Trade Activity Log


Viewing Historical Trade Activity

To open the Trade Activity Log, select Trade >> Trade Activity Log on the menu.

The Trade Activity Log logs trade order Activity and trade order Fills. Whenever there is a new trade order or a change with the order status (Status field in the Trade >>Trade Orders and Positions >> Orders tab) of an existing order, there is a new line added to the Trade Activity Log. And there is a new line added whenever an order fills or partially fills. There is a separate line for each individual fill.

The Trade Activity Log is very useful to analyze precisely what has happened with a particular order and the source of all actions on that order. Every time the Status of an order changes, the price of the order changes, the quantity of the order changes, or there is an order fill, then there is a separate line added for the order in the Trade Activity Log.

To determine all of the actions on an order, be sure to select Orders or All Activity in the list box at the top of the Trade Activity Log, containing these options. In the log itself, the field Order Action Source indicates what the source of the action on the order was.

In the case of Non-simulated trade activity in the Trade Activity Log, this trade activity is added to the log based on real-time order events received from the Trading service you are connected to and historical order fills and order data (if available) downloaded when connected to the Trading service. It is important to be aware that there can be missing order fills. For more information, refer to Missing Order Fills from Trade Activity Log.

It is important to be aware that if Global Settings >> General Trade Settings >> Save Replay / BackTest Trade Activity is not enabled, then after exiting Sierra Chart, order activity and fills which occurred from a chart that is replaying or being back tested, will be lost.

  1. To view the Trade Activity Log, select Trade >> Trade Activity Log.
  2. Select the Trade Activity tab.
  3. At the top of the Trade Activity Log window, select the type of Trade Activity that you want to display, from the drop-down of Activity Types. This can be Orders, Fills, or All Activity.
  4. At the top of the Trade Activity Log window, in the list box containing Internal Order IDs, select All Internal Order IDs.
  5. At the top of the Trade Activity Log window, in the list of symbols select the symbol that you want to display trade activity for. In the case of simulated trading when using Sierra Chart Trade Simulation Mode, the symbol is prefixed with [Sim]. So you must select the symbol that has [Sim] in front of it to see simulated trading data.
  6. To display non-simulated Trade Activity data for all symbols, select All Symbols in the list of symbols. This is Trade Activity with the external Trading service Sierra Chart is connected with.

    To display simulated Trade Activity data for all symbols, select [Sim] All Symbols in the list of symbols. Simulated Trade Activity data is simulated Trade Activity recorded when Trade >> Trade Simulation Mode On is enabled.
  7. At the top, in the list of Trade Accounts, select a particular Trade Account that the orders belong to. Or select All Accounts. This account must match the account used on the Trade Window for the Chart or Trade DOM the orders originated from. All simulated trading accounts are in the format Sim#.
  8. In the list box containing Internal Order IDs, select All Internal Order IDs unless you want to display only Trade Activity for a particular Internal Order ID. In that case select the particular Internal Order ID you want to display.
  9. Set the Date-Time controls in the Date Range to Display and Commission frame to the Date-Time range that you want to display and press the Apply button. It is necessary to press the Apply button to apply any changes to the Date-Time related controls.

    To set the number of days which are saved in the Trade Activity Log between Sierra Chart sessions and are available for display, select Global Settings >> General Trade Settings on the menu. Set the Number of Days to Save in Trade Activity Log to what you require. There are separate settings for Non-simulated and Simulated trade activity. For more information, refer to Number of Days to Save in Trade Activity Log.

For field descriptions, refer to the Trade Activity Fields section.

Controls

This section documents all of the controls and menu commands on the Trade Activity Log. These are located at the top of the Trade Activity Log and on the menu.

Orders | Fills | All Activity Filter

This list box filter allows you to display Orders, Fills, Positions, Account Balances, or All Activity (all trading related activity).

Order Activity is the details of an order every time the order status changes, the order quantity changes or the price changes. New orders are also logged.

Fill activity is the details of a fill when an order fill occurs.

Positions activity is every time there is a change in position quantity for a Symbol and Trade account.

Account Balance activity is anytime there is a change with the cash balance for the Trade Account but this is only used with certain services. For example, it is used with the Futures Trading Evaluator service.

Note: In the case of a fill, the Fill Price field is the price of that specific fill. In the case of Order Activity, the Fill Price field is the average price of all of the fills, if any, for the order at the time of the logging.

Symbol Filter

This list box lists all of the Symbols that have Order and Fill activity available in the Trade Activity Log. Select All Symbols to display Trade Activity for all non-simulated symbols.

Select [Sim] All Symbols to display Trade Activity for all simulated symbols. Or, select a specific symbol to display only trade activity for that particular symbol.

Usually non-simulated symbols are for live orders. However, if you are connected to a simulated trading account with your Trading service, the these will actually be simulated orders. However, to Sierra Chart they would be considered live/non-simulated orders.

Symbols with [Sim] in front of them will display Trade Activity data for orders which are simulated and processed internally in Sierra Chart. This also includes Order and Fill Trade Activity for orders which were submitted from a chart or charts that were replaying or during an automated trading system Back Test. These are simulated orders only because only simulated orders are possible when a chart is replaying or there is a Back Test being performed.

Trade Account Filter

This list box lists all of the Trade Accounts that any Trade Activity available in the Trade Activity Log for the account.

Select All Accounts to display Trade Activity for all trade accounts.

Simulated accounts begin with Sim.

This list box is not going to list the available trading accounts for the logged in Username until such time there is trading activity on those accounts and that activity has been logged.

Internal Order ID Filter

This list box lists all of the Internal Order IDs that have Order and Fill activity available in the Trade Activity Log.

Select All Internal Order IDs unless you want to display only Trade Activity for a particular Internal Order ID. In that case select the particular Internal Order ID you want to display.

Date Range to Display

These controls set the period of time of the trade data to display on all three tabs of the Trade Activity Log (Trade Activity, Trade Statistics, Trade). Set these controls to the period of time that you want to display and press the Apply button to apply the changes.

Use Commission

This applies a round turn commission per quantity 1 for the Profit/Loss calculations on the Trade Statistics and the Trades tabs of the Trade >> Trade Activity Log.

The actual Round Turn Commission currency value is set through Global Settings >> Symbol Settings for the symbol or symbol pattern. The Round Turn Commission value is set on the Additional tab and is for the symbol or symbol pattern selected in the Symbols list in the Global Symbol Settings window. The currency of the commission value can be any currency and should be denominated in the currency of the symbol.

Since this is a round turn commission, it applies for every 2 units of the total filled quantity for a Trade. Therefore, if you set a Round Turn Commission of 1.00 and you buy and sell 10 shares or contracts, then this will be a total quantity traded of 20. The commission will be 10 in this case and the amount will be deducted from the Profit/Loss reducing the profit and increasing the loss.

In the case of stock shares where the quantities are much higher than futures, you need to take this into consideration when determining the commission value. For example, you may want to set a commission of .01 which would apply per share. So a trade of 1000 shares would have a commission of 10.

If there are any changes to the commission value in the Global Symbol Settings window, then to see these changes applied to the Profit/Loss calculations, select Edit >> Refresh Log on the Trade Activity Log menu when the Trade Activity tab is selected.

The Round Turn Commission value for a symbol has no effect on any other Profit/Loss values you see throughout the user interface in Sierra Chart. It only affects the Trade Statistics and the Trades tabs of the Trade Activity Log.

For further information, refer to Global Symbol Settings.

Profit/Loss (P/L) Format

This sets the format for Profit/Loss values displayed on the Trade Statistics, Trades, Period Trade Stats tabs on the Trade Activity Log. For descriptions for each of the formats, refer to Profit/Loss Format on the Chart Settings page.

When the selected symbol in the Symbol list on the Trade Activity Log is set to All Symbols, then this is automatically implied to be Currency Value and this setting does not have any effect on the Trade Statistics, Period Trade Stats tabs.

When a Profit/ Loss calculation is performed using Points-Ignore Quantity, it is performed using all of the order fills which make up the particular Profit/Loss value and the quantity is ignored and considered to be 1.

Therefore, when looking a Profit/Loss value on the Trade Statistics Tab, which consists of many trades and the total quantity of those trades, it will be different than the summation of the Profit/Loss values which also ignore quantity on the Trades Tab.

Date-Time of Trade Activity Log Entries

The Date-Time field in the Trade Activity Log is in the Global Time Zone setting.

All entries except for historical order fills downloaded from the trading server, in the Trade Activity Log are timestamped in UTC using your local computer clock. The computer time is converted to UTC time. Therefore, it is important that your computer's clock is set accurately. For more information, refer to help topic 38. These UTC Date-Times are converted to the Global Time Zone when they are displayed.

Historical order fills downloaded from the trading server are timestamped using the UTC timestamp with the fill itself.

Saving the Log

The Trade Activity Log data is automatically saved. To set the number of days saved in the Trade Activity Log between Sierra Chart sessions (a session is the time from when you start Sierra Chart to when you exit), select Global Settings >> General Trade Settings on the menu and set Number of Days to Save in Trade Activity Log >> Non-Sim | Sim to what you require. Non-Sim is for non-simulated trading and Sim is for simulated trading.

Saving too many days of data in the Trade Activity Log potentially could cause Sierra Chart to take longer to start. However, this actually depends upon the amount of data actually contained in the Trade Activity Log.

The Number of Days to Save in Trade Activity Log represents the number of days from today's current date. This means that Trade Activity data with a Date which is not older than today minus the number of days specified will be saved.

Simulated Order data and Fills are also included in the Trade Activity Log. If these are from a chart Replay and the dates in the chart you were replaying, are further back from the number of Days you are saving in the Trade Activity Log from the current date, then they will not be saved even if you just did a replay and simulated trading today. Replay Trade Activity is only saved if Global Settings >> General Trade Settings >> Save Replay / BackTest Trade Activity is enabled.

Saving to a Text File

Any of the tabs of the Trade Activity Log except for the Trade Statistics for Charts tab, can be saved to a text file. This data can be viewed in a text editor or opened in a Spreadsheet program including using File >> Open Spreadsheet from within Sierra Chart.

The fields in the text file are separated with a tab character. The Date-Times remain as they are currently displayed in the Trade Activity Log.

Follow these instructions to save the selected tab to a text file:

  1. Select the tab on the Trade Activity Log that you want to save. This can be either Trade Activity, Trade Statistics, Trades, Period Trade Stats, Trade Statistics for Charts.
  2. Only what is displayed on the tab is actually saved to the file. Therefore, use the filtering controls at the top of the Trade Activity Log, to display the data that you require to actually save, before saving the file. To save the Fill Activity, select the Trade Activity tab and make sure the Fills are displayed by selecting Fills or All Activity in the list box at the top of the window containing these options.
  3. Select File >> Save Log As on the Trade Activity Log menu.
  4. On the Save Trade Activity Log window, enter the file name in the Filename box and press Save.
  5. In the file, the fields along a line are separated by tab characters. Saving it to a file is useful to view it in a Spreadsheet for a more advanced view and special processing.
  6. You can open the saved Trade Activity log text file in Sierra Chart as a Spreadsheet by selecting File >> Open Spreadsheet. Change the File Type from "Sierra Chart Spreadsheet" to "Text Files". The files are located in the TradeActivityLogs subfolder. Select the file you have saved and press the Open button.

Printing A Saved Log File

If you have saved the log as explained in the Saving to a Text File section above, then you can print it by opening the log text file in a text editor such as Windows Notepad or Wordpad and printing it from that program.

Clearing Trade Activity Data

This section documents clearing simulated or non-simulated Trade Activity data from the Trade Activity Log. Data can be cleared for a particular symbol and a particular Trade Account or a combination of the two.

To quickly clear all the Simulated Order and Fill activity for all Symbols and all simulated Trade Accounts from the Trade Activity Log, select Trade >> Clear Trade Simulation Orders and Data on the main program menu.

Before clearing the Trade Activity data for a particular Symbol and/or Trade Account, you should also be aware that you can edit an entry/row in the Trade Activity tab in the Trade Activity Log by selecting that row and using Edit >> Edit Trade Activity Entry on the Trade Activity Log menu.

For step-by-step instructions to clear Trade Activity Data, follow the instructions below.

The reasons why you would want to clear the Trade Activity Log data for a particular Symbol and/or Trade Account is that you may not need the data any longer. Or, possibly the data has missing or inaccurate order fills, in which case you will want to start from a clean state at a particular point in time. Otherwise, the missing or inaccurate order fills will affect the values reported on the Trade Statistics, Trades, Trade Statistics for Charts tabs, and the Profit/Loss values within the chart and Trade DOM windows.

Note: Lines in the Trade Activity Log with a Date-Time that are older than the Number of Days to Save in Trade Activity Log setting in Global Settings >> General Trade Settings, will not be saved. When you restart Sierra Chart, Trade Activity data earlier than the Number of Days to Save in Trade Activity Log setting is not going to be restored. So this is a method by which the data can be limited and not accumulate past a certain number of days, in the Trade Activity Log.

  1. Open the Trade Activity Log by selecting Trade >> Trade Activity Log on the menu.
  2. Select the Trade Activity tab.
  3. In the list of Internal Order IDs at the top of the Trade Activity Log, select All Internal Order IDs .
  4. In the list of Symbols at the top, select the particular symbol you want to clear Trade Activity data for.

    The symbols for simulated trading activity are prefixed with [Sim].

    Select All Symbols (Non-Sim) to clear Trade Activity for all non-simulated symbols. Select [Sim]All Symbols to clear Trade Activity for all simulated symbols.
  5. In the list of Trade Accounts at the top, select the particular Trade Account you want to clear Trade Activity data for, or select All Accounts to clear Trade Activity for all Trade Accounts.
  6. The Date Range setting is not relevant. All Trade Activity data for the selected Symbol and Trade Account will be cleared.
  7. Select Edit >> Clear to clear the data. Press Yes to confirm.
  8. If you have cleared Non-Simulated (Live) Trade Activity, then you may want to disconnect from the trade server by selecting File >> Disconnect and reconnect by selecting File >> Connect to Data Feed.

    By reconnecting to the server, all of the available Non-Simulated (Live) order fills on the server will be re-downloaded and inserted into the Trade Activity Log if they currently are not there.

    Usually only 1 day of fills will be downloaded because that is all the trade server will have.

Column Widths and Font

The column widths of data on any of the tabs at the Trade Activity Log can be adjusted larger or smaller by left clicking on the boundary between the columns on the header and dragging to change the width. Refer to the image below.

All of the font properties of the Trade Activity Log text can be changed through the Global Settings >> Graphics Settings >> Font tab. The Text Windows font is what controls the font properties. For more information, refer to Fonts.

Trade Activity Fields

  • ActivityType: This can either be Order (all order details logged when there is a change with order Status) or Fill (all order details and trade statistics logged when there is a fill).

    When running a back test using Trade >> Auto Trade System Bar Based Back Test or Trade >> Auto Trade System Replay Back Test, Order activity is not logged to Trade Activity Log to improve performance and reduce memory use. If it is important to see Order activity, run a replay back test manually through the Chart >> Replay Chart window.
  • DateTime: The Date-Time of the Order update, Order Fill, Position update or Balance update. In the case of trading which is not from a replay or back test, this Date-Time is based upon your local computer clock.

    Otherwise, the time is from the Date-Time in the chart during the replay or back test at the point in time in which the order update or fill occurred. The format is: YYYY-MM-DD HH:MM:SS.MS. MS equals the true millisecond of the event. Although if necessary it will be incremented in order to create a unique timestamp for every Trade Activity Log entry to prevent entries having the same timestamp. It is incremented until a unique time is found.

    If an order fill has an incorrect timestamp or a slightly incorrect timestamp, then it may not match with the correct chart bar. It is important the computer's clock is set accurately. Refer to Help topic 38.
  • Symbol: The symbol of the order or order fill.
  • Order Action Source: In the case of a new order, this field indicates the source of the order. This would be the particular chart the order originated from (Symbol and Chart #). If the order is from an automated trading system, then this will specify the Automated Trading Study name.

    In cases other than a new order, when there is an update on the order or some action on the order, this will provide descriptive text indicating the source of the order update or the reason for the action on the order. In the case of non-simulated orders, this descriptive text may also include text from the connected Trading service. This information is very useful to determine the reason for the order update and any problems with an order.

    Descriptions for Order Action Source for Delayed Actions

    • Modifying of order is being delayed: This means an order modification has been submitted but it cannot be processed immediately because the order is in an Order Sent, Pending Open, Pending Modify, or Pending Cancel Status. It will be processed as soon as the Order Status returns to Open.
    • Canceling of order is being delayed: This means an order cancellation has been submitted but it cannot be processed immediately because the order is in an Order Sent, Pending Open, Pending Modify, or Pending Cancel Status. It will be processed as soon as the Order Status returns to Open.
    • Removed # prior delayed modifications due to later modification: This means there is already a pending modification on an order that has been queued to be submitted when possible, and another modification has been submitted. The prior pending modification has been removed and the latest one has replaced it.
    • Removed # prior delayed modifications due to order cancellation: This means there is already a pending modification on an order that has been queued to be submitted when possible, and an order cancellation has been submitted. The prior pending modification has been removed and the order cancellation has replaced it.
    • Delayed modification of order is being processed now: This means a pending modification on an order is now being processed.
    • Delayed canceling of order is being processed now: This means a pending cancellation on an order is now being processed.
    • Delayed modification of order is being ignored because there is no longer a quantity to submit: This means a pending modification is being ignored because it has been determined that the order quantity has now reached 0.

    Other Order Action Source Descriptions

    • [trading service name] Historical fills data (Restored) : This indicates an order fill inserted into the Trade Activity Log which was downloaded from the trade server upon connection to the server. These are inserted when order fills are not received in real-time. This indicates an order fill occurred when Sierra Chart was not connected to the server, had lost connectivity, or for some reason the server did not send the real-time notification of the order fill. What the reason for the lost connectivity is, the Trade Activity Log does not indicate that.

      Inserted order fills will not have the Order Type or Internal Order ID set. Only the necessary fields for an order fill are set.

      The insertion of an order fill does not affect the current Trade Position quantity. It also does not affect the Position Quantity field for other lines in the Trade Activity Log.
    • Canceling due to no order update | Internally marking as canceled. No order update from server.: When Sierra Chart connects to a Trading service server, it requests all of the Open orders for each of the Trade Accounts on the logged in username. If Sierra Chart has a non-simulated order in its order list with the status of Pending Child-Server, Pending Open, Open, Pending Modify, or Pending Cancel and this order is not in the list of Open orders sent by the Trading service, then it will be internally marked as canceled. What this means, is that it is simply set to a Canceled state within Sierra Chart. Sierra Chart does not cancel the order with the Trading service because the Trading service does not know about the order.
    • Internally modified order: This only applies to orders which have a Pending Child status. This means that the order modification was internally performed within Sierra Chart and not sent to the external trading service. Simulated orders will not be sent to the external trading service, but unless they have a Pending Child status, they will not show they are internally modified in the Order Action Source field when modified, even though they are internally modified.
    • Auto-order modification: This means an ACSIL (Advanced Custom Study Interface and Language) study modified the Price or Quantity of the order.
    • Notice - An overfill UpdateOrder call has occurred. Overfill Quantity: #. Total filled quantity: #. Order quantity: #: This means that an order fill has been received for the order and the prior filled quantity plus the quantity of the new order fill exceeds the most recently specified Filled Quantity of the order. The order fill was ignored in this particular case.
  • Internal Order ID: The Internal Order ID. The Internal Order ID of an order is the order number assigned to it by Sierra Chart.
  • Order Type: The order type. For example: Market, Limit, Stop, (others).
  • Quantity: The order quantity. When Activity Type is Fill the Quantity is the quantity of the individual fill for the order. Otherwise, this is the total quantity of the order.
  • BuySell: The side the order is on. This can be either Buy or Sell.
  • Price: The first price of the order, if it applies.
  • Price2: The second price of the order, if it applies.
  • Order Status: The Status of the order at the time it was logged in the Trade Activity Log. For complete descriptions of the different order statuses, refer to Order Status.
  • Fill Price: In the case when the Activity Type field is Order, this is the average fill price of all of the fills for the order, if there has been a fill. In the case of when the Activity Type is Fill, this is the price of the order fill itself, if that value is available from the Trading service.

    In the case of Trade Simulation Mode, since there are no partial fills, this will be the price of the single fill for the entire order.
  • Trade Account: When Sierra Chart is in Trade Simulation Mode, this will be the simulated account number which always begins with Sim. For orders that are sent the connected Trading service, this is the account identifier of the account the order is in.
  • Parent Internal Order ID: In the case of Order Activity or a Fill from an Attached Order, this is the Internal Order ID of the parent order.
  • OpenClose: This will be Open if the order fill is opening a Trade Position or increasing the quantity. It will be Close if the order fill is closing or reducing a Trade Position quantity. This is determined from the current Position Quantity for the Symbol and Trade Account at the time of the order fill.
  • FillExecutionServiceID : This is the unique ID for order Fills from an external trading service to uniquely identify the fill.
  • Position Quantity: This field indicates the current Trade Position Quantity after the fill occurred that existed at the time of an order fill or update on the order. Not all Trade Activity lines will contain a Position Quantity field.

    Use this field to determine what the current Trade Position Quantity is at any moment in time for each order fill and each order update. If the Trading server has changed the Trade Position Quantity, then this field will be updated as well but it will happen on an approximately 10 second delay.
  • High During Position: This field is for order fills, and is the highest price during the Trade Position which would existed at the time of the order fill. The highest and lowest prices during the Position are reset at every order fill. So this would be the high just before the reset.
  • Low During Position: This field is for order fills, and is the lowest price during the Trade Position which would existed at the time of the order fill. The highest and lowest prices during the Position are reset at every order fill. So this would be the low just before the reset.
  • Note: This contains the Text Tag which originates from the Trade Window for the order. In the case of an automated trading system this is a TextTag variable in the s_SCNewOrder structure.

Missing Order Fills from Trade Activity Log

Follow the instructions in the Viewing Historical Trade Activity section to view order fills. At the top of the Trade Activity Log, in the list which lists the Order Activity Types, set it to Fills to see only order fills.

When the settings at the top of the Trade Activity Log are set correctly including the Trade Account (control that lists Accounts) and the Date Range to Display settings, then all of the order fills which can be displayed based upon those settings, and are already stored by Sierra Chart will be displayed.

If you do not see the order fills you want to see, then they were never received in real-time by Sierra Chart from the trading server and Sierra Chart was not able to request them from the trading server. For additional information about this, refer to Automatic Insertion of Missing Order Fills For Non-Simulated Trading.

Additionally, to set the number of days of Trade Activity which are permanently saved in the Trade Activity Log between Sierra Chart sessions and are available for display, select Global Settings >> General Trade Settings on the menu. Set the Number of Days to Save in Trade Activity Log to what you require. There is a separate setting for non-simulated order activity and simulated order activity. For more information, refer to Number of Days to Save in Trade Activity Log.

To save Replay and BackTest Trade Activity between Sierra Chart sessions, enable Global Settings >> General Trade Settings >> Save Replay / BackTest Trade Activity.

In general, the only way to be assured all the time of Sierra Chart receiving an order fill is for the order to have been entered from Sierra Chart, and for Sierra Chart to be connected to your Trading service trading account at the time of the order fills. Otherwise, there are various conditions can cause the order fill not to be received by Sierra Chart.

The order fills need to have a correct timestamp when they are provided as historical fills and the time on the computer needs to be accurate for order fills received in real time. If the time on the computer is not accurately set, this can cause a condition where you can see a real-time received fill in the correct order in the Trade Activity Log but when the Trade Activity Log is refreshed, you will not see it in the same place because it will be moved to the correct location based on its actual Date-Time. However, the time on a computer would have to be significantly offer this to be an obvious problem. For information about setting the computer's Date-Time, refer to help topic 38.

Inserting Missing Order Fills

You can insert missing order fills by following the instructions below.

  1. Select Trade >> Trade Activity Log from the main menu.
  2. Select the Trade Activity tab.
  3. At the top of the Trade Activity Log, select All Activity.
  4. Follow the instructions in the Viewing Historical Trade Activity section to view the existing trading activity for the Symbol, Trade Account and Order Activity source.
  5. Select an existing order fill in the Trade Activity list, if you can find one. A fill is identified with Fill in the ActivityType field.
  6. Select the Edit >> Insert Trade Activity Entry command on the Trade Activity Log menu.
  7. Set all of the fields as required.
  8. Press OK.

Missing Trade Activity and Backup Trade Activity Log Files

If the trading activity you expect to see in the Trade >> Trade Activity Log >> Trade Activity tab, it is not displaying, then the very first step is to carefully follow through the instructions in the Viewing Historical Trade Activity section on this page to make sure the filter controls at the top of the Trade Activity Log are set to display the information that you require.

In almost all cases, this is the source of a problem of apparent missing data. However, keep in mind that only order and fill activity from orders entered and filled while Sierra Chart is running, is guaranteed to be in the Trade Activity Log.

Order and fill activity from trading performed outside of Sierra Chart, is not guaranteed to be in the log. Order fills which occurred when Sierra Chart is not running are not guaranteed to be in the log.

Another reason for missing Trade Activity data is because the Global Settings >> Number of Days to Save in Trade Activity Log settings have filtered out the data. Or an extremely unlikely condition is an error was encountered when writing data to the Trade Activity Log. At the time this occurs, a message will be added to the Trade >> Trade Service Log.

When Sierra Chart started, if your computer system Date is set into the future, this can also cause earlier data to be filtered out of the Trade Activity Log. The number of days filtered would depend upon the system Date setting and the setting of Global Settings >> Number of Days to Save in Trade Activity Log.

In a rare case, it is possible the Trade Activity Log could have become corrupted. When that is detected when Sierra Chart starts, the TradeActivityLog.Data file in the Sierra Chart installation folder is renamed to TradeActivityLog.Data.corrupt. The file is unlikely to have any usable information in it.

You can have also deliberately cleared trade activity for a particular Symbol and Trade Account and this is another reason for missing trade activity data.

Another reason for missing Trade Activity data that was previously in the Trade Activity Log would be if there has been a record field change from one version to the next and then you later downgraded Sierra Chart back to a prior version that could not read a newer field code. Although this is a rare and uncommon condition. In the rare cases this can happen, a solution will be implemented in a future release (before September 2018).

In the case of a corrupt Trade Activity Log file or for other reasons of missing Trade Activity data, you can restore a backup of the Trade Activity Log file which are maintained by Sierra Chart. Older versions of Sierra Chart do not maintain backups of the Trade Activity Log.

  1. Exit from Sierra Chart if it is running.
  2. Through your operating system file manager, go to the Backups folder in the Sierra Chart installation folder. The installation folder can be determined through Window >> Message Log near the top with the line beginning with Program path:. This usually will be C:\SierraChart\Backups.
  3. All the backups of the TradeActivityLog.Data file are prefixed with the day number of the month a backup was made on. Example: 28.TradeActivityLog.Data. Therefore, at most there will be backups for 30 different days.
  4. Make a copy of the most recent backup Trade Activity Log file or whatever #.TradeActivityLog.Data file you want to restore based upon the file modification Date-Time. You can look at the file modification Date-Time to see when the backup was made.
  5. Place a copy of the file into the main Sierra Chart folder and remove the number prefix from the beginning of it. You will need to rename or delete any existing TradeActivityLog.Data file to be able to do this.
  6. Start Sierra Chart.
  7. Go to the Trade >> Trade Activity Log to view the data in the backup file.

Automatic Insertion of Missing Order Fills For Non-Simulated Trading

For many of the supported Trading services, historical and non-simulated trading order fills are requested when Sierra Chart makes a connection to the remote data and trade servers (File >> Connect to Data Feed).

With some Trading services, this will also happen when you select Trade >> Refresh Trade Data from Service the menu.

In our experience, external Trading service servers usually maintain very limited history of order fills. Often just for the current trading day. At the end of the trading day, when the new trading session begins, they are usually cleared from the remote trading server. This is something to keep in mind.

Sierra Chart processes these historical order fills and inserts into the Trade Activity Log, any missing order fills received. If there are missing order fills inserted, the Trade Statistics, Trades, Period Trade Statistics tabs of the Trade Activity Log are rebuilt.

The Trade list in a chart, if the chart is maintaining a trade list and if the Symbol and Trade Account of the chart matches the symbol of the inserted order fills, is also rebuilt.

If the missing order fills are not available from the server and you are still missing order fills in the Trade Activity Log for a particular symbol, then you may want to follow the Clearing Trade Activity instructions for a symbol to reset the Trade Activity for that symbol back to a clean state.

Or the other possibility is to manually insert missing order fills with Edit >> Insert Trade Activity Entry on the Trade Activity Log menu.

For additional information about inserting Trade Activity entries, refer to Trade Activity Data Editing Menu Commands.

Determining Historical Trade Position Quantity from Trade Activity Log

At any historical point in time when there is order activity for a symbol, and in some cases when there is a connection to the trading server, you can determine the Trade Position Quantity for a symbol.

Refer to the Viewing Historical Trade Activity section on this page for instructions to set the Trade Activity tab to list trading activity for a specific Symbol, Trade Account and Date-Time range.

In the Trade >> Trade Activity Log >> Trade Activity tab there is a column named Position Quantity which indicates the Trade Position Quantity at every order update.

You may also see a line in the Trade Activity Log when connecting to the trading server which indicates the Internal Trade Position Quantity has been synchronized to the Service Position Quantity and it includes the Trade Position Quantity from the server at that point in time for the symbol. Example:

Order GC-201404-CME 2014-02-12 17:46:07.000 Synchronized Internal Position to current Service Position. Current Position quantity: 0

Trade Data Chart Studies

To view the Closed Profit/Loss historically on a chart, use the Trading: Closed Profit/Loss study on a chart of the same symbol that you want to view this for.

Providing Trade Activity Log Data to Support

Sometimes support will need to see the lines in the Trade Activity Log >> Trade Activity tab for an order or orders. Follow these instructions to provide this to Sierra Chart support.

  1. Select Trade >> Trade Activity Log on the menu.
  2. Select the Trade Activity tab. This is the first tab. This is the tab that we need to see data from.
  3. Select All Activity in the list box at the top. If Support specifically asked you for "Fills", then instead select Fills from this list box at the top.
  4. In the list of Symbols at the top of the Trade Activity Log, select the symbol of the order. Do not select All Symbols. Simulated trading has the prefix [Sim] in front of the symbol. For simulated order activity you will need to select the symbol with that prefix.
  5. In the list of Trade Accounts at the top of the Trade Activity Log, select the particular trade Account the order is for. In this particular case, you can select All Accounts if you are not sure of the account.
  6. In the Date Range to Display frame, make sure the From Date is set to the same day or earlier than the Order Activity that you want to view. Make sure that Today is checked. Press the Apply button.
  7. The relevant orders should now be displayed. Each order has multiple lines within the Trade Activity tab. The ordering is in time ascending order as long as Edit >> Descending Display Order is not selected.

    An order can be identified by its DateTime, Symbol, Internal Order ID, OrderType, and the other fields. These lines indicate the various statuses and other data for the order. Support needs to see all of the lines for a particular order or orders that you have a question about.
  8. Click on the first line in the list using your Pointer device for the first order or orders that you have an issue with. Press and hold the Shift key on your keyboard. Go to the last line for the order or orders you have an issue with and left click again. This will highlight the order lines. Release the Shift key.
  9. Select Edit >> Copy Selection on the menu.
  10. As an alternative you can just copy all of the data that is currently displayed in the Trade Activity Log. To do this, select Edit >> Copy All. It is preferred that you do not do this because it provides too much data.
  11. Go to your e-mail message or Support Board message, right-click and select Paste to paste a copy of the order activity.

Providing Trade Activity Log File to Support

If Sierra Chart Support has referred you to this section, then we want to get the entire Trade Activity Log file rather than a copy of some of the lines within the Trade >> Trade Activity Log window.

To provide Sierra Chart support the Trade Activity Log file, follow these instructions.

  1. Open the Message Log with Window >> Message Log. If the message log does not appear select Window >> Reset Windows. It will then appear.
  2. Scroll to the top of the Message Log.
  3. You will see a line like the following: Program path: C:\SierraChart\ | (date-time). You will need this for the next step.
  4. Navigate through your operating system file manager window, to that folder in the prior step which in this case is C:\SierraChart\.
  5. Locate the file TradeActivityLog.Data.
  6. Copy this file and provide it to Sierra Chart support either as a Support Board attachment or as an email attachment. In the case of the Support Board, the file can be made private, so only Sierra Chart support has access to it. It will be private by default.
  7. Optional: In the Backups folder in the folder that Sierra Chart is installed to on your computer system, there are backups of the TradeActivityLog.Data file. There is one for each day of the month. The operating system timestamps these files so you can look at the file modification date to know when one of these files was last saved. Also, the beginning of the filename will be the day number of the month that it was saved. So if necessary, a backup TradeActivityLog.Data file can be provided to Sierra Chart support.

Profit/Loss Calculations and Symbol Settings

Profit/Loss calculations and the display format for Price values in the Trade Activity Log, rely on the Symbol Settings in Global Settings >> Symbol Settings. These settings include the Value Format, Tick Size, and Currency Value Per Tick. These need to be set correctly for the symbol. If the Global Settings >> Symbol Settings change for a particular symbol, you need to reapply the settings in the Trade Activity Log. This can be done by going to the Trade Activity tab in the Trade Activity Log and selecting the Edit >> Refresh Log command.

The same symbol settings that you see in the Chart >> Chart Settings window have no affect on the Trade Activity Log in any way. Those are specific for the individual chart only.

Importing and Exporting Data

It is supported to export and import data on the Trade Activity tab of the Trade >> Trade Activity Log.

The visible contents of the Trade Activity tab can be exported/saved to a tab delimited text file.

The Order Fills from this text file can be later imported into the same or different installation of Sierra Chart. Only the Order Fills from this text file will be imported. Lines in the file where the ActivityType is "Order" will not be imported. Also, duplicate Order Fills will be ignored. More details about this are explained below.

The Date-Times of the exported order fills will be in the UTC time zone. If you do not want to import this data, and you want the Date-Times in the global time zone setting you have Sierra Chart set to, then instead use Saving to a Text File.

If you are running multiple automated trading system back tests for the same Symbol and Trade Account, and want to export this data and later import it, it is recommended for each back test, you use a different Trade Account to keep these tests separate from each other. Refer to Selecting Trade Account.

Follow the instructions below:

  1. To export the Trade Activity data, select Trade >> Trade Activity Log on the main window menu.
  2. Select Trade Activity tab at the top of the Trade Activity Log window.
  3. Follow the Viewing Historical Trade Activity instructions to display the order fills that you want to export.
  4. On the Trade Activity Log window select File >> Export.
  5. Enter a File Name and press the Save button. The data is exported to the specified file. Any error message related to the export will be displayed in Window >> Message Log.
  6. To import the data which was previously exported with the Export command, select File >> Import on the Trade Activity Log menu.
  7. Select the file and press Open.

    The Order Fills will be imported and duplicates will be ignored. It is important to understand how a duplicate is determined. A duplicate is solely determined based upon the Fill Execution Service ID field. If another order fill in the Trade Activity Log with the same identifier is encountered, then this imported order fill will be discarded and not imported.

    Any error message related to the import will be displayed in Window >> Message Log.

Trade Statistics Tab

Overview

The Trade Statistics tab displays various statistics which are documented in the Trade Statistics Fields Descriptions section, for All Trades, Long Trades, Short Trades and Daily Trades.

This statistics information is based upon the order fills currently displayed on the Trade Activity tab. The information does not update dynamically unless there is a new order fill added to the Trade Activity tab.

Basic Instructions

To use the Trade Statistics tab, follow these instructions:

  1. Select Trade >> Trade Activity Log on the main menu to open or go to the Trade Activity Log.
  2. Select the Trade Activity tab and from the list box at the top containing the Activity Types, select either Fills or All Activity.
  3. At the top of the Trade Activity Log, select the Symbol that you want to view Trade Statistics for, from the list of symbols. If you want Trade Statistics for all symbols there is Trade Activity data for, then select All Symbols for non-simulated trading, or [Sim] All Symbols for simulated trading while using Trade Simulation Mode.

    For trading statistics for trades made while Trade >> Trade Simulation Mode On is checked, you must select the symbol that has [Sim] in front of it. If you do not see the symbol with [Sim] in front of it, then this means there is no simulated order activity for the symbol available.
  4. In the list of Trade Accounts, select the Trade Account that you want Trade Statistics for. For simulated trading, you must select a Sim# Trade Account.
  5. In the Date Range to Display and Commission frame at the top, select the period of time that you want the Trade Statistics for. Press the Apply button after changing any of the controls related to the Date Range to Display. It is important to understand that the very first fill displayed is going to be considered the start of a new Trade Position and an entry fill.

    It is very important to understand that Trade Statistics can only be calculated from order fills that Sierra Chart has and you see listed on the Trade Activity tab. You are able to control how many days of data Sierra Chart stores Trade Activity for by selecting Global Settings >> General Trade Settings. Set the Number of Days to Save in Trade Activity Log to what you require. There is a separate setting for Non-Simulated (Live) data and Simulated data.
  6. Choose the Profit/Loss display format that you require from the P/L list box. Note: If you have selected All Symbols from the symbol list box, then the profit/loss setting is ignored and the profit/loss values will always be Currency Value.
  7. After you have completed these steps, select the Trade Statistics tab, if it is not already selected, to see the trade statistics based upon the settings you have set at the top of the Trade Activity Log.

Trade Statistics Fields Descriptions

The trade statistics are displayed in a group of rows and columns. The columns break the statistics out into the following groups:

  • All Trades: All long and short trades that match the filter conditions selected at the top of the Trade Activity Log are included in this column.
  • Long Trades: All long trades that match the filter conditions selected at the top of the Trade Activity Log are included in this column.
  • Short Trades: All short trades that match the filter conditions selected at the top of the Trade Activity Log are included in this column.
  • Daily Trades: All long and short trades, that match the filter conditions selected at the top of the Trade Activity Log and are contained within the last Date of the fills, are included in this column. The starting time of the date of the last fill starts at the Date Range to Display >>From >> Time setting at the top of the Trade Activity Log window. Therefore, all fills including those closing out trades in prior days, that have the same date as the last fill on the Trade Activity tab and are after the starting time are included in the Daily statistics.

The first two rows provide the following information:

  • Symbol: The selected symbol used for the report is displayed. This can be All Symbols if the Trade Statistics report is for all symbols there is order fill data available for.
  • First Fill: The Date/Time of the first fill included in the report.
  • Last Fill: The Date/Time of the last fill included in the report.
  • Daily Date: The Date used for the Daily Trades column.

The following statistics are provided:

  • Closed Trades Profit/Loss: Total profit or loss for all closed trades.
  • Closed Trades Total Profit: Total profit for all winning trades.
  • Closed Trades Total Loss: Total loss for all losing trades.
  • Profit Factor: Profit factor is the ratio of Closed Trades Total Profit over Closed Trades Total Loss.
  • Equity Peak: Highest closed equity value at any point during the sequence of all closed trades.
  • Equity Valley: Lowest closed equity value at any point during the sequence of all closed trades.
  • Maximum Runup: From the lowest valley in the profit, to the highest peak in the profit, the difference of these two. In other words, the highest peak in the profit minus the lowest previous valley in the profit. If this field is not accurate, then refer to the Notes about Runup, Drawdown, Maximum Open Position Profit/Loss fields section.
  • Maximum Drawdown: The largest peak to valley loss over the sequence of trades. If this field is not accurate, then refer to the Notes about Runup, Drawdown, Maximum Open Position Profit/Loss fields section.
  • Maximum FlatToFlat Trade Open Profit: Largest Runup among the individual Flat to Flat Trades that the Trade Statistics are for. The Trades can be viewed on the Trades tab.
  • Maximum FlatToFlat Trade Open Loss: Largest Drawdown among the individual Flat to Flat Trades that the Trade Statistics are for. The Trades can be viewed on the Trades tab.
  • Average Trade Open Profit: The Trades can be viewed on the Trades tab.
  • Average Trade Open Loss: The Trades can be viewed on the Trades tab.
  • Average Winning Trade Open Profit: The Trades can be viewed on the Trades tab.
  • Average Winning Trade Open Loss: The Trades can be viewed on the Trades tab.
  • Average Losing Trade Open Profit: The Trades can be viewed on the Trades tab.
  • Average Losing Trade Open Loss: The Trades can be viewed on the Trades tab.
  • Maximum Trade Open Profit: The maximum open profit reached in individual Trades that the Trade Statistics are for. The Trades can be viewed on the Trades tab. If this field is not accurate, then refer to the Notes about Runup, Drawdown, Maximum Open Position Profit/Loss fields section.
  • Maximum Trade Open Loss: The maximum open loss reached in individual Trades that the Trade Statistics are for. The Trades can be viewed on the Trades tab. If this field is not accurate, then refer to the Notes about Runup, Drawdown, Maximum Open Position Profit/Loss fields section.
  • Highest Price During Positions: This is the highest price the symbol traded at during the duration of all of the Trade Positions the Trade Statistics are for.
  • Lowest Price During Positions: This is the lowest price the symbol traded at during the duration of all of the Trade Positions the Trade Statistics are for.
  • Total Commissions: Total of all commissions for trades.
  • Total Trades: Total number of trades.
  • Total FlatToFlat Trades: Total number of Flat to Flat trades. In this case a trade is considered going from a flat position, to a nonzero position and back to a flat position again.
  • Total Filled Quantity: Total of the quantities of all orders making up all trades.
  • Percent Profitable: Percent of trades that are profitable.
  • Winning Trades: Number of winning trades. A winning trade is simply a trade that has a positive profit or zero profit.
  • Winning FlatToFlat Trades: Number of winning Flat to Flat trades. In this case a trade is considered going from a flat position, to a nonzero position and back to a flat position again. A winning trade is simply a trade that has a positive profit or zero profit.
  • Losing Trades: Number of losing trades. A losing trade is simply a trade that has a loss.
  • Losing FlatToFlat Trades: Number of losing Flat to Flat trades. In this case a trade is considered going from a flat position, to a nonzero position and back to a flat position again. A losing trade is simply a trade that has a loss.
  • Long Trades: Number of long trades.
  • Long FlatToFlat Trades: Number of long Flat to Flat trades. In this case a trade is considered going from a flat position, to a nonzero position and back to a flat position again.
  • Short Trades: Number of short trades.
  • Short FlatToFlat Trades: Number of short Flat to Flat trades. In this case a trade is considered going from a flat position, to a nonzero position and back to a flat position again.
  • Average Trade Net Profit: Average net profit per trade.
  • Average FlatToFlat Trade Net Profit: Average net profit per Flat to Flat trade.
  • Average Winning Trade: Average profit for winning trades.
  • Average FlatToFlat Winning Trade: Average profit for winning Flat to Flat trades.
  • Average Losing Trade: Average loss for losing Flat to Flat trades.
  • Average FlatToFlat Losing Trade: Average loss for losing trades.
  • Average Profit Factor: Average profit factor is ratio of average trade profit over average trade loss.
  • Average FlatToFlat Profit Factor: Average Flat to Flat profit factor is ratio of average trade profit over average trade loss.
  • Largest Winning Trade: Profit for largest winning trade.
  • Largest FlatToFlat Winning Trade: Profit for largest Flat to Flat winning trade.
  • Largest Losing Trade: Loss for largest losing trade.
  • Largest FlatToFlat Losing Trade: Loss for largest a href = "#OrderFillMatchingMethods">Flat to Flat losing trade.
  • Largest Winner % Of Profit: Largest winning trade profit as a percentage of total profit.
  • Largest FlatToFlat Winner % Of Profit: Largest Flat to Flat winning trade profit as a percentage of total profit.
  • Largest Loser % Of Loss: Largest losing trade loss as a percentage of total loss.
  • Largest FlatToFlat Loser % Of Loss: Largest Flat to Flat losing trade loss as a percentage of total loss.
  • Max Consecutive Winners: Maximum number of Consecutive Winning trades.
  • Max Consecutive Losers: Maximum number of Consecutive Losing trades.
  • Average Time In Trades: Average time in trades.
  • Average Time In Winning Trades: Average time in a winning trade.
  • Average Time In Losing Trades: Average time in a losing trade.
  • Longest Held Winning Trade: Longest time held for winning trades.
  • Longest Held Losing Trade: Longest time held in losing trades.
  • Total Quantity: Total quantity/shares for all combined trades.
  • Winning Quantity: Total quantity/shares for all winning trades.
  • Losing Quantity: Total quantity/shares for all losing trades.
  • Average Quantity Per Trade: Average quantity/shares per trade for all trades.
  • Average Quantity Per FlatToFlat Trade: Average quantity/shares per Flat to Flat trade for all trades.
  • Average Quantity Per Winning Trade: Average quantity/shares per trade for all winning trades.
  • Average Quantity Per FlatToFlat Winning Trade: Average quantity/shares per trade for all winning Flat to Flattrades.
  • Average Quantity Per Losing Trade: Average quantity/shares per trade for all losing trades.
  • Average Quantity Per FlatToFlat Losing Trade: Average quantity/shares per trade for all losing Flat to Flat trades.
  • Largest Trade Quantity: Largest quantity of any trade.
  • Largest FlatToFlat Trade Quantity: Largest quantity of any Flat to Flat trade.
  • Maximum Open Position Quantity: This is the maximum open Position Quantity reached at any point in time during the period of the Trade Statistics.
  • Last Trade Profit / Loss: The Profit/Loss of the last completed Trade. This refers to the last completed fill to fill Trade.

If there are currently open Trades as shown on the Trades tab, then the following Trade Statistics are provided which are up to date according to the last fill. It is possible there are multiple open Trades and these Trade Statistics apply to all of those open Trades.

  • Number of Open Trades: Number of currently open Trades as listed on the Trades tab.
  • Open Trades Open Quantity: The total quantity currently open among the Trades that are currently open. Keep in mind that when using Flat to Flat Order Fill Grouping, that the open quantity within that Trade may be less than the maximum quantity during the life of that Trade.
  • Open Trades Average Entry Price: Average entry price for the open Trades.

Trades Tab

Overview

The Trades tab of the Trade Activity Log, displays various fields detailing Trades made.

A Trade is defined as a fill or fills which increases the Trade Position quantity for a symbol and an offsetting fill or fills which reduces the Trade Position back to the previous Trade Position quantity or takes the Trade Position back to flat. This will be considered 1 Trade.

The Trades are derived from the individual order fills based upon the selected Symbol, Days Range to Display, Trade Account , and the other settings at the top of the Trade >>Trade Activity Log. You can see the individual fills by selecting the Trade Activity tab of the Trade Activity Log and selecting Fills at the top left of the log.

The order fills must be in the Trade Activity Log for the particular Trades you want to see. If they are not, then refer to Missing Order Fills.

Basic Instructions

To use the Trades tab, follow these instructions:

  1. Select Trade >> Trade Activity Log on the main menu to open or go to the Trade Activity Log.
  2. Select the Trade Activity tab and from the list box at the top containing the Activity Types, select either Fills or All Activity.
  3. Select the Trades tab
  4. At the top of the Trade Activity Log, select the Symbol that you want to view Trades for, from the list of symbols. If you want Trades for all symbols there is Trade Activity data for, then select All Symbols for non-simulated trading or [Sim] All Symbols for simulated trading while using Trade Simulation Mode.

    To view Trades while Trade >> Trade Simulation Mode On is checked, you must select the symbol that has [Sim] in front of it. If you do not see the symbol with [Sim] in front of it, then this means there is no simulated order activity for the symbol available.
  5. In the list of Trade Accounts, select the Trade Account that you want Trades for. For simulated trading, you must select a Sim# Trade Account.
  6. In the Date Range to Display and Commission frame at the top, select the period of time that you want the Trades for. Press the Apply button after changing any of the controls related to the Date Range to Display. It is important to understand that the very first fill displayed is going to be considered the start of a new Trade Position and an entry fill.

    It is very important to understand that Trades can only be calculated from order fills that Sierra Chart has and you see listed on the Trade Activity tab. You are able to control how many days of data Sierra Chart stores Trade Activity for by selecting Global Settings >> General Trade Settings. Set the Number of Days to Save in Trade Activity Log to what you require. There is a separate setting for Non-Simulated (Live) data and Simulated data.
  7. Choose the Profit/Loss display format that you require from the P/L Format list box.

Flat to Flat Trade Display

It is supported to display a summary of individual sub trades from a flat position and back to a flat position, as a single line. In this case, the Entry Price and Exit Price fields are weighted average prices.

To enable this display mode select the Trades tab on the the Trade Activity Log and enable Edit >> Flat to Flat Display for Trades List on the Trade Activity Log menu.

Flat to Flat Trade Display

It is supported to display a summary of individual sub trades from a flat position and back to a flat position, as a single line. In this case, the Entry Price and Exit Price fields are weighted average prices.

To enable this display mode select the Trades tab on the the Trade Activity Log and enable Edit >> Flat to Flat Display for Trades List on the Trade Activity Log menu.

Reversing Display Order

It is supported to reverse to display order of the individual trades on the Trades tab of the Trade Activity Log in a time descending order.

To enable this display mode select the Trades tab on the the Trade Activity Log and enable Edit >> Descending Display Order on the Trade Activity Log menu.

Reversing the display order on the Trades tabs not supported when Edit >> Flat to Flat Display for Trades List is enabled.

Trades Fields Descriptions

Symbol

The symbol of the trade.

Trade Type

This is either Long or Short based on the initial direction of the first fill of the trade.

Entry Date Time

The Date-Time of the opening fill of the trade.

Where a Trade starts a new Position from a quantity of 0, BP (Begin Position) will be displayed after the Date-Time.

Exit Date Time

The Date Time of the closing fill of the trade.

Where a Trade ends a Position resulting in a Position quantity of 0, EP (End Position) will be displayed after the Date-Time.

Entry Price

The fill price of the entry fill in the trade.

Exit Price

The fill price of the exit fill in the trade.

Trade Quantity

The quantity of the trade.

Maximum Open Quantity

This is the maximum Position Quantity that existed during the life of the Trade.

Maximum Closed Quantity

When a Trade is closed, the Maximum Closed Quantity for an open trade is incremented by the quantity of that Trade. It is also incremented when the Trade itself is closed by its own Trade quantity. So it represents the quantity of other trades closed during its existence and its own quantity.

Profit/Loss

This is the profit/loss for the Trade. This is not set until the Trade is closed. The format is controlled through the Profit/Loss (P/L) Format setting at the top of the Trade Activity Log.

Symbol Profit/Loss

This is the summation of profit/loss for the Trades for a particular Symbol in Trade Account up to and including the current Trade. This calculation only includes those Trades for the same Symbol and Trade Account.

So it is tracked individually for a particular Symbol and Trade Account unique pair even if the Trades list is set to display All Symbols and/or All Accounts.

This field is only set when a Trade is closed.

If you want to see the total Profit/Loss of all trades for all Symbols and all Trade Accounts being listed on the Trades tab, then you need to look at the Total: at the end of the Trades list under the Profit/Loss column.

Or refer to the Total Profit/Loss for Closed Trades field on the Trade Statistics tab.

Flat to Flat Profit/Loss

This is the running summation of profit/loss for all Trades starting from the Trade that established a new Position from a zero Position Quantity up to and including the current Trade. So it resets every time the position quantity goes back to 0.

This field is only set when a Trade is closed.

Entry Efficiency

A percentage between 0 and 100% identifying the entry price relative to the price range of a Flat to Flat trade.

If there is only one entry and one exit during a Position, then this will always be 100%. In other words, the very first entry for a new Position will have an Entry Efficiency of 100%.

For example, for a long trade, buying the low tick of the price range that existed during the Trade will be 100% entry efficiency.

The Entry/Exit/Total efficiency calculations are based on the range of the instrument while in the trade (Maximum and minimum price while the Position is open). Most simple definitions use Minimum price, maximum price, entry price and exit price for a single trade of Quantity 1.

Exit Efficiency

A percentage between 0 and 100% identifying how close the exit price came to being the perfect price based on the price range of the symbol being traded, during the duration of the Trade. For example, for a long trade, selling the high tick of the price range that existed during the Trade will be 100% exit efficiency.

The calculation is as follows Denominator = FlatToFlatMaximumOpenPositionProfit - FlatToFlatMaximumOpenPositionLoss.
ExitEfficiency = (Denominator == 0) ? 0.0 : (ClosedProfitLoss + Commission - FlatToFlatMaximumOpenPositionLoss) / Denominator.

Total Efficiency

A percentage between -100% and +100% identifying how close the entry and exit prices came to being perfect prices based on the price range of the symbol being traded, during the duration of the Trade. This value represents the amount of the price range during the duration of the Trade, that the Trade was able to capture.

The calculation is as follows Denominator = FlatToFlatMaximumOpenPositionProfit - FlatToFlatMaximumOpenPositionLoss
TotalEfficiency = (Denominator == 0) ? 0.0 : (ClosedProfitLoss + GetCommission) / Denominator.

Maximum Open Profit

This is the maximum profit that the Trade experienced at any moment during the life of the Trade. Also known as Maximum Favorable Excursion. This value will be 0 until the Trade is closed with an opposing fill.

The calculation is based on the High/Low Price While Open Trades list fields for the Trade.

If this field is not accurate, then refer to the Notes about Runup, Drawdown, Maximum Open Position Profit/Loss, Entry Efficiency, Exit Efficiency, Total Efficiency fields section.

Maximum Open Loss

This is the maximum loss that the Trade experienced at any moment during the life of the Trade. Also known as Maximum Adverse Excursion. This value will be 0 until the Trade is closed with an opposing fill.

The calculation is based on the High/Low Price While Open Trades list fields for the Trade.

If this field is not accurate, then refer to the Notes about Runup, Drawdown, Maximum Open Position Profit/Loss, Entry Efficiency, Exit Efficiency, Total Efficiency fields section.

Flat to Flat Maximum Open Profit

In the case of trading where there is more than one entry during a Flat to Flat Position, then this field is going to be different to Maximum Open Profit.

When a new sub trade during a Flat to Flat trade is opened, the Flat to Flat Profit from the prior closed sub trades is added to the Flat to Flat Maximum Open Profit field for the new sub trade.

After this, whenever an individual Trade is closed, this field for that particular Trade and this field for any other currently open Trades, is incremented by the Maximum Open Profit of the closed Trade. This profit also considers the quantity of the Trade. This lets you analyze the maximum profit which was experienced at a particular Trade which was currently open at any moment in time during a larger Flat to Flat Trade.

This field only indicates the summation of the Maximum Open Profit for the individual Trade itself and any other trades which were closed during the life of that Trade. It does not indicate the Maximum Open Profit of all of the Trades from a Flat to Flat position. Only those sub Trades which existed during the life of the Trade itself.

This field only indicates the summation of the Maximum Open Profit for the individual Trade itself and any other trades which were closed during the life of the that Trade and any other prior closed profit from previously closed trades in the overall Flat to Flat trade. It does not indicate the Maximum Open Profit of all of the Trades during a Flat to Flat position.

If this field is not accurate, then refer to the Notes about Runup, Drawdown, Maximum Open Position Profit/Loss, Entry Efficiency, Exit Efficiency, Total Efficiency fields section.

Flat to Flat Maximum Open Loss

In the case of trading where there is more than one entry during a Flat to Flat Position, then this field is going to be different to Maximum Open Loss.

When a new sub trade during a Flat to Flat trade is opened, the Flat to Flat Loss from the prior closed sub trades is added to the Flat to Flat Maximum Open Loss field for the new sub trade.

After this, whenever an individual Trade is closed, this field for that particular Trade and this field for any other currently open Trades, is incremented by the Maximum Open Loss of the closed Trade. This loss also considers the quantity of the Trade. This lets you analyze the maximum loss which was experienced at a particular Trade which was currently open at any moment in time during a larger Flat to Flat Trade.

This field only indicates the summation of the Maximum Open Loss for the individual Trade itself and any other trades which were closed during the life of that Trade and any other prior closed loss from previously closed trades in the overall Flat to Flat trade. It does not indicate the Maximum Open Loss of all of the Trades during a Flat to Flat position.

If this field is not accurate, then refer to the Notes about Runup, Drawdown, Maximum Open Position Profit/Loss, Entry Efficiency, Exit Efficiency, Total Efficiency fields section.

Notes about Runup, Drawdown, Maximum Open Position Profit/Loss, Entry Efficiency, Exit Efficiency, Total Efficiency fields

Runup, Drawdown, Maximum Open Position Profit/Loss, Entry Efficiency, Exit Efficiency, Total Efficiency are based upon the market data prices for the symbol, that occurred during the life of the Trade.

The highest and lowest market data prices are recorded by Sierra Chart when connected to the data feed or when replaying a chart, for the order fills which make up the Trade, during the life of the Trade. If these values are inaccurate or zero, it will result in inaccurate calculations or zero values.

For each order fill these values are on the Trade Activity Tab and are High During Position and Low During Position. For an order fill when the prior Position Quantity was 0, these will be 0.

For each trade on the Trades tab, there are the High Price While Open and Low Price While Open fields which are used to calculate the Maximum Open Position Profit/Loss, Entry Efficiency, Exit Efficiency, Total Efficiency values. If those two prices are not as expected, then that is the reason for the incorrect value or values. These particular fields are based upon the High During Position and Low During Position fields for the order fills on the Trade Activity tab.

If you are performing simulated trading and a Trade has been open both during a chart replay and during real-time chart updating, this can definitely cause an inaccuracy with the Runup, Drawdown, Maximum Open Position Profit, Maximum Open Position Loss calculations.

There are also the Highest Price During Positions and the Lowest Price During Positions fields on the Trade Statistics tab. These represent the highest high and lowest low market data recorded values for all of the Trades that are displayed in the Trades tab.

When using the Order Fill Calculated Trade Positions, the Highest/Lowest Price During Positions and the High Price While Open and Low Price While Open fields will be zero, meaning that the Trades fields which rely on them will be 0.

In the case of non-simulated trading, Sierra Chart must be connected to the data feed to update the High Price While Open and Low Price While Open fields. It is important to be on a current version of Sierra Chart, 1798 or later, to ensure these values are always being updated even when a chart is not open for the symbol.

Commission

This is the total commission for the Trade. The round turn commission is multiplied by the quantity for the Trade.

To use a commission, refer to Use Commission.

High Price While Open

This is the highest price traded for the symbol during the life of the individual Trade. This refers to the trading activity in the symbol itself from the data feed.

Low Price While Open

This is the lowest price traded for the symbol during the life of the individual Trade. This refers to the trading activity in the symbol itself from the data feed.

Note

This is the Note which has been specified for the entry order. To set a Note, refer to Text Tag.

This is used to label individual Trades to categorize and identify them. You are able to display only those Trades containing a specific Note, by choosing a particular note from the list box at the top of the Trade Activity Log containing the notes.

Open Position Quantity

At the time a Trade is established through an entry fill, this field is the Position Quantity at that time which also includes that new order fill establishing that particular Trade.

Close Position Quantity

At the time a Trade is closed through an exit fill, this field is the Position Quantity at that time which also includes that new order fill closing that particular Trade.

Period Trade Stats Tab

Overview

The Period Trade Stats tab of the Trade Activity Log calculates and displays various trading statistics fields for the general time period specified for the selected Symbol, Trade Account, and the other settings at the top of the Trade Activity Log.

The Time Period does not specify a specific Date-Time range. Instead the trade statistics repeat for each Time Period based upon the time range of the order fill data available.

For example, if you select Daily, then for each day there is order fill data available for, you will see trading statistics for each of those days.

Basic Instructions

Select the trades you are interested in by following the Basic Instructions for the Trades tab.

Use the list box at the top of the Trade Activity Log containing the various supported periods to select the period to display. The choices are: Period - None, Hour of Day, Half Hour of Day, Day of Week, Month of Year, Daily, Weekly, Monthly.

Period Trade Stats Fields Descriptions

  • Period: This is the starting time, day of week, month or date the statistics are for. The statistics are based on completed Trades. A Trade will fit into a particular period according to its Entry time.
  • Running P/L: This is the running or cumulative profit/loss of Trades accumulated across each period as you move down through the rows for each period.
  • Profit/Loss: This is the profit/loss for all Trades within the period.
  • Gross Profit: This is the total profit of all winning Trades within the period.
  • Gross Loss: This is the total loss of all losing Trades within the period.
  • Num Trades: The number of Trades within the period.
  • % Winners: The precentage of Trades that were winners within the period.
  • Avg Trade: Average net profit per Trade within the period.
  • Avg Winner: Average profit for winning Trades within the period.
  • Avg Loser: Average loss for losing Trades within the period.
  • Largest Winner: Profit for largest winning Trade within the period.
  • Largest Loser: Loss for largest losing Trade within the period.
  • Drawdown: Drawdown across the Trades within the period.
  • Runup: Runup across the Trades within the period.
  • % Of Trades: Number of Trades in this period over the total Trades across all periods.

Trade Statistics (Stats) for Charts Tab

The data displayed on the Trade Statistics for Charts tab is calculated from the order fills in the Trade >> Trade Activity Log. In the case of non-simulated trading, for the Trade Statistics for Charts tab fields to be accurate, there needs to be a complete set of order fills for the Symbol and Trade Account being traded for the period of time you want to view the statistics for and start Date-Time of the calculations needs to be set correctly. If there is any inaccuracy, then refer to the Solving Inaccurate Trade Statistics for Charts Field Values section.

The Trade Statistics for Charts tab of the Trade >> Trade Activity Log window displays various trading statistics data for the current Trade Position and for the Closed Trades, for charts which are maintaining their own internal Trades list.

Charts that are in Chart Trade Mode, charts that have a Trade Window open, charts with trading related studies, and Trade DOM chart windows will maintain their own internal Trades list from the order fills for the Symbol and Trade Account of the chart.

The Trade Statistics for Charts tab provides a centralized view of the trading data, for all symbols you are currently trading and have charts or Trade DOM windows open for.

The Trade Statistics for Charts tab displays either non-simulated or simulated trading data, but not both.

When Trade >> Trade Simulation Mode On is checked, then the Trade Statistics for Charts tab will display simulated trading data only.

When Trade >> Trade Simulation Mode On is unchecked, then the Trade Statistics for Charts tab will display non-simulated trading data only.

In the case of simulated trading which is simulated within Sierra Chart, the Trade Statistics for Charts tab is the only way to see the current Trade Positions outside of the charts themselves.

The Positions tab of the Trade Orders and Positions window contains non-simulated Trade Positions data only.

The order fills that are within the Trades list start at the Chart >> Chart Settings >> Advanced Settings >> Order Fills Start Date-Time setting or if this is not set, there are other rules which control the starting Date-Time of the order fills loaded into the Trades list in a chart. For complete details, refer to Order Fills Start Date-Time.

In the case of non-simulated trading, the list of order fills held in the Trade Activity Log is from order fills received in real-time and also downloaded from the trade server upon connection to the server. Typically trade servers only carry order fills for the current trading day.

Therefore, there is a good probability, that the information displayed in the Trade Statistics for Charts tab over time is not going to be accurate. Therefore, there is a solution to this. Refer to Solving Inaccurate Trade Statistics for Charts Field Values.

You are able to control the number of days of Trade Activity and order fill data to store in the Trade Activity Log through Global Settings >> General Trade Settings >> Number of Days to Save in Trade Activity Log. There are several related settings available for this.

On the Trade Statistics for Charts tab, there will only be one line for each Symbol, Trade Account, Order Fills Start Date-Time, Non-Simulated/Simulated, Replaying/Not Replaying, unique combination.

For description of all of the fields, refer to Trade Statistics Fields Descriptions. The fields are a subset of the fields that you see on the Trade Statistics tab of the Trade Activity Log.

The data is based upon all of the Trades, both Long and Short which have been completed and are also still Open. Not just the current Daily trades.

Setting the Profit/Loss Format

To set the format for the Profit/Loss values displayed on the Trade Statistics for Charts tab, select the format you want from the Profit/Loss list box at the top of the Trade Activity Log window. For a description of the various formats, refer to Profit/Loss Format on the Chart Settings documentation page.

For the Profit/Loss Totals for the lines in the Trade Statistics for Charts tab, the totals are always provided as a Currency Value . This is necessary because the totals are calculated across different symbols.

Open Profit/Loss Calculation And Update Interval

The Trade Statistics for Charts tab of the Trade Activity Log updates every 3 seconds. It does not update at the same time as the Trade Windows belonging to charts. Therefore, you can notice a difference with the Open Profit/Loss value for a Symbol and Trade Account compared to the Trade Window for the chart because they are updating at different points in time. They are not synchronized with each other.

The Open Profit/Loss can be calculated against the last trade price or the Bid or Ask depending upon whether the Position is Long or Short. This is controlled by the Use Bid/Ask for Open Profit/Loss Calculations setting.

Solving Inaccurate Trade Statistics for Charts Field Values

If any of the displayed field values on the Trade Statistics for Charts tab for a particular Symbol and Trade Account are not correct, for example an incorrect Open Quantity for the current Trade Position, then this is caused by missing order fills for the Symbol and Trade Account of the chart or an incorrect Order Fills Start Date-Time setting.

It is essential to understand how these calculations are done. For an understanding of how the Open Quantity field is calculated as well as all of the other fields, refer to Open Quantity Field Calculation Method. The most relevant field is the Open Quantity because that gives you a clear indication of the current Open Position Quantity based on the matching of the order fills being processed.

The information in this section also applies to when using the Order Fill Calculated Trade Position.

The order fills for the Symbol and Trade Account can be viewed on the Trade Activity tab of the Trade >> Trade Activity Log. For instructions, refer to Viewing Historical Trade Activity.

The number of days of data saved in the Trade Activity Log is set through Global Settings >> General Trade Settings >> Number of Days to Save in Trade Activity Log >> Simulated /Non-Sim Fills. Make sure those settings are sufficiently high enough.

Follow the instructions below to correct a calculation error with the Trade Stats for a particular chart by adjusting the Order Fills Start Date-Time setting.

Order Fills Start Date-Time

Enter the starting Date-Time for the order fills that make up the current Trade Position for the Symbol and Trade Account, in the Chart >> Chart Settings >> Advanced Settings >> Order Fills Start Date-Time boxes for the chart or Trade DOM you are trading from.

This Date-Time is relative to the Time Zone setting in Sierra Chart or the Chart.

For complete details about how this setting is used, refer to Open Quantity Field Calculation Method.

If the Trade Position is currently flat for the Symbol and Trade Account of the chart, then set this either to the current Date-Time or just before the start of the last Position that existed.

Once this start Date-Time is set correctly, you should not have to adjust this Date-Time for a while even for new Trade Positions. As long as there are complete order fills since that Date and Time, the resulting Trade Position Quantity and other statistics will be accurate.

Generally you would need to adjust this when order fills are removed from the Trade Activity Log. This happens when Sierra Chart is restarted and is according to the Global Settings >> General Trade Settings >> Number of Days to Save in Trade Activity Log >> Non-Simulated Fills setting.

If you notice an inconsistency between the Trade Statistics among different charts for the same Symbol and Trade Account, then make sure that Order Fills Start Date-Time is set consistently for them.

Inserting and Editing Order Fills

If necessary you can also insert any missing order fills into the Trade Activity Log. The Trade Activity Log supports inserting and editing of Order Fills which you can use to cause the correct values to be reported for the Symbol and Trade Account in the Trade Statistics for Charts tab.

For instructions, refer to the Trade Activity Data Editing Menu Commands section.

Open Quantity Field Calculation Method

This section describes the calculation method for the Open Quantity Field on the Trade Statistics for Charts tab. This information applies to version 1814 and higher.

This information also applies to how the Position Quantity is determined from order fills when using the Order Fill Calculated Position Quantity. The Order Fill Calculated Position Quantity is used in some cases for non-simulated trading and is always used for simulated trading within Sierra Chart.

The Open Quantity starts at 0 and is calculated as described below. It is important to understand how this calculation is done because it affects Trade Statistics and the matching of order fills which are used in calculations like the Daily Profit/Loss.

Each chart which is used for trading contains a Trades list which is processing the order fills in the same way that you see on the Trades tab of the Trade Activity Log.

It is necessary to understand that a buy order fill increases the Position Quantity by the Quantity of that order fill and a sell order fill decreases the Position Quantity by the Quantity of that order fill. For example, a buy order fill of 1 and a buy order fill of 2 will result in a position quantity of 3. And if there is a sell order fill of 1, the position Quantity then becomes 2.

So the order fills which are loaded into the Trades list in the chart are incrementally processed according to ascending Date-Time order and the position quantity at each order fill arises from the processing of the fill. So it is the sum of the quantity of each of the order fills according to the available fills for a particular Symbol and Trade account or the Start Date-Time set in the chart for loading order fills. Buy fills increase the position quantity and Sell fills decrease the position quantity by the quantity of the fill.

All available order fills at or after the Date-Time of the first bar in the chart for the Symbol and Trade Account are used in the calculation except as explained below.

Additionally, it is possible to limit the order fills in a chart through the Order Fills Start Date-Time or through the Chart >> Chart Settings >> Advanced Settings >> Load Order Fills for Current Day Only setting. For this last option, the start of the trading day is according to the Session Times of the chart.

The following does not apply when a specific Order Fills Start Date-Time has been set on a chart. In the case of order fills loaded into the Trades in a chart, the initial order fills that have a nonzero Position Quantity field on them and do not initiate a new Position, are filtered out until one is encountered which initiates a new Position. At this point, the filtering stops. This is so that the order fills are aligned to the start of a new Position. This is not always going to work perfectly due to the fact that the Position Quantity field may not be accurate or has been set, but it helps in many cases.

Trades can be viewed on the Trades tab of the Trade Activity Log.

Trade Statistics for Charts Tab Color Settings

The color Settings used on the Trade Statistics for Charts tab can be changed through the Global Settings >> Graphics Settings - Global window.

Refer to Graphics Settings for complete documentation.

The color settings are as follows:

  • Position/Trades/ChartTradeStats tabs Long / Profit
  • Position/Trades/ChartTradeStats tabs Short / Loss
  • General Text Window Background Color
  • General Text Window Foreground Color

Order Fill Matching and Flat to Flat Definition

Order fills are grouped together into Trades for reporting purposes. A Trade will consist of two order fills. The first order fill increases the Trade Position Quantity (entry fill) and the second fill decreases the Trade Position Quantity (exit fill). Or a Trade can be defined as a fill that establishes or increases a Position and an offsetting fill that reduces the size of the Position.

In the Trades list and Trade Statistics, there are fields which use the concept of Flat to Flat. The definition of Flat to Flat is defined as the sequence of two or more fills which take you from a flat Trade Position, to a non-flat Trade Position, and then back to a flat Trade Position again. Details of each Trade can be viewed on the Trades tab.

Order fills are always matched using a First in First Out matching method.

Order fills are ordered by Date-Time in a time ascending order in the Trade Activity Log. Therefore, fills are match together based upon their Date-Time. There is no association with the particular order a fill is from or matching of fills based upon the association between orders.

Additionally, when an order fill is matched with another order fill to create a single Trade, they need to have different Sides. For example, a Buy fill can only be matched with a Sell fill. The entry fill is considered the opening fill and the exit fill is considered a closing fill without any regard to their Open/Close field with the the order fills themselves.

When order fills are grouped together for creating Trades, all profit and loss calculations are based upon the actual fill prices and there is no averaging used.

Looking at the original fills on the Trade Activity tab and the Trades on the Trades Tab will help you understand how the order fills are matched together.

Questions About the Trade Activity Log Data

Sometimes we are presented with questions about the information reported on one of the tabs of the Trade Activity Log . If it is reasonable to answer and does not require detailed analysis of the data, then we should be able to provide a basic answer. If answering the question requires detailed analysis of the data in the log, and we do not believe there is any type of bug that needs to be resolved, then this is outside the scope of our support to analyze the data and answer the question.

In the case where we cannot help you, we recommend reviewing the documentation on this page and understanding the information provided in the Trade Activity Log and that you perform your own analysis.

It is essential to understand that the data that you see displayed on the Trade Statistics and Trades tabs comes from the order fills displayed on the Trade Activity tab. Go to the Trade Activity tab and select Fills in the Orders | Fills | All Activity list box at the top of the window. By looking at the order fills and understanding the Order Fill Matching and Flat to Flat Definition you can then see how all of the calculations are done and fills are matched.

Trade Statistics for Charts: Each line that you see displayed on the Trade >> Trade Activity Log >> Trade Statistics for Charts tab comes from a Trades list in each chart that is maintaining a Trades list and Trade Statistics.

There is a separate line for each chart that has a Trades list. This Trades lists include all of the available order fills for the symbol which are stored in the Trade Activity Log.

You can see all of the order fills for particular symbol by going to the Trade Activity tab of the Trade Activity Log. At the top select Fills. Select the symbol in the Symbols list at the top. Select the trade account in the Trade Accounts list at the top. Select Non-simulated or Simulated. Set the Date Range to Display >> From to a very early time such as two years back.

Profit/Loss Calculation Rounding Error

Profit/Loss calculations in Sierra Chart which are displayed as a Currency Value are done using floating-point numbers. Inherently there is some imprecision with these types of calculations which can lead to small .01 display inaccuracies.


*Last modified Monday, 12th November, 2018.