Market Replay Design: Tick Data, Simulation, and Timer Limits

Summary

This installment introduces the design challenges of a market replay and simulation system for MetaTrader 5. It emphasizes preserving historical tick data: once detailed ticks are compressed into minute bars, the original sequence cannot be reconstructed exactly. A system using only bars can generate plausible simulated movement, but that is a statistical approximation rather than a faithful replay. The author recommends collecting and carefully storing tick archives for later study, and explains why the platform’s Strategy Tester does not provide the desired immersive replay experience.

The first implementation experiment uses a timer to generate replay events, then compares elapsed processing time at two millisecond timer settings. The observed runs show that timer-driven playback is constrained by event scheduling and hardware; the documented real-time event frequency also sets a practical floor. These are implementation demonstrations rather than trading-performance results, and the article does not yet present a complete replay system. Its central caveat is that study quality depends on the granularity and provenance of the underlying market data.

Key ideas

• Tick archives preserve market movement detail that cannot be recovered from compressed minute bars.
• Playback generated from bars is a plausible simulation, not an exact replay of the original tick sequence.
• The author recommends collecting and storing tick data for future experiments.
• Millisecond timer playback is limited by event scheduling and hardware performance.
• The demonstrated timer experiments are preliminary system tests, not evidence of trading strategy performance.

Tags

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