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

 
Elite Member
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drmartell's Avatar
 
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tick-by-tick market replay?

Is there a platform that can replay data truly tick-by-tick as it occurred in realtime? (this would be in contrast to NinjaTrader or Sierra Chart for example, which do not have tick resolution for replay)

 
 
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According to its website, MultiCharts does:

Market Data Replay. Market Playback.

To quote: "We are confident that our trading software has the best market playback in the industry. In addition to all features that other charting software offers, MultiCharts allows tick-by-tick replay. In essence, this recreates a complete real-time market picture."

 
 
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furytrader View Post
To quote: "We are confident that our trading software has the best market playback in the industry. In addition to all features that other charting software offers, MultiCharts allows tick-by-tick replay. In essence, this recreates a complete real-time market picture."

Thanks, I've been looking for a product that would allow tick-by-tick replay of volume delta type information. I've seen some posts on their forums indicating that their playback doesn't work with those type of charts. But, I guess testing their free trial would resolve my questions on it.

 
 
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They just released a new version (v8.5) so hopefully it fixes whatever shortcoming may have been identified earlier.

 
 
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drmartell View Post
Is there a platform that can replay data truly tick-by-tick as it occurred in realtime? (this would be in contrast to NinjaTrader or Sierra Chart for example, which do not have tick resolution for replay)

Can you clarify what you mean that NinjaTrader does not have tick by tick replay? If you are referring to our Market Replay, that is tick by tick. Its a true recording of all market data events played back in the sequence received from the exchanges.

 
 
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NinjaTrader View Post
Can you clarify what you mean that NinjaTrader does not have tick by tick replay? If you are referring to our Market Replay, that is tick by tick. Its a true recording of all market data events played back in the sequence received from the exchanges.

I thought the NT replay did not playback actual tick by tick with bid/ask in timed sequence.
I was told (by NT support) that the new NT8 would playback and allow data with tick resolution down to 100 ms.
But the current version was only accurate to 1 second intervals.
Did that change or am I mistaken?

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DavidHP View Post
I thought the NT replay did not playback actual tick by tick with bid/ask in timed sequence.
I was told (by NT support) that the new NT8 would playback and allow data with tick resolution down to 100 ms.
But the current version was only accurate to 1 second intervals.
Did that change or am I mistaken?

Let me clarify.

- NT7 replays tick by tick with all L1 market data events (last, bid, ask) in the correct sequence for the same instrument
- NT8 also does this, no change

- NT7 data storage is down to the second
- NT8 date storage is down to the DateTime.Tick (DateTime.Ticks Property (System))

The impact in Market Replay with a finer granularity of time is that NT can more accurately sequence market data events across different instruments.

 
 
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re: Ninjatrader8's capabilities in replaying intra-day market data.

Ninjatrader does not replay market data back tick by tick in the same tempo as the live market does. It's a fact. It spurts out - in 1-second intervals - 1 second worth of bundled ticks (I believe). Watch your replay DOM carefully and you can see it for yourself. In fact, compare 2 TimeSales screens of Crude Oil simultaneously: 1 of a recording of a market replay session and the other to the live market feed and you can see that there is definite finer granularity of data flow than the replay session which spurts out its data 1-second at a time.

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Sorry I meant to address the ninjatrader version 7 in the above comment. I don't know if this problem has been resolved in 8. But this does pose a problem to backtesting intraday strategies as reflecting in execution fills either missing or mistakenly taken.


 



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