Support Board
Date/Time: Thu, 04 Dec 2025 04:31:34 +0000
Unintended SC Slow Replay Bug?
View Count: 26
| [2025-12-04 01:01:22] |
| Apollonia - Posts: 23 |
|
Hi SC team, I hope you guys are doing well. During replay backtesting, I discovered that Sierra Chart can produce unrealistic fills when the trade (Last) feed updates faster than the quote (Bid/Ask) feed (this is my working assumption). In my case, a micro-ramp occurred between 15:21:12.485000-.485353, where the Last price climbed rapidly from ~22144 to ~22161 while the Bid/Ask quotes stayed frozen around 22144. I analyzed this via the tick by tick quote changes which captured millisecond changes. Because Sierra’s replay engine bases fills on quotes rather than Last trades (I think), it filled my entry at the stale quote price even though the real market had already moved much higher - resulting in a fill plotted far below the candles. Please see attached for one example; it’s happened quite a few times. I wanted to ask if my interpretation is correct; is this a feed-timing limitation, where quote latency during fast bursts causes replay fills to appear unrealistic? Or is there something I am missing. Thank you Date Time Of Last Edit: 2025-12-04 01:03:22
|
Private File |
| [2025-12-04 03:48:21] |
| seandunaway - Posts: 358 |
|
just because a price prints doesn't mean we're entitled to it.. we still have to find a matching order sierrachart was one of the first to implement realistic fills using bids and offers and even estimated position in queue this is a feature not a flaw anyway each and every record in the tick data contains both the best bid and offer together with last price i think you probably experienced a true gap in liquidity or, make sure you're using tick data storage and the appropriate replay settings Date Time Of Last Edit: 2025-12-04 03:55:00
|
To post a message in this thread, you need to log in with your Sierra Chart account: