Support Board
Date/Time: Thu, 04 Dec 2025 03:42:59 +0000
Unintended SC Slow Replay Bug?
View Count: 13
| [2025-12-04 01:01:22] |
| Apollonia - Posts: 23 |
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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
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