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[Locked] - Server-side OCO and Bracket Orders

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[2014-07-26 19:44:14] #1 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Sierra Chart has and currently does support server-side OCO with the following Trading services: IB CTS T4 OEC FXCM TD Ameritrade CQG ( also through Iron Beam, Advantage, AMP) Rithmic Exclusively Via Optimus Futures Version 1165 has now been released which begins support for server side bracket orders. Currently this is supported with Interactive Brokers. To use this feature, you need to enable Global Settings >> General Trade Settings >> Use Server-Side OCO and Bracket Orders. This option also globally enables and disables server-side OCO and bracket orders across all Trading services now. There are no longer any service specific settings for server-side OCO. We recommend testing this feature on an IB paper trading account first. Although since Interactive Brokers is managing the bracket order, there really is not much functionality to it within Sierra Chart. When Sierra Chart is managing the bracket order on the client-side, there is a considerable amount of more sophistication behind the management of the orders compared to when 3 orders are merely transmitted to the trading service. We do not expect there to be any problems with this feature unless there is a problem on the trading service side. Next we will be adding bracket order support for CQG followed by DTC and OEC. We will be adding support for bracket orders for CTS T4 in August. They have made some changes on their side to make the integration better. We will be finishing up with bracket orders for these other services next week. While we have talked about adding this functionality for a long time, we apologize for the long delay. We also hope to add server-side OCO and bracket support for TransAct and Rithmic if this becomes available. Update: Server-side OCO and bracket order support are now supported with CQG and OEC. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-10-06 02:23:58

[2014-07-27 02:39:16] #2 [Go To First Post]
Kiwi - Posts: 374
Brilliant. This will be excellent for longer term setups when you can't be online. I've tried it on a live account and the customer sim account and its not working at this point with 1165noclr. Possibly it has something to do with the responses from TWS during market off hours (the original order does go through though). Note this is Debian Linux under wine (everything else works perfectly). Settings: http://i.imgur.com/8y6iWNe.png Goes thru but no brackets (cancelled here): http://i.imgur.com/LIRjKnV.png I'll try again when the markets are live tomorrow morning. Date Time Of Last Edit: 2014-07-27 03:54:11

[2014-07-27 04:18:42] #3 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We tested this on Friday and the bracket order did work properly. Test again when the market is open and if you have a problem, we need to see the Trade Activity Log for these orders. Here are the instructions: https://www.sierrachart.com/index.php?page=doc/doc_TradeActivityLog.php#TradeActivityLogToSupport Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-07-28 02:13:16] #4 [Go To First Post]
Kiwi - Posts: 374
OK, I set one up with the market open. Heres the display on SC, TWS & the general trade settings: http://i.imgur.com/oyBpVcb.png And here's the resulting Activity log: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID Order 2014-07-28 12:09:02.000 HSI-201407-HKFE HSI-201407-HKFE 1 Min #1 \| User order entry \| Last: 24350 988 Limit Sell 24324.0 Pending Child U Close 987 Order 2014-07-28 12:09:02.001 HSI-201407-HKFE HSI-201407-HKFE 1 Min #1 \| User order entry \| Last: 24350 989 Stop Sell 24267.0 Pending Child U Close 987 Order 2014-07-28 12:09:02.002 HSI-201407-HKFE HSI-201407-HKFE 1 Min #1 \| User order entry \| Last: 24350 987 Limit 1 Buy 24284.0 Order Sent U Open Order 2014-07-28 12:09:02.003 HSI-201407-HKFE IB open order update 987 150 Limit 1 Buy 24284.0 Open U81835 Open Order 2014-07-28 12:10:23.000 HSI-201407-HKFE HSI-201407-HKFE 1 Min #1 \| User order cancel 987 150 Limit 1 Buy 24284.0 Pending Cancel U Open Order 2014-07-28 12:10:23.001 HSI-201407-HKFE Canceling child orders of internal order ID 987 988 Limit Sell 24324.0 Pending Cancel U Close 987 Order 2014-07-28 12:10:23.002 HSI-201407-HKFE Canceling child orders of internal order ID 987 988 Limit Sell 24324.0 Canceled U Close 987 Order 2014-07-28 12:10:23.003 HSI-201407-HKFE Canceling child orders of internal order ID 987 989 Stop Sell 24267.0 Pending Cancel U Close 987 Order 2014-07-28 12:10:23.004 HSI-201407-HKFE Canceling child orders of internal order ID 987 989 Stop Sell 24267.0 Canceled U Close 987 Order 2014-07-28 12:10:23.005 HSI-201407-HKFE IB order status update 987 150 Limit 1 Buy 24284.0 Canceled U Open r Date Time Of Last Edit: 2014-07-28 03:24:46

[2014-07-28 03:40:10] #5 [Go To First Post]
Kiwi - Posts: 374
Update: I tried creating a brand new SC 1165 installation copying only accounts.cfg across and got the same result. On this one I tried stop and limit entry orders in both directions with Use Server Side OCO & bracket ticked and unticked. As my standard chart is using 5 second data. I did a final run with normal data and USS OCO ticked. Date Time Of Last Edit: 2014-07-28 03:50:17

[2014-07-28 04:36:27] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We know what the problem is. The feature was not released into our release build. It was disabled and only available during our debugging. We apologize for this. We are releasing version 1166 now which will release the feature. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-07-28 05:34:55] #7 [Go To First Post]
Kiwi - Posts: 374
Running 1166 now on Wine/Debian Linux; TWS 944.3c. Live account. OCOs are placed with IB. They move (if move with order is selected, and don't when not). When the primary is filled (with SC closed to check) the OCOs are activated on server. Looks good thank you. Date Time Of Last Edit: 2014-07-28 05:35:14

[2014-08-04 00:13:14] #8 [Go To First Post]
moonmist - Posts: 127
Running Sierra Chart version 1166 on Windows 7 64-bit operating system. Found two problems with TWS 946.2f: a) I placed a limit Sell Order at 1923.25 with an OCO order attached ( 8-tick stop and 4-tick target ). I moved the limit SELL order to 1923.00, and then 1922.75. The target order behaved normally, and was always four ticks below the limit SELL order. But the stop order suddenly moved to 1923.00 (one tick above the limit SELL order) instead of staying at 1924.75. b) After the occurrence of this strange phenomenon, I placed another limit SELL order at 1924.00 with an OCO order attached ( 8-tick stop and 4-tick target ). The stop order immediately moved to 1923.75, that is, one tick below the limit SELL order. Again, the target order behaved normally, and stayed at 1923.00. Attached is an image of the TradeDOM: http://www.sierrachart.com/image.php?l=1407109804700.png I am testing it using a paper-trading account. Version 1157 was working fine with TWS 946.2f ( Standalone Version ). PS: b) occurred again, if I placed a third limit SELL order at 1926.00 with an OCO order ( 8-tick stop and 4-tick target ). http://www.sierrachart.com/image.php?l=1407112334361.png Date Time Of Last Edit: 2014-08-04 00:32:57

[2014-08-04 01:03:33] #9 [Go To First Post]
moonmist - Posts: 127
During the testing, the stop loss order will be moved to breakeven plus one tick upon 4-tick profit. http://www.sierrachart.com/image.php?l=1407113637159.png Is it possible that b) is related to this setting ? Date Time Of Last Edit: 2014-08-04 01:03:54

[2014-08-04 01:20:46] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Please contact Interactive Brokers about the issue described in post #8 and #9. It is not an issue with Sierra Chart. We confirmed that. It occurs without even using the Move to Breakeven settings. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-08-04 01:56:05] #11 [Go To First Post]
moonmist - Posts: 127
Hi, It is almost 10:00 PM Eastern Time. Too late to call Interactive Brokers customer support. I'll try to contact them tomorrow. Meanwhile, I have rolled back to version 1157 to eliminate the above two problems.

[2014-08-04 02:05:11] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Another thing you can do is disable Global Settings >> General Trade Settings >> Use Server-Side OCO and Bracket Orders. Rather than going back to an earlier version. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-08-04 09:51:47] #13 [Go To First Post]
User30668 - Posts: 108
Thank you moonmist, for reporting this problem here. I have upgraded my SC instances for release 1168 during the weekend and being an IB customer as well I am now concerned with this reported issue. This is of extreme importance. For now I will follow SC Engineering advice and will disable "Use Server-Side OCO and Bracket Orders" option. moonmist / Sierra Chart Engineering, please keep us (IB customers) informed on any developments about this issue. Thank you.

[2014-08-04 10:10:33] #14 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
From what we can tell it seems as though the problem only affects demo and paper trading accounts. But we do not know for sure. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-08-05 00:06:10] #15 [Go To First Post]
NumbersBars - Posts: 141
Hi, Is there any plan or even possibility that Sierra Chart supports Server-side OCO with Optimus Futures (Rithmic)? Please let me know if I am missing something here. Date Time Of Last Edit: 2014-08-05 00:07:28

[2014-08-05 00:42:44] #16 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes, we expect this will be coming. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-08-06 18:17:16] #18 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We are checking on this again. In our original testing, we were seeing the problem of the Stop order being moved to an invalid price level without Sierra Chart doing any modifications. We will make sure Sierra Chart sends no order modifications when the parent order fills. But even if there are, we do not see why that would be a problem but we are looking into it. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-08-06 18:37:10] #19 [Go To First Post]
moonmist - Posts: 127
Hi, Last night, I did four tests with Sierra Chart version 1166 and TWS 946.2f by changing the API log level of TWS to "Detail": a) placed a ES limit SELL order at 1918.00 with an OCO order attached ( 8-tick stop and 4-tick target ). After two seconds or so, the stop loss order moved to 1917.75 for some unknown reasons. b) placed a limit BUY order at 1910.00 with an OCO order attached ( 8-tick stop and 4-tick target ). The stop loss order moved to 1910.25 immediately. c) placed a limit BUY order at 1908.00 with an OCO order attached ( 8-tick stop and 4-tick target ). The stop loss order moved to 1908.25 immediately. d) placed a limit BUY order at 1906.00. Nothing happened. I then raised the limit order to 1906.25, 1906.50, 1906.75 and 1907.00 step by step. The target order behaved normally, and was always four ticks above the limit BUY order. When I raised the limit BUY order from 1906.75 to 1907.00, the stop loss order suddenly moved to 1907.00. I then sent the log file to api@interactivebrokers.com. The following is the response from Interactive Brokers: From 4 examples that you provided us, we analyzed the first two. It seems that Sierra chart made the modification request. Below is portion of the log file that shows the initial orders and the modification request. If it is ok with you, you can send this information to Sierra Chart for further investigation ........ The detailed analysis is too long to post here. Can I send it to Sierra Chart via E-mail ?

[2014-08-06 19:16:43] #20 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We do not need to see that analysis. You can see exactly what Sierra Chart is doing through the Trade >> Trade Activity Log >> Trade Activity. Here is the documentation for the Trade Activity Log: https://www.sierrachart.com/index.php?l=doc/doc_TradeActivityLog.php#ViewingHistoricalTA You can see every order modification that originated from Sierra Chart. In the "Order Action Source" field you will see what originated the modification. Show us the lines in the Trade Activity Log indicating those order modifications that are supposedly from Sierra Chart. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-08-07 10:19:42] #21 [Go To First Post]
moonmist - Posts: 127
Hi, The following is the "Trade Activity" log for the test. Attached is an Excel file for the log: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID Order 2014-08-05 22:56:28.000 Connected to server Unspecified None Order 2014-08-05 22:56:45.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1207 Limit 1 Sell 1918.00 Order Sent DU167174 Open Order 2014-08-05 22:56:45.001 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1208 Limit 1 Buy 1917.00 Order Sent DU167174 Close 1207 Order 2014-08-05 22:56:45.002 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1209 Stop 1 Buy 1920.00 Order Sent DU167174 Close 1207 Order 2014-08-05 22:56:45.003 ES-201409-GLOBEX IB open order update 1208 4240 Limit 1 Buy 1917.00 Open DU167174 Close 1207 Order 2014-08-05 22:56:45.004 ES-201409-GLOBEX IB open order update 1209 4241 Stop 1 Buy 1920.00 Open DU167174 Close 1207 Order 2014-08-05 22:56:45.005 ES-201409-GLOBEX IB open order update 1207 4239 Limit 1 Sell 1918.00 Open DU167174 Open Order 2014-08-05 22:56:49.000 ES-201409-GLOBEX Auto trail order modification (Move to breakeven). Trigger price: 1912.000000 1209 4241 Stop 1 Buy 1920.00 Pending Modify DU167174 Close 1207 Order 2014-08-05 22:56:49.001 ES-201409-GLOBEX IB open order update 1209 4241 Stop 1 Buy 1917.75 Open DU167174 Close 1207 Order 2014-08-05 22:57:13.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1210 Limit 1 Buy 1910.00 Order Sent DU167174 Open Order 2014-08-05 22:57:13.001 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1211 Limit 1 Sell 1911.00 Order Sent DU167174 Close 1210 Order 2014-08-05 22:57:13.002 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1212 Stop 1 Sell 1908.00 Order Sent DU167174 Close 1210 Order 2014-08-05 22:57:13.003 ES-201409-GLOBEX IB open order update 1211 4243 Limit 1 Sell 1911.00 Open DU167174 Close 1210 Order 2014-08-05 22:57:13.004 ES-201409-GLOBEX IB open order update 1212 4244 Stop 1 Sell 1908.00 Open DU167174 Close 1210 Order 2014-08-05 22:57:13.005 ES-201409-GLOBEX IB open order update 1210 4242 Limit 1 Buy 1910.00 Open DU167174 Open Order 2014-08-05 22:57:15.000 ES-201409-GLOBEX Auto trail order modification (Move to breakeven). Trigger price: 1912.000000 1212 4244 Stop 1 Sell 1908.00 Pending Modify DU167174 Close 1210 Order 2014-08-05 22:57:15.001 ES-201409-GLOBEX IB open order update 1212 4244 Stop 1 Sell 1910.25 Open DU167174 Close 1210 Order 2014-08-05 22:57:52.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1213 Limit 1 Buy 1908.00 Order Sent DU167174 Open Order 2014-08-05 22:57:52.001 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1214 Limit 1 Sell 1909.00 Order Sent DU167174 Close 1213 Order 2014-08-05 22:57:52.002 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1215 Stop 1 Sell 1906.00 Order Sent DU167174 Close 1213 Order 2014-08-05 22:57:52.003 ES-201409-GLOBEX IB open order update 1214 4246 Limit 1 Sell 1909.00 Open DU167174 Close 1213 Order 2014-08-05 22:57:52.004 ES-201409-GLOBEX IB open order update 1215 4247 Stop 1 Sell 1906.00 Open DU167174 Close 1213 Order 2014-08-05 22:57:52.005 ES-201409-GLOBEX IB open order update 1213 4245 Limit 1 Buy 1908.00 Open DU167174 Open Order 2014-08-05 22:57:54.000 ES-201409-GLOBEX Auto trail order modification (Move to breakeven). Trigger price: 1912.000000 1215 4247 Stop 1 Sell 1906.00 Pending Modify DU167174 Close 1213 Order 2014-08-05 22:57:54.001 ES-201409-GLOBEX IB open order update 1215 4247 Stop 1 Sell 1908.25 Open DU167174 Close 1213 Order 2014-08-05 22:58:35.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1216 Limit 1 Buy 1906.00 Order Sent DU167174 Open Order 2014-08-05 22:58:35.001 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1217 Limit 1 Sell 1907.00 Order Sent DU167174 Close 1216 Order 2014-08-05 22:58:35.002 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1218 Stop 1 Sell 1904.00 Order Sent DU167174 Close 1216 Order 2014-08-05 22:58:35.003 ES-201409-GLOBEX IB open order update 1217 4249 Limit 1 Sell 1907.00 Open DU167174 Close 1216 Order 2014-08-05 22:58:35.004 ES-201409-GLOBEX IB open order update 1218 4250 Stop 1 Sell 1904.00 Open DU167174 Close 1216 Order 2014-08-05 22:58:35.005 ES-201409-GLOBEX IB open order update 1216 4248 Limit 1 Buy 1906.00 Open DU167174 Open Order 2014-08-05 22:58:41.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order modification 1216 4248 Limit 1 Buy 1906.00 Pending Modify DU167174 Open Order 2014-08-05 22:58:41.001 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.25 1217 4249 Limit 1 Sell 1907.00 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:41.002 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.25 1218 4250 Stop 1 Sell 1904.00 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:41.003 ES-201409-GLOBEX IB open order update 1216 4248 Limit 1 Buy 1906.25 Open DU167174 Open Order 2014-08-05 22:58:41.004 ES-201409-GLOBEX IB open order update 1217 4249 Limit 1 Sell 1907.25 Open DU167174 Close 1216 Order 2014-08-05 22:58:41.005 ES-201409-GLOBEX IB open order update 1218 4250 Stop 1 Sell 1904.25 Open DU167174 Close 1216 Order 2014-08-05 22:58:43.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order modification 1216 4248 Limit 1 Buy 1906.25 Pending Modify DU167174 Open Order 2014-08-05 22:58:43.001 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.50 1217 4249 Limit 1 Sell 1907.25 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:43.002 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.50 1218 4250 Stop 1 Sell 1904.25 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:44.000 ES-201409-GLOBEX IB open order update 1216 4248 Limit 1 Buy 1906.50 Open DU167174 Open Order 2014-08-05 22:58:44.001 ES-201409-GLOBEX IB open order update 1217 4249 Limit 1 Sell 1907.50 Open DU167174 Close 1216 Order 2014-08-05 22:58:44.002 ES-201409-GLOBEX IB open order update 1218 4250 Stop 1 Sell 1904.50 Open DU167174 Close 1216 Order 2014-08-05 22:58:47.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order modification 1216 4248 Limit 1 Buy 1906.50 Pending Modify DU167174 Open Order 2014-08-05 22:58:47.001 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.75 1217 4249 Limit 1 Sell 1907.50 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:47.002 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.75 1218 4250 Stop 1 Sell 1904.50 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:47.003 ES-201409-GLOBEX IB open order update 1216 4248 Limit 1 Buy 1906.75 Open DU167174 Open Order 2014-08-05 22:58:47.004 ES-201409-GLOBEX IB open order update 1217 4249 Limit 1 Sell 1907.75 Open DU167174 Close 1216 Order 2014-08-05 22:58:47.005 ES-201409-GLOBEX IB open order update 1218 4250 Stop 1 Sell 1904.75 Open DU167174 Close 1216 Order 2014-08-05 22:58:51.000 ES-201409-GLOBEX Auto trail order modification (Move to breakeven). Trigger price: 1912.000000 1218 4250 Stop 1 Sell 1904.75 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:51.001 ES-201409-GLOBEX IB open order update 1218 4250 Stop 1 Sell 1907.00 Open DU167174 Close 1216 Order 2014-08-05 22:58:52.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order modification 1216 4248 Limit 1 Buy 1906.75 Pending Modify DU167174 Open Order 2014-08-05 22:58:52.001 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1907.00 1217 4249 Limit 1 Sell 1907.75 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:52.002 ES-201409-GLOBEX IB open order update 1216 4248 Limit 1 Buy 1907.00 Open DU167174 Open Order 2014-08-05 22:58:52.003 ES-201409-GLOBEX IB open order update 1217 4249 Limit 1 Sell 1908.00 Open DU167174 Close 1216 Date Time Of Last Edit: 2014-08-07 10:20:07


Private File

[2014-08-07 17:03:08] #22 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
There is more than one test in this Trade Activity Log. And what we need to know is what order modification in that log which is causing a problem. Otherwise, we do not know what to look at. Go through each line for the particular order in question and let us know which one is a problem. You can identify an order by its Internal Order ID or Service Order ID and its order type. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-08-07 17:03:41

[2014-08-07 18:35:26] #23 [Go To First Post]
moonmist - Posts: 127
Hi, This is the log for the four tests that I mentioned in post #19. Part one: The following is the log for test a) that caused the problem describing in #19: Order 2014-08-05 22:56:45.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1207 Limit 1 Sell 1918.00 Order Sent DU167174 Open ------> This is the SELL limit order at 1918.00 Order 2014-08-05 22:56:45.001 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1208 Limit 1 Buy 1917.00 Order Sent DU167174 Close 1207 ------> This is the limit target BUY order ( 4-tick target ) Order 2014-08-05 22:56:45.002 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1209 Stop 1 Buy 1920.00 Order Sent DU167174 Close 1207 ------> This is the stop loss order ( 8-tick stop ) Order 2014-08-05 22:56:45.003 ES-201409-GLOBEX IB open order update 1208 4240 Limit 1 Buy 1917.00 Open DU167174 Close 1207 Order 2014-08-05 22:56:45.004 ES-201409-GLOBEX IB open order update 1209 4241 Stop 1 Buy 1920.00 Open DU167174 Close 1207 Order 2014-08-05 22:56:45.005 ES-201409-GLOBEX IB open order update 1207 4239 Limit 1 Sell 1918.00 Open DU167174 Open ****** After two seconds or so, the stop loss order moved to 1917.75 for some unknown reasons. ( Cut and paste from post #19. )************ Order 2014-08-05 22:56:49.000 ES-201409-GLOBEX Auto trail order modification (Move to breakeven). Trigger price: 1912.000000 1209 4241 Stop 1 Buy 1920.00 Pending Modify DU167174 Close 1207 Order 2014-08-05 22:56:49.001 ES-201409-GLOBEX IB open order update 1209 4241 Stop 1 Buy 1917.75 Open DU167174 Close 1207 Part two: The following is the log for test b) that caused the problem describing in post #19: Order 2014-08-05 22:57:13.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1210 Limit 1 Buy 1910.00 Order Sent DU167174 Open ------> This is the limit BUY order at 1910.00. Order 2014-08-05 22:57:13.001 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1211 Limit 1 Sell 1911.00 Order Sent DU167174 Close 1210 ------> This is the limit target order ( 4-tick target ) Order 2014-08-05 22:57:13.002 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1212 Stop 1 Sell 1908.00 Order Sent DU167174 Close 1210 ------> This is the stop loss order ( 8-tick stop ) Order 2014-08-05 22:57:13.003 ES-201409-GLOBEX IB open order update 1211 4243 Limit 1 Sell 1911.00 Open DU167174 Close 1210 Order 2014-08-05 22:57:13.004 ES-201409-GLOBEX IB open order update 1212 4244 Stop 1 Sell 1908.00 Open DU167174 Close 1210 Order 2014-08-05 22:57:13.005 ES-201409-GLOBEX IB open order update 1210 4242 Limit 1 Buy 1910.00 Open DU167174 Open ** The stop loss order moved to 1910.25 immediately. ( Cut and paste from post # 19. ) ** Order 2014-08-05 22:57:15.000 ES-201409-GLOBEX Auto trail order modification (Move to breakeven). Trigger price: 1912.000000 1212 4244 Stop 1 Sell 1908.00 Pending Modify DU167174 Close 1210 Order 2014-08-05 22:57:15.001 ES-201409-GLOBEX IB open order update 1212 4244 Stop 1 Sell 1910.25 Open DU167174 Close 1210 Part three: The following is the log for test c) that caused the problem describing in post #19: Order 2014-08-05 22:57:52.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1213 Limit 1 Buy 1908.00 Order Sent DU167174 Open ------> This is the limit BUY order at 1908.00 Order 2014-08-05 22:57:52.001 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1214 Limit 1 Sell 1909.00 Order Sent DU167174 Close 1213 ------> This is the target limit order ( 4-tick target ) Order 2014-08-05 22:57:52.002 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1215 Stop 1 Sell 1906.00 Order Sent DU167174 Close 1213 ------> This is the stop loss order ( 8-tick stop ) Order 2014-08-05 22:57:52.003 ES-201409-GLOBEX IB open order update 1214 4246 Limit 1 Sell 1909.00 Open DU167174 Close 1213 Order 2014-08-05 22:57:52.004 ES-201409-GLOBEX IB open order update 1215 4247 Stop 1 Sell 1906.00 Open DU167174 Close 1213 Order 2014-08-05 22:57:52.005 ES-201409-GLOBEX IB open order update 1213 4245 Limit 1 Buy 1908.00 Open DU167174 Open ** The stop loss order moved to 1908.25 immediately. ( Cut and paste from post #19. ) ** Order 2014-08-05 22:57:54.000 ES-201409-GLOBEX Auto trail order modification (Move to breakeven). Trigger price: 1912.000000 1215 4247 Stop 1 Sell 1906.00 Pending Modify DU167174 Close 1213 Order 2014-08-05 22:57:54.001 ES-201409-GLOBEX IB open order update 1215 4247 Stop 1 Sell 1908.25 Open DU167174 Close 1213 Part Four: The following is the log for test d) that caused the problem describing in post #19: Order 2014-08-05 22:58:35.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1216 Limit 1 Buy 1906.00 Order Sent DU167174 Open ------> This is the limit BUY order at 1906.00. Order 2014-08-05 22:58:35.001 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1217 Limit 1 Sell 1907.00 Order Sent DU167174 Close 1216 ------> This is the target order ( 4-tick target ) Order 2014-08-05 22:58:35.002 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order entry \| Last: 1912 1218 Stop 1 Sell 1904.00 Order Sent DU167174 Close 1216 ------> This is the stop loss order ( 8-tick stop ) Order 2014-08-05 22:58:35.003 ES-201409-GLOBEX IB open order update 1217 4249 Limit 1 Sell 1907.00 Open DU167174 Close 1216 Order 2014-08-05 22:58:35.004 ES-201409-GLOBEX IB open order update 1218 4250 Stop 1 Sell 1904.00 Open DU167174 Close 1216 Order 2014-08-05 22:58:35.005 ES-201409-GLOBEX IB open order update 1216 4248 Limit 1 Buy 1906.00 Open DU167174 Open Order 2014-08-05 22:58:41.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order modification 1216 4248 Limit 1 Buy 1906.00 Pending Modify DU167174 Open Order 2014-08-05 22:58:41.001 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.25 1217 4249 Limit 1 Sell 1907.00 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:41.002 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.25 1218 4250 Stop 1 Sell 1904.00 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:41.003 ES-201409-GLOBEX IB open order update 1216 4248 Limit 1 Buy 1906.25 Open DU167174 Open ------> I raised the limit BUY order from 1906.00 to 1906.25 Order 2014-08-05 22:58:41.004 ES-201409-GLOBEX IB open order update 1217 4249 Limit 1 Sell 1907.25 Open DU167174 Close 1216 ------> This is the new 4-tick target order Order 2014-08-05 22:58:41.005 ES-201409-GLOBEX IB open order update 1218 4250 Stop 1 Sell 1904.25 Open DU167174 Close 1216 ------> This is the new 8-tick stop order Order 2014-08-05 22:58:43.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order modification 1216 4248 Limit 1 Buy 1906.25 Pending Modify DU167174 Open Order 2014-08-05 22:58:43.001 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.50 1217 4249 Limit 1 Sell 1907.25 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:43.002 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.50 1218 4250 Stop 1 Sell 1904.25 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:44.000 ES-201409-GLOBEX IB open order update 1216 4248 Limit 1 Buy 1906.50 Open DU167174 Open ------> I raised the limit BUY order from 1006.25 to 1906.50 Order 2014-08-05 22:58:44.001 ES-201409-GLOBEX IB open order update 1217 4249 Limit 1 Sell 1907.50 Open DU167174 Close 1216 ------> This is the new 4-tick target order Order 2014-08-05 22:58:44.002 ES-201409-GLOBEX IB open order update 1218 4250 Stop 1 Sell 1904.50 Open DU167174 Close 1216 ------> This is the new 8-tick stop order Order 2014-08-05 22:58:47.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order modification 1216 4248 Limit 1 Buy 1906.50 Pending Modify DU167174 Open Order 2014-08-05 22:58:47.001 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.75 1217 4249 Limit 1 Sell 1907.50 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:47.002 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1906.75 1218 4250 Stop 1 Sell 1904.50 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:47.003 ES-201409-GLOBEX IB open order update 1216 4248 Limit 1 Buy 1906.75 Open DU167174 Open ------> I raised the limit BUY order from 1906.50 to 1906.75 Order 2014-08-05 22:58:47.004 ES-201409-GLOBEX IB open order update 1217 4249 Limit 1 Sell 1907.75 Open DU167174 Close 1216 ------> This is the new 4-tick target order. Order 2014-08-05 22:58:47.005 ES-201409-GLOBEX IB open order update 1218 4250 Stop 1 Sell 1904.75 Open DU167174 Close 1216 ------> This is the new 8-tick stop loss order. *** When I raised the limit BUY order from 1906.75 to 1907.00, the stop loss order suddenly moved to 1907.00. ( Cut and paste from post #19. )**** Order 2014-08-05 22:58:51.000 ES-201409-GLOBEX Auto trail order modification (Move to breakeven). Trigger price: 1912.000000 1218 4250 Stop 1 Sell 1904.75 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:51.001 ES-201409-GLOBEX IB open order update 1218 4250 Stop 1 Sell 1907.00 Open DU167174 Close 1216 Order 2014-08-05 22:58:52.000 ES-201409-GLOBEX ES-201409-GLOBEX [M] #1 \| User order modification 1216 4248 Limit 1 Buy 1906.75 Pending Modify DU167174 Open Order 2014-08-05 22:58:52.001 ES-201409-GLOBEX Modifying Attached Order from parent modification/fill. Ref price: 1907.00 1217 4249 Limit 1 Sell 1907.75 Pending Modify DU167174 Close 1216 Order 2014-08-05 22:58:52.002 ES-201409-GLOBEX IB open order update 1216 4248 Limit 1 Buy 1907.00 Open DU167174 Open Order 2014-08-05 22:58:52.003 ES-201409-GLOBEX IB open order update 1217 4249 Limit 1 Sell 1908.00 Open DU167174 Close 1216

[2014-08-07 18:58:06] #24 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Thank you. We will be reviewing this. We think that we realize the nature of the problem with trailing stops when the parent order has not filled. The Trailing stop functionality must not work until the parent order fills. The way that server-side brackets work is a different kind of model that we have been currently working with. And this is a scenario we did not consider. We were seeing problems with the server side bracket orders when testing on the IB demo account but the problem with this had to do with the unusual data on the demo system causing orders to be moved and filled unexpectedly. This is a completely different issue though. This is what caused the confusion and us to say the problem was on IB side when an issue involving trailing stops clearly is not. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-08-09 21:34:19

[2014-08-09 21:35:05] #25 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
1173 has been released and solves the issue with trailing stops with server side bracket orders when using IB. We have not done any testing yet because the markets have been closed, but we do not expect there to be any issues either. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-08-10 21:55:22

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