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Market Replay [ES] Week of Nov29 to Dec4 - 2009

This is for ES (mini S&P 500) only

Tick-level and Level 2 Market Replay data for NinjaTrader. (.ntm and .nt2)

1 complete file of each, (105 hours) not split into individual days.

New York time.

Category NinjaTrader Market Replay Data

Details: Market Replay [ES] Week of Nov29 to Dec4 - 2009
Category: NinjaTrader Market Replay Data

December 6th, 2009
Size: 27.11 MB
Downloaded: 194 times

Keywords: level 2

Market Replay: [ES, 6E, ZN, ZB] June 2009

Tick-level Market Replay data for NinjaTrader.

Installation instructions:
1. Unrar to your Documents\NinjaTrader 6.5\db\data directory.
2. NinjaTrader should now show the extra dates on the Connect -> Market Replay screen.

Category NinjaTrader Market Replay Data

Details: Market Replay: [ES, 6E, ZN, ZB] June 2009
Category: NinjaTrader Market Replay Data

June 30th, 2009
Size: 218.14 MB
Downloaded: 513 times

Keywords: 6e es market replay zn zb

Market Replay: [ES, 6E] March 2009

Tick-level Market Replay data for NinjaTrader.

This data is not 100% perfect (in the later months, I get better at leaving Ninja up 24/7).

Installation instructions:
1. Unrar to your Documents\NinjaTrader 6.5\db\data directory.
2. NinjaTrader should now show the extra dates on the Connect -> Market Replay screen.

Category NinjaTrader Market Replay Data

Details: Market Replay: [ES, 6E] March 2009
Category: NinjaTrader Market Replay Data

June 28th, 2009
Size: 111.92 MB
Downloaded: 273 times

Keywords: es market replay 6e

Market Replay: [ES] February 2009

Details: Market Replay: [ES] February 2009
Category: NinjaTrader Market Replay Data

June 28th, 2009
Size: 119.60 MB
Downloaded: 353 times

Keywords: market replay es

Market Replay: [ES] January 2009

Tick-level Market Replay data for NinjaTrader.

This data is not 100% perfect (the later months, I get better at leaving Ninja up 24/7).

Installation instructions:
1. Unrar to your Documents\NinjaTrader 6.5\db\data directory.
2. NinjaTrader should now show the extra dates on the Connect -> Market Replay screen.

Category NinjaTrader Market Replay Data

Details: Market Replay: [ES] January 2009
Category: NinjaTrader Market Replay Data

June 28th, 2009
Size: 159.41 MB
Downloaded: 383 times

Keywords: es market replay

Market Replay: [6E,CAC40,ES,FDAX,FESX,FGBS,NQ,TF,YM,ZN] June 24 - June 27 2009

Details: Market Replay: [6E,CAC40,ES,FDAX,FESX,FGBS,NQ,TF,YM,ZN] June 24 - June 27 2009
Category: NinjaTrader Market Replay Data

June 28th, 2009
Size: 17.36 MB
Downloaded: 202 times

Keywords: market replay es 6e cac40 fdax fesx fgbs nq tf ym zn

Market Replay: [ES, 6E] April 2009

Details: Market Replay: [ES, 6E] April 2009
Category: NinjaTrader Market Replay Data

June 28th, 2009
Size: 115.66 MB
Downloaded: 298 times

Keywords: 6e es market replay

Market Replay: [ES, 6E] May 2009

Details: Market Replay: [ES, 6E] May 2009
Category: NinjaTrader Market Replay Data

June 28th, 2009
Size: 151.12 MB
Downloaded: 332 times

Keywords: 6e es market replay

Market Stats Indicator V1.0 with VWAP and POC from JPerl Thread

This indicator plots VWAP along with Standard Deviation Bands. It also plots a rolling intraday POC along with it.

Then the Skew, current size of ONE Standard Deviation, and the percentage ratio of skew to ONE Standard Deviation are all calculated. These are then displayed in the upper left hand corner.

General idea is based on Skew and trading around that. Skew is the relationship between the VWAP and the POC. A small skew implies the market is currently in a ranging environment. A larger skew implies the market is trending as the POC and VWAP are separating.

Positive Skew occurs when the VWAP is above the POC.
Negative Skew occurs when the VWAP is below the POC.
Symetrical Skew occurs when the VWAP ~= POC

Price below VWAP implies downtrend.
Price above VWAP implies uptrend.

The skewToStandard Deviation % is the ratio of the skew to the size of ONE standard Deviation. I put that there as a possible way to monitor how the skew may be stacking up to current volatility, i.e. the current standard Deviations....which is the distance between the bands. This should be a better measurement that a fixed number, as it is tied to volatility. The higher the %, the smaller the skew, the less likely a trend is in place.

I do not use these things and coded for a buddy. Details of how to trade them can be found at HERE.

I also have a pdf 'cliff notes' summary of the thread, but I can only seem to post one attachment with this indicator. If you want it, send a pm and I'll send it to you.

After some real time monitoring, I will update the next version with more customization for the end user such as more plotting options, color bars, trend etc.......

Notes, please read:

This indicator is an early release, I will update with new version in the near future
The newer version will have more plotting and display options
Also included will be a buffer to decide how much seperation to determine trending vs chop
Right now, the START TIME for the POC is there, but the START TIME for the VWAP is NOT. By default it starts and ends at the END of the US session, which is what most people will use I imagine. Will update in next release.

I had this up earlier but realized it didn't export from NT properly. I had someone else test it and this one should work fine.

Category NinjaTrader 7 Indicators

Details: Market Stats Indicator V1.0 with VWAP and POC from JPerl Thread
Category: NinjaTrader 7 Indicators

July 25th, 2011
Size: 15.34 KB
Downloaded: 1107 times

Market Stats Indicator V1.1 with VWAP and POC from JPerl Thread

This is an update the the original posted HERE.

Details about what the indicator is and does can be found at the above link. This version is a minor update, and the script was updated by @Zondor. Thanks to him for that!

He made some changes to the original for optimization, and cleaned the script up a bit. There is still plenty that could be done to make the indicator better which I have not done yet.

Note: This indie still uses the old version of FT's VWAP(version33).

Category The Elite Circle

Details: Market Stats Indicator V1.1 with VWAP and POC from JPerl Thread
Category: The Elite Circle

January 4th, 2012
Size: 15.35 KB
Downloaded: 674 times

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