Charrting Platforms - Tick by Tick Replay

[gooni]

	Quote:	ninjatrader
	NinjaTrader does this as well, full market replay which includes all level I and level II data across all instruments replayed in synchronization. ....and its free.

I thought you had to 'record' the market in NinjaTrader in order to replay it?

[ninjatrader]

Yes you do, but any market replay (NOT simply a bar reply) all aspects of data (all bid/ask/last price and size changes) are recorded for level I and level II.

That is the difference between market replay and a bar replay feature.

[gooni]

	Quote:	ninjatrader
	Yes you do, but any market replay (NOT simply a bar reply) all aspects of data (all bid/ask/last price and size changes) are recorded for level I and level II. That is the difference between market replay and a bar replay feature.

I really don't want to be defending NeoTicker to a NinjaTrader representative, but I feel the facts need to be stated.

NeoTicker allows market replay based of either real-time recorded or historically downloaded ticks. If you record in real-time, you can also set it up to record the various L2 levels (although it's not as straightforward as it should be).

Furthermore, the 'replay' capability is a full tick-by-tick replay, not a bar-by-bar replay - just like NinjaTrader - at 1x to around 500x speed. This can be done in 'simulation' mode for discretionary trading, or forward testing of strategies.

However, you can also choose to perform a quick 'tick replay' on a single chart (outside of the simulator), so that you can run historical tests for tick-by-tick trading systems. On my PC, I rerun a single day on the ES in around 10 seconds (that is a LOT of ticks) so that I can build bid/ask volume analysis bars and test strategies on them historically. I don't think you can do that in NinjaTrader either ;-)

Hope the record is set straight.

[ninjatrader]

To be clear, what I am saying is if you want what NinjaTrader has -

Replay of -

Every single bid/ask/last price and size change in both level I and II, from what I know, you can not get this data from any provider thus you must record it.

Yes, you can run a trading system test in our Market Replay at speeds of up to 500x. Since its recorded, it replays exactly as the real market did.

[gooni]

Understood - the differences then are:

- NeoTicker allows you to run these replays from downloaded rather than just recorded data.

- It is harder to record/replay Level II data in NeoTicker (needs special setup).

- NeoTicker does not have a great 'discretionary' trading front-end like NinjaTrader.

- NeoTicker lets you run a simple 'tick replay' on a single chart for the purposes of setting up indicators that require tick-by-tick data (such as Market Delta style applications). This allows you to historically verify and test systems based on those types of indicators. This is different to a full market replay simulation (done chart by chart where you need it), and is hence much faster.

[JBWTrader]

Thanks Gooni and NinjaTrader.
Its good to be able to get down to this level of detail between systems. It helps with the final decision. So thanks to both of you for taking the time to lay it out straight ..
All the Best

John

[LS_Chad]

	Quote:	forsearch
	Does this apply to custom instruments as well?

Yes, forsearch, replay works just as well on custom instruments. Ticks are built on custom instruments any time a tick occurs on any component or components of the custom instrument. And those ticks take advantage of market playback just like any other symbol.

Also, Investor/RT not only stores the bid and ask prices live, but it also captures and stores them when backfilling tick data from any of it's data sources (DTN IQFeed, eSignal, etc). So the market replay feature of Investor/RT does give you a true indication of the bid/ask prices at any given time. It also allows you to playback aspects of IRT that are dependant on bid/ask prices (like Volume Breakdown, delta coloring of MP charts, etc).

[gooni]

	Quote:	LS_Chad
	Also, Investor/RT not only stores the bid and ask prices live, but it also captures and stores them when backfilling tick data from any of it's data sources (DTN IQFeed, eSignal, etc). So the market replay feature of Investor/RT does give you a true indication of the bid/ask prices at any given time. It also allows you to playback aspects of IRT that are dependant on bid/ask prices (like Volume Breakdown, delta coloring of MP charts, etc).

Only Level I though, not Level II - so same functionality as NeoTicker in that regard. There's no Level II historical data available, from the regular places anyway.