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Quick summary for those who don't want to read the whole thing
1. The timestamps in market replay are crap:
- They have large drift (10+ ms).
- They have lookahead advantage (timestamped ahead of CME's timestamp because of clock synchronization …
panz Actually, you didn't list my favorite vendors for this: I must say that OnixS and QuantHouse are the best options I've encountered, in descending order of preference. There's also 2 vendors …
FWIW you can reformat your data to get it to work if it's really important for your strategy. The data doesn't seem to be encrypted or compressed as the bytes aren't uniformly distributed:
And usually market data has repeating sequences for the common part of timestamps:
which also have to increase, so you can back out if it's written in big or little endian order when you see the least significant bits increasing e.g. 0x03, 0x04, ..., 0x0e, 0x0f:
NT8’s enhanced Strategy builder, Backtesting capabilities, and multithreading technology without the capability to batch-download larger datasets (Market Replay data for continuous contracts) is like having a much nicer car but no tires to drive it on.
Mr. Deux, respectfully, please commit resources and a timeline to resolve this. You can also choose tomake the replay data format open source, allowing each individual to use their own datafeed to download market replay data, and therefore avoid a data bottleneck.
Remember, “Without the data, you’re just another guy with an opinion”.
It's maybe for another thread but there might be a way to decipher the Ninja 8 market replay file format:
1/ connect Ninja to the External data feed
2/ set the "Enable market recording for playback"
3/ inject your own data through the external connector
4/ rename the .nrd file
5/ modify an element of your input market data file
6/repeat 3/4 and compare the .nrd file
My apologies, I re-read your post and although there was not a direct question, I see your request to commit to a feature. This request is on our list of potential improvements that we may consider in the future.
Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
Would there be any updates to include Walk forward Cluster analysis (matrix), robustness performance, input sensitivity ?
TradeStation, Multicharts all have that.
Exactly! All those seem like logical and very appropriate “want” requests. However, batch-downloading continuous contact Market Replay Data falls squarely within the very basic “Need” category even to carry out entry-level backtesting.