I would separate “is it the same file type?” from “is it accurate enough for this test?”
NinjaTrader treats these as different inputs:
- Market Replay data contains the ordered Level I and Level II event stream.
- Historical tick playback depends on the data provider. If bid and ask stamps are missing, NinjaTrader can simulate them.
- 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.
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