ReplayFutures · Data Coverage

Data Coverage: Level 1 and Level 2 Depth

This page states plainly what the archive contains: which sessions carry full Level 1 and Level 2 depth, and which are Level 1 only. No vague promises. If a session is not complete, it is named here.

Level 1 vs Level 2

Level 1 is trades and top-of-book quotes: the tape, last price, best bid and ask. Level 2 is market depth, the full order book behind the best price, the ladder you read on a DOM. Order-flow and DOM practice need Level 2, and that is the whole reason to use tick-by-tick replay instead of bar replay.

A NinjaTrader replay file can hold both, or Level 1 alone. This page is about which one you get, per session.

Front-month sessions: full Level 1 and Level 2

Every front-month session, from each contract's roll date through its expiry, carries full Level 1 and Level 2 depth, and new sessions are added every trading day. This is the guaranteed core of the archive. If you are pulling the active contract for any instrument, you are getting complete depth.

How depth is captured, and why timing matters

NinjaTrader does not publish a session's Level 2 depth to its replay servers until after midnight ET following that session. Depth for today's session is simply not available until tomorrow. The archive captures each session the following afternoon, once depth has published, and confirms that every file actually contains its depth records before it is filed and served. That is why current front-month sessions come down depth-complete on the first download, with no waiting and no second pass.

Where a session can be Level 1 only

Being straight about the exceptions matters more than a clean marketing line. A session can be Level 1 only in three cases:

• Older sessions on expired contracts. Some sessions captured before depth-complete capture became standard are Level 1 only. Once a contract has rolled far enough off, NinjaTrader no longer serves it, so those sessions cannot be upgraded to depth by anyone, the source data no longer exists. Where this applies it is permanent, and I would rather say so than pretend otherwise.
• Incidental back-month and pre-roll sessions. Data outside the guaranteed front-month window is a bonus, not part of the guarantee. Depth on those sessions varies, so treat anything before a contract's roll date as best-effort.
• Thin sessions with no depth at the source. A few very low-volume sessions, typically the short session right after a roll, carry no Level 2 at the source at all. Those are Level 1 only in every archive, including NinjaTrader's own, because there is nothing to record.

Date coverage and known gaps

Separate from depth is plain date coverage, whether a given day exists at all. The archive holds roughly 18 months of history per instrument, with the major index futures (ES, MES, NQ, MNQ) going back furthest, to 2023, and it includes the Sunday Globex evening session. New trading days are added daily.

Known date gaps are listed rather than left unstated:

• Micro Crude Oil (MCL): Apr 21 to May 15, 2026 (between the 05-26 and 06-26 contracts), and Oct 21 to Nov 28, 2025 (between the 11-25 and 01-26 contracts).

All other instruments are current with no known date gaps.

How to check depth yourself

You never have to take this on faith. Load any file through NinjaTrader's Playback connection, open a DOM (SuperDOM or Level II window) for that instrument, and press play. If the ladder fills with resting bids and asks that move tick by tick, the session carries Level 2. If only the last-trade column moves and the ladder stays empty, it is Level 1 only. That is the same check the archive runs on every file before it is served.

Questions

If you ever find a front-month session that is Level 1 only and still inside NinjaTrader's retention window, tell me, that is a bug on my end and I want to fix it. Email support@replayfutures.com with the instrument and date and I will look at it directly.