Market replay

Market replay is the playback of a recorded trading session, tick by tick or bar by bar, so that a trader can watch the market unfold at a chosen speed and practise decisions with the same charts and tools used live. It reproduces what was observable; it does not reproduce queue position or guarantee that an order would have filled.

Senzoukria · Glossary · Updated September 2026

What gets replayed

A replay engine reads recorded events and re-emits them in order with their original timestamps, optionally faster or slower. What you see depends entirely on what was recorded. Executed trades with their aggressor side rebuild the footprint and cumulative delta. Depth updates, when they were captured, rebuild the ladder and the heatmap. Ordinary candles cannot recreate either.

  • Trades only: footprint, delta, volume profile and time and sales replay correctly; the book stays empty.
  • Trades plus depth: the DOM and heatmap replay too, at the granularity the feed recorded.
  • Any gap in the recording is a gap on screen, not a flat market.

Replay versus backtest

Replay puts a human in front of the data and measures the human. A backtest applies a written rule to the same data with an explicit execution model and measures the rule. Replay is the natural place to inspect a strategy's decisions one by one, or to rehearse a discretionary setup, before deciding whether anything belongs on a connected account. Neither reconstructs your place in the exchange queue, so a limit price that was touched is not proof your order would have filled.

Practising honestly

  • Hide the date of the session so you cannot recall what happened; grading yourself on an exam whose answers you know teaches little.
  • Load the sessions preceding the replayed one so profile, POC and prior extremes are already in place, as they would be live.
  • Trade a simulated account during replay and send the session to the journal, then review it the same way as a live day.
  • Write down the rule before pressing play, otherwise the replay becomes curve fitting by eye.

In Senzoukria

The Replay page ("Replay a past CME session tick by tick — same chart, same indicators, same tools as live") offers two modes: "Manual replay", one session tick by tick where you trade, and "Automatic backtest", where a saved strategy runs over months of bars on the simulated evaluation account only. "Random session" draws a day from the recent past and keeps its date hidden; "Context history" preloads earlier sessions so levels are in place at the start. From the Journal, "Review in Replay" opens a trade's session directly. The ticks come from the broker's history, which for Rithmic contains transactions but no order book; Databento, when licensed per dataset, adds CME depth for replay and backtests.

Common mistakes

  • Calling a replay result a backtest; one measures you, the other measures a rule.
  • Replaying a session whose outcome you already know and counting the trades as evidence.
  • Expecting a heatmap in replay from a feed that only recorded trades.
  • Confusing the simulated account used in replay with the broker account; nothing in replay reaches a broker.

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Frequently asked questions

Is market replay the same as tick replay?
Tick replay usually refers to rebuilding bars from individual trades so that footprint and delta are exact. Market replay is the broader playback of a session for practice, which relies on tick data but adds speed control, a simulated account and, when depth was recorded, the ladder and heatmap.
Can I see the order book during a replay?
Only if depth updates were recorded for that session. Broker tick history commonly contains transactions alone, so the footprint replays while the book stays empty. A separately licensed depth dataset is required to replay the DOM and heatmap.
Does replay tell me whether my strategy is profitable?
It tells you how the strategy or you behaved on the replayed days under a simulated account. It does not model queue priority, it covers only the sessions you chose, and it says nothing about future sessions. Use it to inspect decisions, then test a written rule with costs and out-of-sample data.

Keep reading

Strategy researchTest a trading strategy, from observation to challenge rulesDefine an observation, question it with the copilot, write a rule and explore costs, drawdown and fictional challenge limits in an interactive example.Quant · Start hereQuant trading for beginners: from idea to backtestDefine a testable rule, choose suitable data and evaluate later periods after costs.Order flow · HubOrder flow trading: the complete guideThe hub. What order flow is, what it shows — aggression, delta, imbalance, absorption, liquidity — and the tools that read it, each linked to a full guide.