u/alexdevonx

Hey all,

I'm building strategies in NinjaTrader, but the replays are taking way too long. I capture a lot of different orderflow signals, and running through everything in NinjaTrader's replay is killing my iteration speed.

Is it possible to rebuild this whole setup in Python and feed it tick data instead? My thinking is that this would let me backtest much faster and iterate on ideas without waiting on slow replays.

Has anyone done this? Specifically:

• What libraries or frameworks do you use for tick-level backtesting?
• Where do you get your tick data, and what format works best?
• How do you handle orderflow metrics (delta, footprint, bid/ask volume, etc.) in Python?
• Any major gotchas going from NinjaTrader to a Python workflow?

Appreciate any pointers. Thanks!

I ran a replay on a NQ strategy I'm building here are the raw results (capturing all candidates)

All Stats

• Signals: 684
• Fills: 523
• Points: -1,105.50
• Avg: -2.11
• WR: 67.7%
• PF: 0.84
• DD: 1,462.75

Logs and analyzes every valid CRT with full filtering context — to tell whether an edge is real or overfit.

Segmentation (tag every candidate & trade)

- Session: RTH / ETH-Asia / ETH-Euro + time bucket

- Source replay · side · month/week/day

- Whether another CRT was active/overlapping

Volume Profile

- Value state: mother open/close + transition; sweep close/extreme/trigger; "barely closed back inside" flag

- Distance to POC/VAH/VAL/VA-edge/VWAP; value width

- Touches of POC/VAH/VAL by mother/sweep/prior

- Setup type: inside-value / outside-value / breakout-from-value / failed-auction

Order Flow

- Big trades (buy/sell/delta) for mother, sweep, entry candles + recent 5-bar

- Trap vs response BT volume; aligned vs opposing delta

- Absorption at sweep wick; trapped-trader score post-sweep

- BTs into sweep that failed; entry OF confirms vs contradicts direction

ATR / Volatility / Chop

- ATR: EntryATR14, 15m ATR14/ATR50, ATR14-vs-ATR50 expansion

- Range vs ATR: mother range, avg 15m range; mother size bucket (S/M/L)

- Chop: regime, score, compressed flag; balanced vs directional flag

CRT Structure

- Mother range bucket; sweep retrace %; entry progress % in range; entry beyond midpoint

- Bodies: mother/sweep relationship; sweep doji; multi-doji

- Prior candle: range vs mother; 1.5x/2x/3x flag; profile/VWAP/key-level interaction

- Swept candle already invalidated/overlapped?

Range32 (LTF confirmation)

- Enabled/triggered; trigger time + bars/minutes after sweep

- Aligned vs opposing bars (+ net score); max move toward/against entry

- Invalid-before-trigger; same-bar-invalid; earlier confirm/warn before 15m stop entry

Risk / Management

- Levels: initial stop, target, risk/reward pts; target policy (mother-edge / midpoint / actual)

- Excursion: MFE, MAE, mother-capture pts; bars to MFE 20/40, to 50/75/80% capture, to mother edge

- Stops: lock armed, trail armed, mother-edge trail, moved to BE, lock amount

- Range-trail: activation, captured pts; "gave back too much" flag

I ran a replay on a NQ strategy I'm building here are the raw results (capturing all candidates)

All Stats

• Signals: 684
• Fills: 523
• Points: -1,105.50
• Avg: -2.11
• WR: 67.7%
• PF: 0.84
• DD: 1,462.75

Logs and analyzes every valid CRT with full filtering context — to tell whether an edge is real or overfit.

Segmentation (tag every candidate & trade)

- Session: RTH / ETH-Asia / ETH-Euro + time bucket

- Source replay · side · month/week/day

- Whether another CRT was active/overlapping

Volume Profile

- Value state: mother open/close + transition; sweep close/extreme/trigger; "barely closed back inside" flag

- Distance to POC/VAH/VAL/VA-edge/VWAP; value width

- Touches of POC/VAH/VAL by mother/sweep/prior

- Setup type: inside-value / outside-value / breakout-from-value / failed-auction

Order Flow

- Big trades (buy/sell/delta) for mother, sweep, entry candles + recent 5-bar

- Trap vs response BT volume; aligned vs opposing delta

- Absorption at sweep wick; trapped-trader score post-sweep

- BTs into sweep that failed; entry OF confirms vs contradicts direction

ATR / Volatility / Chop

- ATR: EntryATR14, 15m ATR14/ATR50, ATR14-vs-ATR50 expansion

- Range vs ATR: mother range, avg 15m range; mother size bucket (S/M/L)

- Chop: regime, score, compressed flag; balanced vs directional flag

CRT Structure

- Mother range bucket; sweep retrace %; entry progress % in range; entry beyond midpoint

- Bodies: mother/sweep relationship; sweep doji; multi-doji

- Prior candle: range vs mother; 1.5x/2x/3x flag; profile/VWAP/key-level interaction

- Swept candle already invalidated/overlapped?

Range32 (LTF confirmation)

- Enabled/triggered; trigger time + bars/minutes after sweep

- Aligned vs opposing bars (+ net score); max move toward/against entry

- Invalid-before-trigger; same-bar-invalid; earlier confirm/warn before 15m stop entry

Risk / Management

- Levels: initial stop, target, risk/reward pts; target policy (mother-edge / midpoint / actual)

- Excursion: MFE, MAE, mother-capture pts; bars to MFE 20/40, to 50/75/80% capture, to mother edge

- Stops: lock armed, trail armed, mother-edge trail, moved to BE, lock amount

- Range-trail: activation, captured pts; "gave back too much" flag

I ran a replay on a NQ strategy I'm building here are the raw results (capturing all candidates)

All Stats

• Signals: 684
• Fills: 523
• Points: -1,105.50
• Avg: -2.11
• WR: 67.7%
• PF: 0.84
• DD: 1,462.75

Logs and analyzes every valid CRT with full filtering context — to tell whether an edge is real or overfit.

Segmentation (tag every candidate & trade)

- Session: RTH / ETH-Asia / ETH-Euro + time bucket

- Source replay · side · month/week/day

- Whether another CRT was active/overlapping

Volume Profile

- Value state: mother open/close + transition; sweep close/extreme/trigger; "barely closed back inside" flag

- Distance to POC/VAH/VAL/VA-edge/VWAP; value width

- Touches of POC/VAH/VAL by mother/sweep/prior

- Setup type: inside-value / outside-value / breakout-from-value / failed-auction

Order Flow

- Big trades (buy/sell/delta) for mother, sweep, entry candles + recent 5-bar

- Trap vs response BT volume; aligned vs opposing delta

- Absorption at sweep wick; trapped-trader score post-sweep

- BTs into sweep that failed; entry OF confirms vs contradicts direction

ATR / Volatility / Chop

- ATR: EntryATR14, 15m ATR14/ATR50, ATR14-vs-ATR50 expansion

- Range vs ATR: mother range, avg 15m range; mother size bucket (S/M/L)

- Chop: regime, score, compressed flag; balanced vs directional flag

CRT Structure

- Mother range bucket; sweep retrace %; entry progress % in range; entry beyond midpoint

- Bodies: mother/sweep relationship; sweep doji; multi-doji

- Prior candle: range vs mother; 1.5x/2x/3x flag; profile/VWAP/key-level interaction

- Swept candle already invalidated/overlapped?

Range32 (LTF confirmation)

- Enabled/triggered; trigger time + bars/minutes after sweep

- Aligned vs opposing bars (+ net score); max move toward/against entry

- Invalid-before-trigger; same-bar-invalid; earlier confirm/warn before 15m stop entry

Risk / Management

- Levels: initial stop, target, risk/reward pts; target policy (mother-edge / midpoint / actual)

- Excursion: MFE, MAE, mother-capture pts; bars to MFE 20/40, to 50/75/80% capture, to mother edge

- Stops: lock armed, trail armed, mother-edge trail, moved to BE, lock amount

- Range-trail: activation, captured pts; "gave back too much" flag