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tick-by-tick market replay?
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tick-by-tick market replay?

  #11 (permalink)
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spartacus,

You are correct, there is a timer that fires off at pre-defined intervals and collects the next group of ticks by time and processes each market data event. NT8 works the same way with the exception that their is a MAX speed that drops the timer and processes all market data events for the replay date range selected immediately. I am unaware of any problem with this approach regarding filling of orders. MR is consistent in that it is designed to produce consistent trade performance results on subsequent runs of the same strategy.

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  #12 (permalink)
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Thanks for the reply Ninja,

I'm happy to hear about the MR's tick-by-tick processing that will accompany NT8. Does this mean that in replay mode the market speed and flow will appear and reflect the accuracy of exactly how we see it live? I would be very happy if you answer "yes" to this question.

About your comment above about the situation I came across, what you say may be true that Market Replay does process every market event that is contained in a bundle that is timed every second. However, why then did my strategy yield inconsistent results (regarding time & price of entries) between the trades executed in a live environment and trades executed in Replay mode for the same market day. Most trades were identical but some were not. Most that were not were not even executed by Market Replay. And the inconsistency between those two environments were exactly the same when I replayed that same market day over and over again. regardless, if the first question above has a "Yes" response, I will just wait for NT8 to come out.

Thanks again for your responses.

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spartacus View Post
Thanks for the reply Ninja,

I'm happy to hear about the MR's tick-by-tick processing that will accompany NT8. Does this mean that in replay mode the market speed and flow will appear and reflect the accuracy of exactly how we see it live? I would be very happy if you answer "yes" to this question.

About your comment above about the situation I came across, what you say may be true that Market Replay does process every market event that is contained in a bundle that is timed every second. However, why then did my strategy yield inconsistent results (regarding time & price of entries) between the trades executed in a live environment and trades executed in Replay mode for the same market day. Most trades were identical but some were not. Most that were not were not even executed by Market Replay. And the inconsistency between those two environments were exactly the same when I replayed that same market day over and over again. regardless, if the first question above has a "Yes" response, I will just wait for NT8 to come out.

Thanks again for your responses.

- It will replay with accuracy to the DateTime.Tick.
- You can't compare live executed trades to our simulator engine. Orders filled in MR uses our simulation engine which is driven by market data to approximate if an order should be filled. A simulator is exactly that, a simulation.

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timestamping issue

Reposting in here as a more relevant thread, I seem to have satisfied myself that the Market Replay environment is not at all reliable as regards timestamps once you go multi-instrument. It holds up ok so long as all the series are for the same instrument, (apart from the OMD bip duplication issue that @NJAMC logged and the dumb time based series future timestamps) but it falls apart as soon as any other instrument is added. I have checked this with Ninja's own data downloaded for the US market and with my own eSignal self-recorded data from Eurex and the Deutsche Bourse.

e.g. this is the sort of simple output that shows event order and timestamp order mismatches clearly:

bip 0 17:15:04 2105.25
bip 0 17:15:04 2105.25
bip 1 17:15:04 2105.25
bip 0 17:15:04 2105.25
bip 0 17:15:04 2105.25
bip 0 17:15:04 2105.25
bip 2 17:15:04 2105.25
bip 0 17:15:04 2105.25
bip 0 17:15:04 2105.25
bip 1 17:15:04 2105.25
bip 3 17:15:02 18102.3 last 23/02/2015 17:15:04 this 23/02/2015 17:15:02 2 max 11 tot 11969
bip 4 17:15:01 2107.78 last 23/02/2015 17:15:02 this 23/02/2015 17:15:01 1 max 11 tot 11970
bip 0 17:15:04 2105.25
bip 0 17:15:05 2105.25
bip 0 17:15:05 2105.25
bip 0 17:15:05 2105.25
bip 0 17:15:05 2105.25
bip 1 17:15:05 2105.25
bip 0 17:15:05 2105.25
bip 3 17:15:03 18102.4 last 23/02/2015 17:15:05 this 23/02/2015 17:15:03 2 max 11 tot 11972
bip 0 17:15:05 2105.25
bip 3 17:15:04 18102.5 last 23/02/2015 17:15:05 this 23/02/2015 17:15:04 1 max 11 tot 11973
bip 3 17:15:05 18102.4
bip 3 17:15:06 18102.4
bip 3 17:15:07 18102.4
bip 3 17:15:08 18102.4
bip 3 17:15:09 18102.2
bip 3 17:15:10 18102.2
bip 3 17:15:11 18102.2
bip 3 17:15:12 18102.2
bip 3 17:15:13 18102.2
bip 3 17:15:14 18102.2
bip 3 17:15:15 18102.2
bip 4 17:15:15 2107.75
bip 3 17:15:16 18102.2
bip 3 17:15:17 18102.1
bip 3 17:15:18 18102.1
bip 3 17:15:19 18102.1
bip 3 17:15:20 18102.1
bip 3 17:15:21 18102
bip 3 17:15:22 18102
bip 3 17:15:23 18102
bip 3 17:15:24 18101.9
bip 3 17:15:25 18101.8
bip 0 17:15:06 2105 last 23/02/2015 17:15:25 this 23/02/2015 17:15:06 19 max 19 tot 11992
bip 0 17:15:28 2105
bip 0 17:15:28 2105
bip 1 17:15:28 2105
bip 0 17:15:28 2105
bip 0 17:15:28 2105
bip 0 17:15:28 2105
bip 0 17:15:28 2105
bip 0 17:15:28 2105

In this case bip 0-2 are ES, bip 3 is DJIA and bip 4 is SPX, all simple TICK series, no time based series issues to mess it up and all Historical data issues also eliminated. Showing a maximum 19 sec hiccup in this recorded US intraday session. Obviously we don't worry about single second reports as that is NT's limited replay resolution but make no assumptions appears to be in order.

Just to note that the same data shows no problems whatsoever so long as the test is kept intra-series, within any of the series. Points pretty heavily at MR imho. I would be interested in any explanation or correction.

Cheers

This is the code I used to test, I checked with Bars.GetTime(CurrentBar) vs Time[0] just in case, but I then also eliminated Historical data issues in any case, although Ninja does throw in huge lumps of data out of sequence if tests are not run across whole sessions so that is cared for manually as well, and the strategy is F5'd before any test run and MR reset to the same start time. It does not vary with 1X to 500X, other than the single second resolution issue in any final report.

 
Code
#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    [Description("Testing MR timestamps")]
    public class TestStratTwo : Strategy
    {
	DateTime lastTime = new DateTime(0);
	TimeSpan gap = new TimeSpan(0);
	TimeSpan maxgap = new TimeSpan(0);
	TimeSpan totgap = new TimeSpan(0);


	protected override void Initialize()
        {
		Add(PeriodType.Tick, 5);
		Add(PeriodType.Tick, 22);
			
		Add("^DJIA", PeriodType.Tick, 1);
		Add("^SP500", PeriodType.Tick, 7);
        }

 
	protected override void OnBarUpdate()
        {
		string old = "";
//		DateTime time = Bars.GetTime(CurrentBar);
			
		if (!Historical && Time[0] < lastTime)
//		if (!Historical && time < lastTime)
		{
			old = "last " + lastTime.ToString() + " this " + Time[0].ToString() + "  ";
//			old = "last " + lastTime.ToString() + " this " + time.ToString() + "  ";
				
			gap = lastTime.Subtract(Time[0]);
//			gap = lastTime.Subtract(time);
				
			totgap += gap;
				
			if (gap > maxgap)
			{
				maxgap = gap;
			}
				
			old += gap.TotalSeconds.ToString() + " max " + maxgap.TotalSeconds.ToString() + " tot " + totgap.TotalSeconds.ToString();
		}
			
		Print((Historical ? "hip " : "bip ") + BarsInProgress + "  " + Time[0].ToLongTimeString() + "  " + Close[0] + "   " + old);
//		Print((Historical ? "hip " : "bip ") + BarsInProgress + "  " + time.ToLongTimeString() + "  " + Close[0] + "   " + old);
			
		lastTime = Time[0];
//		lastTime = time;
        }
    }
}
I'm not actively trading at the moment so I can't check it on live data, I'd be interested if anybody sees the same symptoms on live, otherwise I will be checking it when I restart live work in a couple of weeks. Just enable the strategy in any single TICK series, don't use a time based series or you will also hit the future timestamps issue and ensure full sessions.

I'm puzzled, any ideas? @NinjaTrader?


edit: Just another section from another test run for further illustration:

bip 1 17:28:07 2104
bip 0 17:28:07 2104
bip 0 17:28:07 2104
bip 0 17:28:07 2104
bip 3 17:28:06 18088.5 last 23/02/2015 17:28:07 this 23/02/2015 17:28:06 1 max 20 tot 7344
bip 0 17:28:07 2104
bip 3 17:28:07 18088.4
bip 0 17:28:08 2104
bip 1 17:28:08 2104
bip 3 17:28:08 18088.5
bip 3 17:28:09 18088.4
bip 3 17:28:10 18088.3
bip 3 17:28:11 18088.3
bip 3 17:28:12 18088.3
bip 3 17:28:13 18088.3
bip 3 17:28:14 18088.3
bip 3 17:28:15 18088.3
bip 0 17:28:09 2104 last 23/02/2015 17:28:15 this 23/02/2015 17:28:09 6 max 20 tot 7350
bip 2 17:28:09 2104
bip 0 17:28:17 2103.75
bip 0 17:28:17 2103.75
bip 0 17:28:17 2103.75
bip 3 17:28:16 18088.3 last 23/02/2015 17:28:17 this 23/02/2015 17:28:16 1 max 20 tot 7351
bip 3 17:28:17 18088.3
bip 3 17:28:18 18088.4
bip 3 17:28:19 18088.4
bip 3 17:28:20 18088.4
bip 0 17:28:17 2103.75 last 23/02/2015 17:28:20 this 23/02/2015 17:28:17 3 max 20 tot 7354
bip 1 17:28:17 2103.75
bip 4 17:28:19 2106.73
bip 3 17:28:21 18088.3
bip 3 17:28:22 18088.2
bip 3 17:28:23 18088.4
bip 3 17:28:24 18088.4
bip 0 17:28:22 2103.75 last 23/02/2015 17:28:24 this 23/02/2015 17:28:22 2 max 20 tot 7356
bip 3 17:28:25 18088.3
bip 3 17:28:26 18088.1
bip 3 17:28:27 18088.1
bip 3 17:28:28 18088.2
bip 3 17:28:29 18088.2
bip 0 17:28:26 2103.75 last 23/02/2015 17:28:29 this 23/02/2015 17:28:26 3 max 20 tot 7359
bip 0 17:28:31 2104
bip 0 17:28:31 2104
bip 0 17:28:31 2103.75
bip 1 17:28:31 2103.75

Travel Well

Last edited by ratfink; March 26th, 2015 at 02:22 PM.
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  #15 (permalink)
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ratfink View Post

I'm puzzled, any ideas? @NinjaTrader?

No ideas only because I am very far removed from this level of analysis day to day. Our support team is much more qualified.

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  #16 (permalink)
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NinjaTrader View Post
No ideas only because I am very far removed from this level of analysis day to day. Our support team is much more qualified.

No problem Ray, the 'Any ideas?' was an open question into futures.io (formerly BMT). I mentioned you directly only because you had been involved in earlier responses on this thread and, with Market Replay being an area slated for improvement in NT8 and millisecond timestamping often rumoured, it seems moot to get to the bottom of a multisecond timestamping mystery, real or otherwise.

I'm currently working the issue with the support team today. Will update any resolution into here.

Cheers.

Travel Well
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  #17 (permalink)
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to cut a long story short

'I lost my mind' was of course the next chorus line in that great Spandau Ballet track, and I thought I might need it yesterday.

However, it's chucked it down all day today, I've pimped my tests (strategies attached) and figured it out:

1) There is a one-second 'flutter' resolution in the timestamps as expected, this tends to only show up in partial session replays, otherwise can run several days without seeing one. [Except that the current Ninja recorded data for just the ^DJIA seems to be close to the boundary condition where this stays visible for full sessions, but it will move to 'safety' in some partial restarts.]

2) To make use of reliable timestamps 'CalculateOnBarClose' MUST be set false. Timestamps are effectively meaningless compared to OBU event order otherwise. Worth noting as the backtesting environment is the opposite of this.

3) Given (2), then single-tick and multiple-tick based series timestamps are reliable across multiple instruments.

4) Single-second series timestamps are reliable across multiple instruments, other than the issue noted in (1).

5) Multiple-second series timestamps are not reliably usable across multiple instruments as it is not possible to guarantee to correct for the the unfortunate use of 'future' (bar close) timestamps by Ninja in time-based series. In earlier developments and in the test strategies I had thought that normalising by subtracting the active series period length would be sufficient. The event driven output shows that arbitrary internal tick to bar allocation makes this not so.

Nutshell summary for me: For cross-chart, cross-strategy and external world (e.g. NN) interfacing I will only be using tick or single second data series with CalculateOnBarClose = false, except when I'm not using the time dimension.

(NB1 tick test strategies should be run in a single tick chart, second tests run in a single second chart)
(NB2 the left hand timestamp is actual millisecond market replay run time, so not directly related to the instrument timestamps that we are interested in.)
(NB3 these issue are just as pertinent to live data as to market replay.)

Cheers



Snapshots from the relevant test data cases:

With all 1 tick series: (whole 24hr session and we only get the DJIA problem)


13:42:51:0989 14:42:56 Fip 0 ES 2102.75
13:42:51:0989 14:42:56 Fip 0 ES 2102.75
13:42:51:0989 14:42:56 Fip 1 YM 18052
13:42:51:0989 14:42:56 Fip 1 YM 18053
13:42:51:0989 14:42:56 Fip 1 YM 18053
13:42:51:0989 14:42:55 Fip 5 DJIA 18076.9 14:42:56 14:42:55 gap 1 max 1 tot 713
13:42:53:0034 14:42:56 Fip 4 SPX 2105.84
13:42:53:0034 14:42:56 Fip 2 Fdax 11130
13:42:53:0034 14:42:56 Fip 2 Fdax 11130
13:42:53:0034 14:42:57 Fip 0 ES 2102.75
13:42:53:0034 14:42:57 Fip 0 ES 2102.75
13:42:53:0034 14:42:57 Fip 0 ES 2102.5
13:42:53:0034 14:42:56 Fip 5 DJIA 18077.2 14:42:57 14:42:56 gap 1 max 1 tot 714
13:42:54:0080 14:42:57 Fip 4 SPX 2105.83
13:42:54:0080 14:42:57 Fip 2 Fdax 11130.5
13:42:54:0080 14:42:58 Fip 0 ES 2102.75
13:42:54:0080 14:42:58 Fip 0 ES 2102.5
13:42:54:0080 14:42:58 Fip 0 ES 2102.5
13:42:54:0080 14:42:58 Fip 0 ES 2102.5


With all 1 second series: (whole 24hr session and we only get the DJIA problem)


13:48:00:0573 14:50:26 Bip 0 ES 2100.75
13:48:00:0573 14:50:26 Bip 0 ES 2100.75
13:48:00:0573 14:50:26 Bip 0 ES 2100.75
13:48:00:0573 14:50:26 Bip 0 ES 2100.75
13:48:00:0573 14:50:26 Bip 0 ES 2100.75
13:48:00:0573 14:50:26 Fip 1 YM 18038
13:48:00:0573 14:50:26 Bip 1 YM 18038
13:48:00:0573 14:50:26 Bip 1 YM 18039
13:48:00:0573 14:50:25 Fip 5 DJIA 18063 14:50:26 14:50:25 gap 1 max 1 tot 1109
13:48:00:0573 14:50:26 Fip 4 SPX 2103.64
13:48:00:0573 14:50:27 Fip 0 ES 2100.75
13:48:00:0573 14:50:27 Bip 0 ES 2100.75
13:48:00:0573 14:50:27 Fip 1 YM 18039
13:48:00:0573 14:50:27 Bip 1 YM 18039
13:48:00:0573 14:50:27 Bip 1 YM 18039
13:48:00:0573 14:50:26 Fip 5 DJIA 18063 14:50:27 14:50:26 gap 1 max 1 tot 1110
13:48:00:0573 14:50:27 Fip 3 6E 1.1322
13:48:00:0573 14:50:27 Fip 4 SPX 2103.65
13:48:00:0573 14:50:27 Fip 2 Fdax 11121
13:48:00:0573 14:50:28 Fip 0 ES 2100.75
13:48:00:0573 14:50:28 Bip 0 ES 2100.75
13:48:00:0573 14:50:28 Bip 0 ES 2100.75
13:48:00:0573 14:50:28 Bip 0 ES 2100.75
13:48:00:0573 14:50:28 Bip 0 ES 2100.75


But, a later run shows the partial session start problem,
note that DJIA is now behaving ok, but the recorded 'live' data can't have changed:


14:44:15:0442 14:37:10 Fip 1 YM 18048
14:44:15:0442 14:37:10 Bip 1 YM 18049
14:44:15:0442 14:37:10 Bip 1 YM 18049
14:44:15:0442 14:37:10 Bip 1 YM 18049
14:44:15:0442 14:37:09 Fip 4 SPX 2106.09 14:37:10 14:37:09 gap 1 max 1 tot 4286
14:44:15:0442 14:37:09 Fip 5 DJIA 18071.5
14:44:15:0442 14:37:11 Fip 3 6E 1.1327
14:44:15:0442 14:37:11 Bip 3 6E 1.1327
14:44:15:0442 14:37:11 Bip 3 6E 1.1327
14:44:15:0442 14:37:11 Bip 3 6E 1.1327
14:44:15:0442 14:37:10 Fip 4 SPX 2106.05 14:37:11 14:37:10 gap 1 max 1 tot 4287
14:44:15:0442 14:37:10 Fip 5 DJIA 18071.5
14:44:15:0442 14:37:12 Fip 1 YM 18049
14:44:15:0442 14:37:12 Bip 1 YM 18049
14:44:15:0442 14:37:12 Bip 1 YM 18049
14:44:15:0442 14:37:11 Fip 2 Fdax 11120 14:37:12 14:37:11 gap 1 max 1 tot 4288
14:44:15:0442 14:37:11 Fip 4 SPX 2106.04
14:44:15:0442 14:37:11 Fip 5 DJIA 18071.3
14:44:15:0442 14:37:13 Fip 0 ES 2103.25
14:44:15:0442 14:37:13 Fip 1 YM 18048
14:44:15:0442 14:37:13 Bip 1 YM 18048
14:44:15:0442 14:37:13 Bip 1 YM 18048
14:44:15:0442 14:37:13 Bip 1 YM 18048
14:44:15:0442 14:37:12 Fip 2 Fdax 11120 14:37:13 14:37:12 gap 1 max 1 tot 4289
14:44:15:0442 14:37:12 Bip 2 Fdax 11120
14:44:15:0442 14:37:12 Fip 4 SPX 2106.06
14:44:15:0442 14:37:12 Fip 5 DJIA 18071.3
14:44:15:0442 14:37:14 Fip 0 ES 2103.25


With N (1, 2, 3, 5, 7) tick series and no DJIA: (GET NO PROBLEMS)


13:52:52:0605 15:07:01 Fip 2 Fdax 11109
13:52:52:0605 15:07:01 Bip 2 Fdax 11109
13:52:52:0605 15:07:01 Bip 2 Fdax 11109.5
13:52:52:0605 15:07:02 Bip 1 YM 18060
13:52:52:0605 15:07:02 Fip 1 YM 18061
13:52:52:0605 15:07:02 Bip 1 YM 18061
13:52:52:0605 15:07:02 Fip 1 YM 18061
13:52:52:0605 15:07:02 Bip 1 YM 18061
13:52:52:0605 15:07:02 Fip 1 YM 18061
13:52:52:0605 15:07:02 Bip 1 YM 18061
13:52:52:0605 15:07:02 Fip 2 Fdax 11109
13:52:52:0605 15:07:02 Bip 2 Fdax 11109.5
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 0 ES 2103
13:52:52:0605 15:07:03 Fip 1 YM 18061
13:52:52:0605 15:07:03 Bip 3 6E 1.1335
13:52:52:0605 15:07:03 Bip 3 6E 1.1335
13:52:52:0605 15:07:03 Fip 3 6E 1.1335
13:52:52:0605 15:07:03 Bip 3 6E 1.1335
13:52:52:0605 15:07:03 Bip 3 6E 1.1335
13:52:52:0605 15:07:03 Bip 3 6E 1.1335
13:52:52:0605 15:07:03 Bip 3 6E 1.1335
13:52:52:0605 15:07:03 Fip 3 6E 1.1335
13:52:52:0605 15:07:03 Bip 3 6E 1.1335
13:52:52:0605 15:07:03 Bip 3 6E 1.1335
13:52:52:0605 15:07:03 Bip 3 6E 1.1335
13:52:52:0605 15:07:03 Bip 4 SPX 2105.62
13:52:52:0605 15:07:04 Fip 0 ES 2103
13:52:52:0605 15:07:04 Fip 0 ES 2103
13:52:52:0605 15:07:04 Bip 4 SPX 2105.64
13:52:52:0605 15:07:04 Bip 2 Fdax 11110
13:52:52:0605 15:07:05 Fip 0 ES 2103.25
13:52:52:0605 15:07:05 Fip 0 ES 2103.25
13:52:52:0605 15:07:05 Fip 0 ES 2103
13:52:52:0605 15:07:05 Bip 1 YM 18062
13:52:52:0605 15:07:05 Fip 1 YM 18062
13:52:52:0605 15:07:05 Bip 1 YM 18062
13:52:52:0605 15:07:05 Fip 1 YM 18062
13:52:52:0621 15:07:05 Fip 4 SPX 2105.67
13:52:52:0621 15:07:06 Fip 0 ES 2103.25
13:52:52:0621 15:07:06 Fip 0 ES 2103.25
13:52:52:0621 15:07:06 Fip 0 ES 2103.25
13:52:52:0621 15:07:06 Fip 0 ES 2103.25
13:52:52:0621 15:07:06 Bip 1 YM 18062
13:52:52:0621 15:07:06 Bip 3 6E 1.1335
13:52:52:0621 15:07:06 Fip 2 Fdax 11109.5
13:52:52:0621 15:07:07 Fip 1 YM 18061
13:52:52:0621 15:07:08 Fip 0 ES 2103.25
13:52:52:0621 15:07:08 Fip 0 ES 2103.25
13:52:52:0621 15:07:08 Fip 0 ES 2103.25
13:52:52:0621 15:07:09 Fip 0 ES 2103.25
13:52:52:0621 15:07:09 Bip 4 SPX 2105.65
13:52:52:0621 15:07:09 Bip 2 Fdax 11110
13:52:52:0621 15:07:09 Bip 2 Fdax 11109.5
13:52:52:0621 15:07:09 Fip 2 Fdax 11109
13:52:52:0621 15:07:09 Bip 2 Fdax 11108.5
13:52:52:0621 15:07:09 Bip 2 Fdax 11109


Different instruments with N second series: (get 'future' timestamps issue, and we can't correct it)


13:58:50:0906 14:26:51 Bip 0 ES 2103.75
13:58:50:0906 14:26:54 Fip 3 6E 1.1325
13:58:50:0906 14:26:54 Bip 3 6E 1.1325
13:58:50:0906 14:26:54 Bip 3 6E 1.1325
13:58:50:0906 14:26:54 Bip 3 6E 1.1325
13:58:50:0906 14:26:54 Bip 3 6E 1.1325
13:58:50:0906 14:26:54 Bip 3 6E 1.1325
13:58:50:0906 14:26:54 Bip 3 6E 1.1325
13:58:50:0906 14:26:54 Bip 3 6E 1.1325
13:58:50:0906 14:26:54 Bip 3 6E 1.1325
13:58:51:0155 14:26:53 Bip 2 Fdax 11117 14:26:54 14:26:53 gap 1 max 1 tot 558
13:58:51:0421 14:26:53 Fip 0 ES 2104
13:58:51:0421 14:26:53 Bip 0 ES 2103.75
13:58:51:0686 14:26:59 Fip 3 6E 1.1325
13:58:51:0686 14:26:59 Bip 3 6E 1.1325
13:58:51:0935 14:26:56 Fip 2 Fdax 11117 14:26:59 14:26:56 gap 3 max 3 tot 561
13:58:51:0935 14:26:56 Bip 2 Fdax 11117
13:58:52:0201 14:26:56 Fip 0 ES 2104
13:58:52:0201 14:26:56 Bip 0 ES 2104
13:58:52:0450 14:26:57 Fip 0 ES 2103.75
13:58:52:0450 14:26:57 Bip 0 ES 2103.75
13:58:52:0450 14:26:57 Bip 0 ES 2103.75
13:58:52:0450 14:26:57 Bip 0 ES 2103.75
13:58:52:0450 14:26:57 Bip 0 ES 2103.75
13:58:52:0715 14:26:59 Fip 2 Fdax 11116.5
13:58:52:0981 14:26:59 Fip 0 ES 2104
13:58:52:0981 14:26:59 Bip 0 ES 2103.75
13:58:53:0230 14:27:02 Fip 2 Fdax 11116.5
13:58:53:0230 14:27:00 Fip 0 ES 2104 14:27:02 14:27:00 gap 2 max 3 tot 563
13:58:53:0495 14:27:02 Bip 2 Fdax 11118
13:58:53:0495 14:27:02 Bip 2 Fdax 11118
13:58:53:0495 14:27:04 Fip 3 6E 1.1325
13:58:53:0495 14:27:04 Bip 3 6E 1.1325
13:58:53:0495 14:27:04 Bip 3 6E 1.1325
13:58:53:0495 14:27:04 Bip 3 6E 1.1325
13:58:53:0495 14:27:04 Bip 3 6E 1.1325
13:58:53:0761 14:27:02 Fip 0 ES 2104 14:27:04 14:27:02 gap 2 max 3 tot 565
13:58:53:0761 14:27:04 Bip 3 6E 1.1325
13:58:54:0026 14:27:05 Fip 2 Fdax 11118


Same instrument multiple N second series: (get 'future' timestamps issue, and we can't correct it)


14:22:51:0581 06:32:50 Bip 1 ES 2106.25
14:22:51:0581 06:32:48 Bip 2 ES 2106.25 06:32:50 06:32:48 gap 2 max 6 tot 359
14:22:51:0581 06:32:50 Bip 3 ES 2106.25
14:22:51:0581 06:32:47 Bip 4 ES 2106.25 06:32:50 06:32:47 gap 3 max 6 tot 362
14:22:51:0831 06:33:03 Fip 0 ES 2106
14:22:51:0831 06:33:04 Fip 1 ES 2106
14:22:51:0831 06:33:03 Fip 2 ES 2106 06:33:04 06:33:03 gap 1 max 6 tot 363
14:22:51:0831 06:33:00 Fip 3 ES 2106 06:33:03 06:33:00 gap 3 max 6 tot 366
14:22:51:0831 06:33:01 Fip 4 ES 2106
14:22:52:0096 06:33:19 Fip 0 ES 2106.25
14:22:52:0096 06:33:20 Fip 1 ES 2106.25
14:22:52:0096 06:33:18 Fip 2 ES 2106.25 06:33:20 06:33:18 gap 2 max 6 tot 368
14:22:52:0096 06:33:20 Fip 3 ES 2106.25
14:22:52:0096 06:33:15 Fip 4 ES 2106.25 06:33:20 06:33:15 gap 5 max 6 tot 373
14:22:52:0096 06:33:19 Bip 0 ES 2106.25
14:22:52:0096 06:33:20 Bip 1 ES 2106.25
14:22:52:0096 06:33:18 Bip 2 ES 2106.25 06:33:20 06:33:18 gap 2 max 6 tot 375
14:22:52:0096 06:33:20 Bip 3 ES 2106.25
14:22:52:0096 06:33:15 Bip 4 ES 2106.25 06:33:20 06:33:15 gap 5 max 6 tot 380
14:22:52:0096 06:33:19 Bip 0 ES 2106.25
14:22:52:0096 06:33:20 Bip 1 ES 2106.25
14:22:52:0096 06:33:18 Bip 2 ES 2106.25 06:33:20 06:33:18 gap 2 max 6 tot 382
14:22:52:0096 06:33:20 Bip 3 ES 2106.25
14:22:52:0096 06:33:15 Bip 4 ES 2106.25 06:33:20 06:33:15 gap 5 max 6 tot 387
14:22:52:0096 06:33:19 Bip 0 ES 2106.25
14:22:52:0096 06:33:20 Bip 1 ES 2106.25
14:22:52:0096 06:33:18 Bip 2 ES 2106.25 06:33:20 06:33:18 gap 2 max 6 tot 389
14:22:52:0096 06:33:20 Bip 3 ES 2106.25
14:22:52:0096 06:33:15 Bip 4 ES 2106.25 06:33:20 06:33:15 gap 5 max 6 tot 394
14:22:52:0361 06:33:35 Fip 0 ES 2106.25
14:22:52:0361 06:33:36 Fip 1 ES 2106.25
14:22:52:0361 06:33:36 Fip 2 ES 2106.25
14:22:52:0361 06:33:35 Fip 3 ES 2106.25 06:33:36 06:33:35 gap 1 max 6 tot 395
14:22:52:0361 06:33:36 Fip 4 ES 2106.25
14:22:52:0611 06:33:37 Fip 0 ES 2106.25
14:22:52:0611 06:33:38 Fip 1 ES 2106.25
14:22:52:0611 06:33:36 Bip 2 ES 2106.25 06:33:38 06:33:36 gap 2 max 6 tot 397
14:22:52:0611 06:33:35 Bip 3 ES 2106.25 06:33:36 06:33:35 gap 1 max 6 tot 398
14:22:52:0611 06:33:36 Bip 4 ES 2106.25
14:22:52:0876 06:33:49 Fip 0 ES 2106.25
14:22:52:0876 06:33:50 Fip 1 ES 2106.25
14:22:52:0876 06:33:48 Fip 2 ES 2106.25 06:33:50 06:33:48 gap 2 max 6 tot 400
14:22:52:0876 06:33:50 Fip 3 ES 2106.25
14:22:52:0876 06:33:50 Fip 4 ES 2106.25
14:22:53:0656 06:34:35 Fip 0 ES 2106.25
14:22:53:0656 06:34:36 Fip 1 ES 2106.25


Different instruments N (1, 2, 3, 5, 7, 8, 13, 21, 34, 55) tick series,
doubled extras with different periods: (GET NO PROBLEMS)


15:45:14:0704 15:08:43 Bip 5 ESa 2102.25
15:45:14:0704 15:08:43 Fip 0 ES 2102.25
15:45:14:0704 15:08:43 Bip 5 ESa 2102.25
15:45:14:0704 15:08:43 Fip 0 ES 2102.25
15:45:14:0704 15:08:43 Bip 5 ESa 2102.25
15:45:14:0704 15:08:43 Fip 0 ES 2102.25
15:45:14:0704 15:08:43 Bip 5 ESa 2102.25
15:45:14:0704 15:08:43 Fip 0 ES 2102.25
15:45:14:0704 15:08:43 Bip 5 ESa 2102.25
15:45:14:0704 15:08:43 Fip 0 ES 2102.25
15:45:14:0704 15:08:43 Bip 5 ESa 2102.25
15:45:14:0704 15:08:43 Fip 0 ES 2102.5
15:45:14:0704 15:08:43 Bip 5 ESa 2102.5
15:45:14:0704 15:08:43 Fip 0 ES 2102.5
15:45:14:0704 15:08:43 Fip 5 ESa 2102.5
15:45:14:0704 15:08:43 Fip 0 ES 2102.5
15:45:14:0704 15:08:43 Bip 5 ESa 2102.5
15:45:14:0704 15:08:43 Bip 1 YM 18057
15:45:14:0704 15:08:43 Bip 6 YMa 18057
15:45:14:0704 15:08:43 Fip 1 YM 18057
15:45:14:0704 15:08:43 Bip 6 YMa 18057
15:45:14:0704 15:08:43 Bip 1 YM 18057
15:45:14:0704 15:08:43 Bip 6 YMa 18057
15:45:14:0704 15:08:43 Fip 1 YM 18057
15:45:14:0704 15:08:43 Bip 6 YMa 18057
15:45:14:0704 15:08:43 Bip 4 SPX 2105.09
15:45:14:0704 15:08:43 Bip 9 SPXa 2105.09
15:45:14:0704 15:08:43 Bip 2 Fdax 11095.5
15:45:14:0704 15:08:43 Bip 7 Fdaxa 11095.5
15:45:14:0704 15:08:43 Fip 2 Fdax 11095.5
15:45:14:0704 15:08:43 Bip 7 Fdaxa 11095.5
15:45:14:0704 15:08:43 Bip 2 Fdax 11095.5
15:45:14:0704 15:08:43 Bip 7 Fdaxa 11095.5
15:45:14:0704 15:08:44 Fip 0 ES 2102.5
15:45:14:0704 15:08:44 Bip 5 ESa 2102.5
15:45:14:0704 15:08:44 Bip 4 SPX 2105.1
15:45:14:0704 15:08:44 Bip 9 SPXa 2105.1
15:45:14:0704 15:08:45 Fip 0 ES 2102.25
15:45:14:0704 15:08:45 Bip 5 ESa 2102.25
15:45:14:0704 15:08:45 Fip 0 ES 2102.5
15:45:14:0704 15:08:45 Bip 5 ESa 2102.5
15:45:14:0704 15:08:45 Bip 3 6E 1.1339
15:45:14:0704 15:08:45 Bip 8 6Ea 1.1339
15:45:48:0993 15:08:45 Bip 4 SPX 2105.08
15:45:48:0993 15:08:45 Bip 9 SPXa 2105.08
15:45:48:0993 15:08:46 Bip 3 6E 1.1338
15:45:48:0993 15:08:46 Bip 8 6Ea 1.1338
15:45:50:0038 15:08:46 Bip 2 Fdax 11095.5
15:45:50:0038 15:08:46 Bip 7 Fdaxa 11095.5
15:45:50:0038 15:08:46 Fip 2 Fdax 11095.5
15:45:50:0038 15:08:46 Bip 7 Fdaxa 11095.5
15:45:50:0038 15:08:46 Bip 2 Fdax 11095.5
15:45:50:0038 15:08:46 Bip 7 Fdaxa 11095.5
15:45:51:0067 15:08:47 Bip 4 SPX 2105.09
15:45:51:0067 15:08:47 Bip 9 SPXa 2105.09
15:45:51:0067 15:08:47 Bip 2 Fdax 11095
15:45:51:0067 15:08:47 Bip 7 Fdaxa 11095
15:45:51:0067 15:08:47 Fip 2 Fdax 11095
15:45:51:0067 15:08:47 Bip 7 Fdaxa 11095
15:45:51:0067 15:08:47 Bip 2 Fdax 11095
15:45:51:0067 15:08:47 Bip 7 Fdaxa 11095
15:45:51:0067 15:08:48 Bip 1 YM 18058
15:45:51:0067 15:08:48 Bip 6 YMa 18058
15:45:51:0067 15:08:48 Fip 1 YM 18058
15:45:51:0067 15:08:48 Bip 6 YMa 18058
15:45:51:0067 15:08:48 Bip 1 YM 18058
15:45:51:0067 15:08:48 Bip 6 YMa 18058
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Fip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Fip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Fip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:51:0067 15:08:48 Bip 3 6E 1.1339
15:45:51:0067 15:08:48 Bip 8 6Ea 1.1339
15:45:52:0113 15:08:48 Bip 4 SPX 2105.1
15:45:52:0113 15:08:48 Bip 9 SPXa 2105.1
15:45:52:0113 15:08:48 Bip 2 Fdax 11094.5
15:45:52:0113 15:08:48 Bip 7 Fdaxa 11094.5
15:45:52:0113 15:08:48 Fip 2 Fdax 11095
15:45:52:0113 15:08:48 Bip 7 Fdaxa 11095
15:45:52:0113 15:08:48 Bip 2 Fdax 11095
15:45:52:0113 15:08:48 Bip 7 Fdaxa 11095
15:45:52:0113 15:08:49 Fip 0 ES 2102.25
15:45:52:0113 15:08:49 Bip 5 ESa 2102.25
15:45:52:0113 15:08:49 Fip 0 ES 2102.5
15:45:52:0113 15:08:49 Bip 5 ESa 2102.5
15:45:52:0113 15:08:49 Fip 1 YM 18058
15:45:52:0113 15:08:49 Bip 6 YMa 18058
15:45:52:0113 15:08:49 Bip 1 YM 18058
15:45:52:0113 15:08:49 Bip 6 YMa 18058
15:45:53:0158 15:08:49 Bip 2 Fdax 11095
15:45:53:0158 15:08:49 Bip 7 Fdaxa 11095
15:45:53:0158 15:08:49 Fip 2 Fdax 11095.5
15:45:53:0158 15:08:49 Bip 7 Fdaxa 11095.5
15:45:53:0158 15:08:49 Bip 2 Fdax 11094.5
15:45:53:0158 15:08:49 Bip 7 Fdaxa 11094.5
15:45:53:0158 15:08:50 Fip 0 ES 2102.25
15:45:53:0158 15:08:50 Bip 5 ESa 2102.25
15:45:53:0158 15:08:50 Fip 0 ES 2102.5


And the total killer, the exact same data but with CalculateOnBarClose = true.
When compared to event order, Timestamps become meaningless, so backtesters beware:


16:27:07:0717 05:00:25 Fip 1 YM 18098
16:27:07:0717 05:00:25 Fip 1 YM 18098
16:27:10:0323 05:00:34 Fip 0 ES 2106.5
16:27:10:0323 05:00:52 Fip 0 ES 2106.25
16:27:10:0572 05:01:09 Fip 1 YM 18097
16:27:10:0572 05:01:16 Fip 1 YM 18097
16:27:10:0572 05:01:16 Fip 1 YM 18097
16:27:11:0103 05:01:14 Fip 0 ES 2106.25 05:01:16 05:01:14 gap 2 max 2 tot 2
16:27:11:0617 05:01:32 Fip 0 ES 2106.5
16:27:11:0883 05:01:49 Fip 0 ES 2106.25
16:27:11:0883 05:02:07 Fip 0 ES 2106.5
16:27:12:0132 05:02:15 Fip 3 6E 1.1385
16:27:12:0132 05:02:15 Fip 3 6E 1.1385
16:27:12:0912 05:02:08 Fip 0 ES 2106.5 05:02:15 05:02:08 gap 7 max 7 tot 9
16:27:12:0912 05:02:56 Fip 0 ES 2106.5
16:27:13:0177 05:03:02 Fip 0 ES 2106.5
16:27:13:0443 05:02:27 Fip 3 6E 1.1384 05:03:02 05:02:27 gap 35 max 35 tot 44
16:27:13:0443 05:03:25 Fip 3 6E 1.1384
16:27:13:0443 05:03:25 Fip 3 6E 1.1384
16:27:13:0443 05:03:25 Fip 3 6E 1.1384
16:27:13:0443 05:03:05 Fip 0 ES 2106.25 05:03:25 05:03:05 gap 20 max 35 tot 64
16:27:15:0003 05:03:27 Fip 0 ES 2106.25
16:27:15:0003 05:04:37 Fip 0 ES 2106.25
16:27:15:0252 05:04:33 Fip 3 6E 1.1384 05:04:37 05:04:33 gap 4 max 35 tot 68
16:27:15:0783 05:01:23 Fip 1 YM 18098 05:04:33 05:01:23 gap 190 max 190 tot 258
16:27:16:0032 05:04:41 Fip 0 ES 2106.25
16:27:16:0032 05:05:21 Fip 0 ES 2106.25
16:27:16:0032 05:05:15 Fip 1 YM 18098 05:05:21 05:05:15 gap 6 max 190 tot 264
16:27:16:0297 05:05:32 Fip 1 YM 18098
16:27:16:0297 05:05:21 Fip 0 ES 2106.25 05:05:32 05:05:21 gap 11 max 190 tot 275
16:27:16:0297 05:05:37 Fip 0 ES 2106.25
16:27:16:0297 05:02:56 Fip 5 ESa 2106.5 05:05:37 05:02:56 gap 161 max 190 tot 436
16:27:16:0297 05:05:37 Fip 5 ESa 2106.25
16:27:17:0077 05:05:42 Fip 0 ES 2106.25
16:27:17:0343 05:04:59 Fip 3 6E 1.1384 05:05:42 05:04:59 gap 43 max 190 tot 479
16:27:17:0343 05:06:31 Fip 3 6E 1.1383
16:27:17:0343 05:06:31 Fip 3 6E 1.1383
16:27:17:0857 05:06:17 Fip 0 ES 2106.5 05:06:31 05:06:17 gap 14 max 190 tot 493
16:27:17:0857 05:06:53 Fip 0 ES 2106.25
16:27:18:0637 05:06:56 Fip 0 ES 2106.25
16:27:19:0152 05:07:47 Fip 3 6E 1.1383
16:27:19:0152 05:07:47 Fip 3 6E 1.1383
16:27:19:0152 05:07:47 Fip 3 6E 1.1383
16:27:19:0152 05:03:49 Fip 8 6Ea 1.1384 05:07:47 05:03:49 gap 238 max 238 tot 731
16:27:19:0152 05:07:47 Fip 8 6Ea 1.1383
16:27:19:0152 05:07:47 Fip 3 6E 1.1383
16:27:19:0417 05:07:15 Fip 0 ES 2106.5 05:07:47 05:07:15 gap 32 max 238 tot 763
16:27:19:0417 05:07:55 Fip 0 ES 2106.25
16:27:51:0507 05:07:57 Fip 0 ES 2106.25
16:27:53:0581 05:08:19 Fip 0 ES 2106.25
16:27:53:0581 05:08:19 Fip 5 ESa 2106.25
16:28:03:0456 05:05:43 Fip 1 YM 18097 05:08:19 05:05:43 gap 156 max 238 tot 919
16:28:03:0971 05:08:53 Fip 3 6E 1.1384
16:28:04:0236 05:08:32 Fip 0 ES 2106.25 05:08:53 05:08:32 gap 21 max 238 tot 940
16:28:04:0486 05:09:00 Fip 0 ES 2106.5
16:28:04:0486 05:09:04 Fip 0 ES 2106.5
16:28:04:0486 05:09:04 Fip 0 ES 2106.5
16:28:04:0486 05:09:04 Fip 0 ES 2106.5

Travel Well
Attached Files
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Last edited by ratfink; March 29th, 2015 at 10:47 AM. Reason: simplify
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  #18 (permalink)
Elite Member
london
 
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Hi all.

Well, there is nothing like resurrecting an old thread!

Now we are c.2 years on, I wondered if anyone could confirm if NT8 still provides Market Replay data in 1 second chunks?

As someone who reads order flow (well, learning to) I need a replay that is identical to the live trading flow.

Cheers

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  #19 (permalink)
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5lim3r View Post
Hi all.

Well, there is nothing like resurrecting an old thread!

Now we are c.2 years on, I wondered if anyone could confirm if NT8 still provides Market Replay data in 1 second chunks?

As someone who reads order flow (well, learning to) I need a replay that is identical to the live trading flow.

Cheers

Yes.

Quoting from NT website


Quoting 
Note: When using market replay, the NinjaTrader core market data updates occur at the granularity provided by the market data provider. However, the NinjaTrader user interface only visually updates in 1-second intervals for performance optimizations. Even though the NinjaTrader UI's are only visually updating at 1-second intervals, orders and indicators will calculate just as they were running in real-time.


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Thanks xplorer. Not the answer I wanted to hear but I guess it is what it is.

Will start looking for an alternative.

Thanks again.

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