The market replay feature in NinjaTrader allows you to record streaming price data from your broker for future use and analysis. Many trading educators and systems vendors push the market replay feature in order to train students on how to use their products.
Using a market replay connection is identical to any other connection. Go to the File menu, select Connect and then choose Market Replay. Prices will start updating as though you were connected to the actual market. All functionality remains in tact as well. You can open charts, place Sim trades and do anything you would ordinarily do in NinjaTrader.
If you wish to record market replay data, click on Tools, then Options. The Data tab contains an option called Record data for market replay. Once you push ok, NinjaTrader will record all incoming price data for future use. This comes with a lot of overhead for the computer. If you have an older computer or care about maximizing performance, then I suggest leaving this unchecked during normal use.