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Tick replay sounds like the ultimate backtest: every price change reproduced. In practice, FX tick data has gaps, and replay engines handle them differently.

Sources of gaps:
- Broker feed interruptions (maintenance, outages).
- Weekend and holiday closures.
- Data vendor filtering (removing outlier ticks).
- Different brokers' tick streams, which don't match each other.

How replay engines handle gaps:
- Some jump directly to the next tick, which can create unrealistic fills on pending orders.
- Some interpolate, creating fake ticks.
- Some flag the gap but continue.

Impact on scalping EAs:
- A stop order might fill at a price that never traded in reality.
- Entries on the first tick after a gap might look better than live trading would allow.
- Spread on gap ticks might be unusually wide or narrow.

Checks worth doing:
- Look at trades that occurred within a few seconds of a data gap. Are they realistic?
- Run the backtest on two different tick sources and compare.

Has anyone found a tick source that's reliable for EURUSD scalping research?

Every few weeks someone posts a Sunday gap chart with a confident line that gaps always fill. It makes a good story, and there is a kernel of truth to it. The details are where the trouble is.

First, what a gap even is. The forex market trades around the clock during the week, so the gap people talk about is the difference between Friday's last price and where the first quotes appear on the Sunday evening open. That depends on the data feed. Two brokers can show different gaps, or one may show a gap and the other almost none, because the opening quote is built from whatever liquidity is available in the first minutes.

Second, size. Most weekend gaps in majors are small, a few pips that are mostly spread being resolved. They fill quickly because they were never real. The ones that matter are driven by weekend news, and those tend to reflect genuine repricing.

Third, filled by when? A gap that fills within a day is a very different claim from one that fills within a month. Any rule with an open-ended deadline will always look right eventually, which says little about whether it is tradable.

The myth survives because the small, trivial gaps fill fast and get counted as wins, while the large ones, which would be the profitable ones to trade, are the ones where the fill may take long enough to wipe out a stop first.

A more honest test separates gaps by size relative to normal spread, by cause (news or no news), and by how long a trade has to survive. Without that split, fill rates are mostly a measure of how small the gaps were.

Slippage on Sunday open also deserves attention. Fills in the first minutes can be far from the screen price on some brokers, which turns a clean-looking setup into something that cannot be executed as drawn.

Has anyone tracked Sunday gaps on a specific pair with a defined deadline for the fill, and what did the numbers look like?