Support Board
Date/Time: Thu, 06 Nov 2025 02:48:58 +0000
Post From: Subject: Replay Orders on Secondary Chart Use Live Feed for Fill (PnL Desync Between Legs)
| [2025-11-04 11:58:49] |
| aurel19230 - Posts: 9 |
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Hello Sierra Chart Support, This message combines two related reports regarding an issue with replay trading across two charts. Summary When running a replay involving two charts (for a spread or pair trade), orders submitted for the secondary chart (Leg X) are filled using the live feed price, even though the replay is active. After the fill, the order’s PnL then tracks the replay feed, leading to a mismatch between entry price and subsequent price updates. This makes backtesting unreliable because one leg follows the replay feed entirely, while the other uses a real-time price for entry. Setup Leg Y (main chart): MNQZ5.CME Leg X (secondary chart): MESZ5.CME Study used: Trading: Spread Order Entry (built-in ACSIL study) Replay Mode: Replay All Charts in Chartbook Trade Simulation Mode: ON Trade and Current Quote Symbol: not used Behavior Observed On Leg Y (the chart containing the study): The market order is filled correctly at the replay price. The PnL is tracked properly using the replay data. ✅ On Leg X (the secondary chart): The market order is filled using the live-feed price, not the replay price. ❌ After the fill, the chart and PnL resume tracking the replay data. Result: the two legs become desynchronized — Leg Y is replay-based from start to finish, while Leg X opens from a real-time tick and only then follows replay data. Expected Behavior Both legs should open and track entirely using the replay feed, without any dependency on the live connection. Steps to Reproduce Open two charts: MNQZ5.CME and MESZ5.CME. Add the Trading: Spread Order Entry study to MNQZ5. Enable Replay All Charts in Chartbook. Start the replay and trigger a spread condition. Observed: The SELL order on Leg Y fills correctly and tracks the replay feed. The BUY order on Leg X is filled at a live-feed price, then continues under replay control. Additional Test with Minimal Study To isolate the issue, I built a minimal ACSIL test (attached documment). It's a critical bug because the replay is unusable at this state. thanks |
 testSpread.cpp - Attached On 2025-11-04 11:56:46 UTC - Size: 3.41 KB - 9 views  Screenshot 2025-11-04 154427.png / V - Attached On 2025-11-04 11:56:50 UTC - Size: 104.23 KB - 10 views config.png / V - Attached On 2025-11-04 11:56:55 UTC - Size: 62.62 KB - 10 views |