awesome. The only part I don't like is (I believe) Ninjatrader only offers 90 days of data available to download. I would like more data, like 3-5 years.

I've done a little research and would like to know if anyone has used these services..."Backtestdata.com" or "marketreplay.net"

Backtestdata.com is not cheap, but they advertise over 10 years of data

Marketreplay.net starts as a free trial but does not advertise the paid subscription price.

I would be interested in networking with any members who have a large cache of market replay data.

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  #9 (permalink)
 augustco 
wisconsin
 
Experience: Intermediate
Platform: ninjatrader
Trading: ES,CL,TF,GC
 
Posts: 31 since Jun 2011
Thanks: 16 given, 20 received

I have gone to the website at backtestdata.com and discovered many of their links do not work and the email support address comes back undeliverable. For those reasons I would be very hesitant to buy data from them.

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  #10 (permalink)
 InterstellarBeing 
Linz, Upper Austria
 
Experience: Intermediate
Platform: NT8
Trading: Currency Futures
 
Posts: 12 since Sep 2020
Thanks: 15 given, 10 received


Hey guys!

I'm struggling at the moment with NT8 and market replay...


My data feed provider is kinetick and as i know, kinetick doesn't provide any market replay data.


So my question, is it enough to download the historical data if i work with Range Bars & Volume Profile?


Thanks in advance!

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