Building Market Replay Tick Charts from Historical Tick Data

Summary

This installment explains how a MetaTrader replay service begins supporting tick displays in places such as Market Watch. The intended display reflects changes in bid and ask prices, and the author sees tick information as part of reproducing live-market behavior, even for users who do not rely on it. The initial implementation reads real tick records from files and uses them alongside the existing replay and bar-construction system. The article supplies data for experiments and encourages readers to test assets with different liquidity and volatility.

The implementation is explicitly preliminary. The author reports timer synchronization problems, mismatches between replay-chart time and tick or price-line information, and difficulties with assets that have fewer trades during a one-minute interval. Fast forwarding and rewinding are also described as flawed and are discouraged for now. These limitations mean the article is primarily a technical account of replay infrastructure and its experimental behavior, rather than evidence of trading performance or a finished simulation method.

Key ideas

• The replay service is extended to expose bid and ask changes as tick information in Market Watch.
• The first implementation loads real tick records from files to support experiments.
• Replay behavior should be examined across assets with differing liquidity and volatility.
• The author reports timing and synchronization defects that affect displayed data.
• Fast forwarding and rewinding remain unreliable in this installment.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.