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Is this a common practice and can they track sales without cookies?
How many people actually disable cookies anyway, if it is very few then this isn't something to worry about...still over the years it could add up.
When a user clicks your add, they are cookied with your affiliate code. Upon checkout, the merchant checks for your code and gives credit. If there is no cookie, then no credit is given to the affiliate and they assume it was a sale from an incoming link, search engine, blog, etc.