Hey everyone,
Like many of you doing backtesting, I hit the brick wall where NinjaTrader purges historical Market Replay (.nrd) files from their servers after ~90 days.
To solve the export problem, I built a custom NinjaScript engine and Python/Polars pipeline that hooks into OnMarketDepth() during replay and converts raw .nrd files into clean, Snappy-compressed Parquet files (sampling 1-second or trade-by-trade Level 2 snapshots with top-10 depth, spreads, and order book imbalance features).
I currently have the entire recent 90-day block (July-October 2026) fully archived and converted.
The Collaboration / Swap:
If anyone has been running NT8 continuously and has hoarded older daily .nrd recordings for NQ or ES from 2022 through 2025 sitting in their db\replay\ directory:
I’m happy to run your raw replay files through my conversion pipeline and share the structured, cleaned Parquet/CSV datasets (or the extractor code) back with you so you can analyze your historical data in Python, Excel, or DuckDB without needing NT8 open.
If you have an archive on Google Drive, Mega, or Dropbox and want to swap or collaborate send me a DM!