Market Replay

[MJT]

When running Market Replay I have noticed two issues.
1. Alerts within an indicator fire every second when there is new data, even though the alert is set to rearm at 60 seconds. The alert works as expected on live data connection.

2. Stop/Limit orders are frequently being filled at a price better than expected. Orders were placed on a Range Bar chart, but I have attached a 1-tick chart to illustrate the issue. A Stop Limit Buy order was placed with Stop=710.7 and Limit=710.7, but it is filled at 710.6 even though on the 1-tick chart the price did not go back down below 710.7 after the order should have been triggered. However using the data box I can see the trade times down to seconds, and the price was as low as 710.4 during the same 1-second period as the trade triggered ~ just before the trigger not after it.
Is this just a limitation of Market Replay, or is it a bug?

[NinjaTrader_Ray]

1) Will look into

2) This is expected since the execution is plotted on the first bar of the same time stamp. You will notice that there are a lot of bars with the same time stamp. Its also possible that the fill might be a tick better. This is just due to the simulation engine and current price of the market as the order gets filled.

[ryker]

Hello,
I have another issue while trying to replay, got the attached error message...
This is happening after a strategy has generated an order and I went back in time before the order. Now it's showing this message everytime I try to start the strategy while on replay.

[NinjaTrader_Dierk]

This is a bug which will be fixed next NT6.5 beta.

[NinjaTrader_Dierk]

>> 1. Alerts within an indicator fire every second when there is new data, even though the alert is set to rearm at 60 seconds. The alert works as expected on live data connection.
Could you please mail me a simple as possible indicator and step-by-step guide on how to set up a reproducible scenario to "dierk AT ninjatrader DOT com". Thanks

[NinjaTrader_Dierk]

This is a bug which will be fixed with next NT6.5 beta. Thanks for providing the sample indicator.

[MJT]

Reference the first post of this thread, and my point No.2 and attached chart showing a Stop Limit order being filled, when in the real world a fill would be very unlikley (it fills me at a price the market was at before the order become active, but that fill price occurred during the 1-second time stamp period of the order).
I have just run the same replay file in v6.0.1000.8, set the same Stop Limit order, and the order was NOT filled. This is the expected outcome looking at the 1-tick chart.

Could you please look again at this issue?
thanks,

[NinjaTrader_Ray]

6.0.XXX will behave very differently than 6.5 since the simulation engine was not in sync with the replay. We changed this in 6.5.

[MJT]

Should the Simulator "Delay comm. (msec)" parameter be applicable when running a replay connection?
In trying to make my replay fills more realistic I increased this value (eventually to as much as 5000) but it appears the order reaches a Working state immediately. If I run in sim mode with a live data feed, there is a significant delay while the order is in a pending state, as expected.

[NinjaTrader_Dierk]

On NT6.5 the delay options if effective. Reason: In order to achieve reproducible results on different replay speeds we had to remove this option on replay.

[MJT]

I understand the need for replay to work at faster speeds, but it is a pity that the delay cannot be used. My experience of v6.5 replay is that it is too optimistic in giving me good fills, compared to real life.

Would it be poosible to have the delay reinstated, but have it automatically disable when the replay speed is inreased above 1x ??

[NinjaTrader_Dierk]

Unfortunately not, since it's a "pick your poison" scenario. We went for the current approach since this was requested by the majority of users. Sorry...