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Market Replay Data
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Created: by Big Mike Attachments:8

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Market Replay Data

  #1 (permalink)
Site Administrator
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Market Replay Data

Hi guys,

Market Replay includes bid/ask tick level data. My recordings are not 100% perfect (there are gaps) but is better than nothing if you are in need of replay data for testing.

BTW, a quick tip for just testing indicators that require bid/ask. Connect to market replay, then drag the slider all the way to the end of the day. Your charts will now have fully populated bid/ask data (only a few indicators require this, but if you have them, *very* useful tip).

Installation instructions:
1. Unrar to your Documents\NinjaTrader 6.5\db\data directory.
2. NinjaTrader should now show the extra dates on the Connect -> Market Replay screen.

Mike

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  #2 (permalink)
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** UPDATED JUNE 28 2009 **

All files have been moved to our Download section under NinjaTrader - Miscellaneous.

If you have Market Replay data, please use that section to share it.

Thanks!

Mike


Last edited by Big Mike; June 28th, 2009 at 07:20 PM. Reason: File attachments moved to Download section - NinjaTrader - Miscellaneous
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  #3 (permalink)
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Thank you so much, this is priceless.

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  #4 (permalink)
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is there any way to backtest/optimize with all of this data? I get how to replay it day-by-day, but I'd like to backtest over several days...

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  #5 (permalink)
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thanks so much Mike.. much appreciated

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  #6 (permalink)
Site Administrator
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Posts: 46,009 since Jun 2009
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piersh View Post
is there any way to backtest/optimize with all of this data? I get how to replay it day-by-day, but I'd like to backtest over several days...

Unfortunately no, market replay is limited to one day at a time. You would need to use the strategy analyzer for normal backtesting to do anything else, which would require a different kind of data database.

Mike

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  #7 (permalink)
Site Administrator
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I just wanted to let everyone know that the market replay data is back up now, it took a while to transfer from our old server to new server.

Mike

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  #8 (permalink)
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Thanks Mike

Hey Mike. Just a quick note to say thanks a stack for the replay data

Good trading to you...

Mick

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  #9 (permalink)
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Mike, I get the following error on the May file...

! C:\Documents and Settings\Owner\Local Settings\Temporary Internet Files\Content.IE5\O7RFA851\Market_Replay_ES_6E_May_2009[1].rar: Unexpected end of archive

It did extract 20090501 but I haven't opened it to see if ok...

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  #10 (permalink)
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Thanks so much for posting these files Mike... I'm getting a 2nd computer set up to do replay so that my trading computer can continue to collect realtime data... odd, but NT doesn't allow both to occur at the same time.

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