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NinjaTrader's backfill comes from Zen Fire and in general can be considered "excellent". For more robust needs, IQfeed is the undisputed champion of data in the retail space.
Mike
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BTW, I just re-read your post. Let's clarify a few things.
"Market Replay" is not used for "Backtesting" (not automated backtesting at least). The market replay data is still Zen Fire data, and is good, but it is completely separate engine and cannot be used for backtesting.
Backfill is what is used for backtesting (not replay), and comes from Zen Fire and is great quality (more or less).
So if you want to know about Market Replay, just don't confuse it with backtesting. But either way, the answer is similar.
Your last question, is it better to save data live from feeds --- definitely NOT from IB, their data is bad to say the least, but as for saving it live from IQfeed or Zen Fire, yes you can do this but it is not really "better", you likely will have holes or anomalies that have to be reconciled with the backfill server anyway when reloading the chart.
Mike
Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.
Need help? 1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first. 2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses. 3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make. 4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance. 5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers. 6) Help using the forum? Watch this video to learn general tips on using the site.
If you want to support our community, become an Elite Member.
The following user says Thank You to Big Mike for this post:
The OHLC minute data would likely be the same, its the volume data especially the volume-at-bid/ask data, and tick data, that is likely to be incomplete or poor quality on broker feeds. Interactive Brokers data feed is by all accounts is among the worst quality in these respects, and DTN IQfeed by all accounts is among the best.
Zen-fire used to have problems but the data may be of higher quality now than it was in the past since there have been some changes made to the latest edition of NT and the way it connects to Zen-fire. The quality of Zen-fire data may also depend on the broker you're getting it from and whether or not they filter (which basicly means to drop some of) the data. Its not entirely clear to me which brokers offer unfiltered (higher quality) Zen-fire data and which don't.
