Prices and fills
Where do the prices come from?
Live CME futures, on a short delay. The bars you trade are the real ones.
The tape is genuine CME futures data, a few minutes behind the exchange. The bars you see are the bars that printed, at the prices they printed.
Nothing is smoothed and nothing is replayed from a stored session. The one thing that is ours is the order prices are shown in inside the newest candle, which is explained under the dancing candle.