My issue is the following, maybe someone could help. Anytime, when i go market replay with ninjatrader, it is start downloading the historical data from the past. I have many window, different timeframes/tick charts etc on the board, thus it is took a lots of time.

Is there any configuration to save these data somehow, and only reload it if i am forching NT to do it (reload all historical data)

Thank you in advance!

The market replay does not download any data. What it does is loading the replay data from your replay files into the RAM. If you have many charts with exotic indicators open, then all those charts have to be recalculated, as those charts are set to end with the replay start date.

What you should do

-> have all workspaces closed when starting replay
-> select a reasonable period between start date and end date
-> then open only those workspaces and indicators which are absolutely required

Replay data takes much more RAM than normal tick data, as it is synchronized beyond the second granularity of NinjaTrader tickfile data.

I dont think so. What is happening in many cases, when i am starting the replay, NT is downloading the data from the server, and because of the massive data, the connection is lost. ("popup appear which says the xxx contract was not downloaded successfully, and the connection has been lost")

I am using SSD, 16GB ram, quad core i5, and i am not using "that many" exotic indicator only many, to slow down my PC

Let me clarify what is happening.
First I am downloading the data from 2 days back with the historical data downloader. It is working, no issue here.
Than I am doing the market replay. All the chart is pending, and the NT main client status bar is showing it is downloading historical data back from different contract terms (6-13, 03-13 etc...). This is fine as well, it should be downloaded ONCE!
I am down with the replay, and the pratice, so I am shuting down NT. Than a few hours later, i am start to doing the replay for 1 days back data. I am downloading it with historical data downloader. Cool. No issue. Than i am starting the market replay, and everything is starting from the begining. It is started to download the contracts (06-13, 03-13) again and again and again. And this is the thing what i dont understand

You cannot download market replay with the Historical Data Manager. To download replay data, you would use File -> Utilities -> Download replay data.

Are you confusing market replay with something else?

I really do not understand what you are talking about.

Are you talking about historical data?

Sorry ofc not! I am using FIle -> Utilities -> download replay data every night, as u mentioned.
The issue is that, over and over again it is loading (I am seeing it on the main client status bar - bottom right) it is downloading the data, and sometimes I am getting disconnected=> cause of the lots of download I guess.

Which is odd for me, because I am doing the market replay every night to check back my skill improvment, thus there shouldnt be a problem of caching the information...

So if there any setting, which helps to dont download everything over and over again that would be very cool!

When replay data is downloaded it is stored under Documents -> NinjaTrader 7 -> db -> data.

When market replay is activated that data is used.

There is no download during replay.