NinjaTrader Tick Replay: What Historical Order Flow Really Contains
An order-flow indicator can behave correctly on a live NinjaTrader chart yet produce a different-looking historical delta. Sometimes the script never processed historical trade events; sometimes the events were present but the historical quote context was incomplete . Tick Replay can help with the first problem. It does not automatically solve the second. In brief: Tick Replay rebuilds historical…
NinjaTrader's Tick Replay tool can help clarify how historical order flow data appears in a chart. While it cannot automatically provide a complete history of bid/ask quotes or depth, it does reconstruct historical bars using stored trade ticks. When this tool is enabled, a script designed for Tick Replay can receive historical OnBarUpdate() and OnMarketData() calls.
OnBarUpdate() follows the indicator's Calculate mode, while OnMarketData() receives historical MarketDataType.Last events, including price, volume, and best bid/ask prices. However, it's important to note that Last events do not include a full quote history, nor do they replay independent stream of historical bid/ask changes or volume events.
Additionally, historical charts might look complete, but they may not accurately represent genuine historical aggressor-side data.
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