Downloading old market replay data?

Desktop SDK - Strategies
1

Hi,

How far back are the market replay data kept? Is it just for the rolling year back?

I’m trying to find test data from past years to backtest a strategy.

Thanks!

2

Hi Caesar, in this case do you have to buy this old data, there is a page that help with that, do you can download data of any instrument on any time

marketreplaydata. com

3

Thank you Alan, that helps.

4

Is this the same data that is available inside ninjatrader for 90 days, just like the plugin from the intentional trader provides the data that is available in ninjatrader for 90 days, or is this data more accurate, unlike the tick data provided by ninjatrader which is just some hallucinatory data

5

I just got NQ/ES data yesterday from PriceIsKing | Premium NinjaTrader 8 Indicators & Tools, that goes all the way back to 2015 or 2013. It was $47 for each instrument, and it includes Level II if you need it.

I’m not affiliated with them, but the topic came across my YT, and the last time I paid for tick data alone it cost $100…so figured I shared it.

6

I would separate “is it the same file type?” from “is it accurate enough for this test?”

NinjaTrader treats these as different inputs:

  1. Market Replay data contains the ordered Level I and Level II event stream.
  2. Historical tick playback depends on the data provider. If bid and ask stamps are missing, NinjaTrader can simulate them.
  3. A manually imported text file can be historical tick or Tick Replay data, but it cannot be imported as true Market Replay data.

So before paying for years of data, ask the vendor for one full sample day and its exact delivery format. If it is an importable .txt file, it is not the same thing as a native Market Replay file.

For the sample day, use the exact contract month and DoNotMerge. Then run Playback from start and log OnMarketData type, timestamp, price and volume for one fixed hour. Check:

  • first and last event time
  • Last, Bid and Ask event counts
  • gaps and out-of-order timestamps
  • one-minute OHLCV and session boundaries
  • whether Level II is present if your logic needs it

Run the same logger on one recent NinjaTrader Market Replay day. The files do not need to be byte-identical because feeds can differ, but this test tells you whether the paid data preserves the fields and event order your strategy actually consumes.

Official references:

7

Great post! I used this two years ago, data was delivered by a dropbox link. Works but a bit slow and cumbersome. Also, recently used “MRDD replay” (google it) Downloader was much easier to use. Billed monthly, can be cancelled when you’re up to date.