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Market Replay includes bid/ask tick level data. My recordings are not 100% perfect (there are gaps) but is better than nothing if you are in need of replay data for testing.
BTW, a quick tip for just testing indicators that require bid/ask. Connect to market replay, then drag the slider all the way to the end of the day. Your charts will now have fully populated bid/ask data (only a few indicators require this, but if you have them, *very* useful tip).
Installation instructions:
1. Unrar to your Documents\NinjaTrader 6.5\db\data directory.
2. NinjaTrader should now show the extra dates on the Connect -> Market Replay screen.
Unfortunately no, market replay is limited to one day at a time. You would need to use the strategy analyzer for normal backtesting to do anything else, which would require a different kind of data database.
Mike, I get the following error on the May file...
! C:\Documents and Settings\Owner\Local Settings\Temporary Internet Files\Content.IE5\O7RFA851\Market_Replay_ES_6E_May_2009[1].rar: Unexpected end of archive
It did extract 20090501 but I haven't opened it to see if ok...
Thanks so much for posting these files Mike... I'm getting a 2nd computer set up to do replay so that my trading computer can continue to collect realtime data... odd, but NT doesn't allow both to occur at the same time.
