Replay: “Order refused: waiting for the first quote of the replayed book”

In a Replay session that carries its best bid and ask (imported from Databento mbp-1 with the L1 kept), simulated orders fill at the bid or ask, never at the last trade. When that side is empty, not yet received or lost, the order is refused and the message says which.

Senzoukria · Troubleshooting · Updated September 2026

At a glance

Waiting
“Order refused: waiting for the first quote of the replayed book.”
Empty side
“Order refused: the replayed book has no ask, so there is no price to buy at.” (or no bid, to sell)
Lost L1
“Order refused: the L1 of this session is lost, and no price is made up from the last trade. A seek tries to recover it.”
Without L1
Sessions without L1 fill at the last price, as before

What you see

A simulated order in Replay is refused with one of four messages: waiting for the first quote, no ask, no bid, or “Order refused: the L1 of this session is lost, and no price is made up from the last trade. A seek tries to recover it.” An “L1 lost” badge may appear, explaining that the replay continues on trades while simulated orders, pending orders and protections are suspended.

Why it happens

Sessions imported from Databento mbp-1 with “Keep the L1 (best bid / ask) of mbp-1 files” carry the best bid and ask at full resolution. For those sessions, a market buy pays the ask and a sell receives the bid; a pending order is checked against the right side. If the side is empty, or the L1 has not arrived yet at the replayed moment, or it became unreadable, there is no honest price, so the order is refused rather than filled at the last trade. Sessions downloaded from the broker have no order book (tick history only contains transactions) and keep filling at the last price.

How to fix it

  • Waiting: press Play for a moment so the first quote of the session is replayed, then send the order again.
  • No ask or no bid: wait for the book to have that side again; it happens around thin moments and the open.
  • L1 lost: seek to another time; the seek tries to recover the L1.
  • If the same session loses its L1 repeatedly, import it again from the original files.

What it is not

  • Not a rejected order at a real broker: Replay orders are simulated.
  • Not a bug in sessions without L1: those use the last price by design.

When to contact support

If the problem persists, contact support through Menu → Report a problem, or on the Senzoukria Discord. Include the session (contract and day), the replay time and the message.

In the same section

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Frequently asked questions

How do I know a session has L1?
The Replay strip shows that the session carries its best bid and ask with the number of changes; imported sessions report it after the import.
Does the L1 cost disk space?
About 125 MB more per MNQ session, measured on real files, on top of about 30 MB of trades.

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