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Replay files - any documentation / export tools?
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Replay files - any documentation / export tools?

  #1 (permalink)
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Replay files - any documentation / export tools?

Hello,

you guys aware of any way to export data from a NinjaTrader replay file? I have my own data store and would like to access some replay files to extract the data.

Any tools around (preferably scriptable?)

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  #3 (permalink)
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You can't. NT refuses to release the structure of the files.

Your best bet would be to write your own indicator/strategy to capture the ticks and data to whatever format you want, using NinjaScript / C#.

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  #4 (permalink)
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But I dont assume I can get sensible sub-second timestamps out of this, or? Without sub-second it is pretty unusable.

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  #5 (permalink)
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Nope, NT doesn't support less than 1 second granularity. It has been discussed at length in the Gom threads in Elite section.

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  #6 (permalink)
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Sucks. THanks. Hm, looks like I have to pay for elite access then

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  #7 (permalink)
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If you only need export from the NT database for offline anaylsis (not replay) and you are OK with second timestamps, try this:

https://futures.io/free_downloads/ninjatrader/misc/339-download.html?view

Not the greatest code, but helpful for some situations .

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  #8 (permalink)
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Well, technically I look for an export of the market feed (not only trades, but also bid/ask) for loading into my own data store for backtesting Subsecond pretty much "needed" thanks to the idea of taking book changes into account

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I've heard it said that finalg (who make the ninjatrader version of market delta's footprint chart) use data from market replay to populate their footprint charts. However it's not a supported function, which means they either had some inside knowledge about the replay format from NTs developer team, or they reverse-engineered it themselves.

Also it sounds like some people are having success getting the data out of replay files just by playing it: https://futures.io/platforms-indicators/2768-who-running-nt7b10-thread-tips-problems-successes-etc-3.html#post29341 . Not as nice as accessing it directly but it might be a practical way to get the data out.

I'm curious about your backtesting efforts. Are you planning to use ninjatrader indicators in your backtesting, or are you just wanting to use ninjatrader to get the data out of replay files?

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