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, there is a separate line for the status change 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.

  1. To view the Trade Activity Log, select Trade >> Trade Activity Log.
  2. Select the Trade Activity tab.
  3. At the top, select the type of trade activity that you want to display. This can be Orders, Fills, or All Activity.
  4. At the top, in the list of symbols select the symbol that you want to display trade activity for. In the case of simulated trading 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.
  5. For simulated Trade Activity you will need to select Simulated from the Non-simulated/Simulated list box at the top.

    For more information about these choices, refer to Order Activity Sources. For Non-Simulated (Live) orders, Non-Simulated (Live) will automatically be selected when you select a non-simulated symbol in the Symbol list.
  6. 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.
  7. 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 Order activity, Fill activity, or Order and Fill activity. Order activity are the details of an order every time the order status changes. New orders are also logged. Fill activity are the details of a fill when an order fill occurs. 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 Symbols. Or, select a specific symbol to display only trade activity for that particular symbol.

Non-Simulated (Live) | Simulated Order Activity Source Filter

This list box allows you to control what Order and Fill Trade Activity are displayed based the source of the Trade Activity data.

  • Non-Simulated (Live): When this Order Activity Source filter setting is selected, then only Order and Fill Activity for orders that are not simulated and sent to the connected Trading service will be displayed.

    Usually these are live orders. 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.
  • Simulated: When this Order Activity Source filter setting is selected, then only Order and Fill Activity for orders which are simulated and processed internally in Sierra Chart, will be displayed.

    This setting also includes Order and Fill 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.

    Back Testing is performed with one of the following methods: Using the command Trade >> Auto Trade System Bar Based Back Test. Using the command Trade >> Auto Trade System Replay Back Test. Or performing a chart replay through the Chart >> Replay Chart window and having set the replay mode to Accurate Trading System Back Test Mode on the Replay window.

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 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.

Since this is a round turn commission, it applies for every 2 units of the 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 the commission will be 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 Position 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.

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.

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.Dat file in the Sierra Chart installation folder is renamed to TradeActivityLog.Dat.corrupt. The file is unlikely to have any usable information in it.

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.
  3. All the backups of the TradeActivityLog.Dat file are prefixed with the day number of the month a backup was made on. Example: 28.TradeActivityLog.dat. 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.Dat 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.Dat 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.

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 can be saved to a text file. This data can be viewed in a text editor or opened in a Spreadsheet.

The fields in the text file are separated with a tab character.

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 Stats 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

This section documents clearing simulated or non-simulated Trade Activity data for a specific symbol or all symbols from the Trade Activity Log.

To quickly clear all the Simulated Order and Fill activity for all symbols from the Trade Activity Log, select Trade >> Clear Trade Simulation Orders and Data.

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

For step-by-step instructions to clear Trade Activity data for a specific symbol or Non-Simulated (Live) Trade Activity, follow the instructions below.

The reasons why you would want to clear the Trade Activity Log data for a particular symbol 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, otherwise the missing or inaccurate order fills will affect the values reported on the Trade Statistics, Trades, Trade Stats 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 Order Activity Sources at the top, select Non-Simulated (Live) or Simulated depending upon the source of the Trade Activity data that you want to clear.
  4. In the list of Symbols at the top, select the particular symbol you want to clear Trade Activity data for, or select All Symbols to clear Trade Activity for all symbols.

    The symbols for simulated trading activity are prefixed with [Sim].
  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 Trade Activity Source, 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.
  • Date Time: The Date-Time of the order update or fill. 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 milliseconds and is not the actual millisecond time. Rather it is used to create a unique entry when entries have the same time-stamp. It is incremented until a unique time is found.
  • Symbol: The symbol of the order.
  • 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: 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 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 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.
  • 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.
  • Average Fill Price: In the case when the activity type 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 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.
  • Account Info: For simulated trades, this will say "Simulation". For trades that are sent your trading service, this is the account number 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 order ID of the parent order.
  • OpenClose: Whether the order is opening a Trade Position or increasing it, or the order is closing or reducing a Trade Position.
  • FillExecutionServiceID : This is the unique ID for order Fills from an external trading service to uniquely identify the fill.
  • Position Quantity: This is 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.

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 Menu Commands.

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.

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.

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 for instructions to set the Trade Activity tab to list trading activity for a specific Symbol, Trade Account and Order Activity source.

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. Select Non-Simulated (Live) or Simulated in the list of order activity sources at the top of the Trade Activity Log. If you have a question for support about Live trading, you will need to select Non-Simulated (Live).
  5. In the list of Symbols at the top of the Trade Activity Log, select the symbol of the order. Do not select All Symbols.
  6. The list of Trade Accounts of 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.
  7. 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.
  8. 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.
  9. Click on the first line 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.
  10. Select Edit >> Copy Selection on the menu.
  11. 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.
  12. 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 >> Show/Hide 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).
  4. Navigate through your operating system file manager window, to that folder which in this case is C:\SierraChart\.
  5. Locate the file TradeActivityLog.dat.
  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.
  7. In the Backups folder in the folder that Sierra Chart is installed to on your computer system, there are backups of the TradeActivityLog.dat 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.dat file can be provided to Sierra Chart support.

Trade Activity Log 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. 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.

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. On the Trade Activity Log window select File >> Export.
  4. Enter a File Name and press the Save button.
  5. To import the data which was previously exported with the Export command, select File >> Import on the Trade Activity Log menu.
  6. Select the file and press Open. The Order Fills will be imported and duplicates will be ignored.

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.
  2. 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 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 order activity for the symbol available.
  3. Select Non-Simulated (Live) or Simulated in the list of order activity sources at the top of the Trade Activity Log. In the case where All Symbols has been selected for the Symbol, then the order activity source setting will limit the order fills used to either non-simulated or simulated. For more information about this setting, refer to Order Activity Source.

    For trades made while Trade >> Trade Simulation Mode On is checked, then you need to choose Simulated.
  4. In the list of Trade Accounts, select the Trade Account that you want Trade Statistics for. In the case of simulated trading, select Sim (this will automatically be set with a simulated symbol).
  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 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. Select either Fill to Fill or Flat to Flat at the top of the Trade Activity Log to determine how you want fills matched for the purpose of reporting Trade Statistics. In the case of Fill to Fill, a Trade is defined as a fill that establishes or increases a position and an offsetting fill. In the case of Flat to Flat, a Trade is defined as the sequence of two or more fills which take you from a flat position, to a non-flat position, and then back to a flat position again. Details of each Trade can be viewed on the Trades tab.
  8. 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. A trade must have opened and closed within the last Date of the fills, in order for it to be part of the Daily statistics. The starting time of the date of the last fill starts at the Daily Stats Reset Time set through Global Settings >> General Trade Settings . Therefore, all fills, excluding fills closing out trades in a prior day, that have the same date as the last fill on the Trade Activity tab and are after Daily Stats Reset 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:

  • Total Profit/Loss for Closed Trades: Total profit or loss for all closed trades.
  • Gross Profit: Total profit for all winning trades.
  • Gross Loss: Total loss for all losing trades.
  • Profit Factor: Profit factor is the ratio of gross profit over gross loss.
  • Equity Peak: Highest closed equity value over all trades.
  • Maximum Runup: The largest increase in the profit from the time of the largest drawdown.
  • Maximum Drawdown: The largest peak to valley loss potential over the sequence of trades.
  • Maximum Trade Runup: Largest Runup among the individual Trades that the Trade Statistics are for. The Trades can be viewed on the Trades tab.
  • Maximum Trade Drawdown: Largest Drawdown among the individual Trades that the Trade Statistics are for. The Trades can be viewed on the Trades tab.
  • Maximum Open Position Profit: Maximum open position profit among the individual Trades that the Trade Statistics are for. The Trades can be viewed on the Trades tab.
  • Maximum Open Position Loss: Maximum open position loss among the individual Trades that the Trade Statistics are for. The Trades can be viewed on the Trades tab.
  • Total Trades: Total number of trades. In this case a trade is considered going from a flat position, to a nonzero position and back to a flat position again.
  • Percent Profitable: Percent of trades that are profitable.
  • Winning Trades: Number of winning trades. In this case a trade is considered going from a flat position, to a nonzero position and back to a flat position again.
  • Losing Trades: Number of losing 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 Winning Trade: Average profit for winning trades.
  • Average Losing Trade: Average loss for losing trades.
  • Average Profit Factor: Average profit factor is ratio of average trade profit over average trade loss.
  • Largest Winning Trade: Profit for largest winning trade.
  • Largest Losing Trade: Loss for largest losing trade.
  • Largest Winner % Of Profit: Largest winning trade profit as a percentage of total profit.
  • Largest Loser % Of Loss: Largest losing trade loss as a percentage of total loss.
  • 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 Winning Trade: Average quantity/shares per trade for all winning trades.
  • Average Quantity Per Losing Trade: Average quantity/shares per trade for all losing trades.
  • 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.

Note about Runup, Drawdown, Maximum Open Position Profit/Loss, Highest/Lowest Price During Positions fields: For these values to be accurate and contain nonzero values, it is necessary that Sierra Chart is running and connected to the data feed during the entire life of the Non-Simulated (Live) Trade Positions that these fields are for.

In the case of a simulated Trade Position during a replay, it is not necessary to be connected to the data feed for these fields to be accurate. For these values to be accurate for a simulated Trade Position during a replay, during the life a simulated Trade Position, the Trade Position should not be open partly during a replay and partly during real-time updating of the chart.

Additionally, when using Trade >> Use Fill Calculated Positions-Global, the Runup, Drawdown, Maximum Open Position Profit/Loss, Highest/Lowest Price During Positions fields will not be maintained.

If there are currently open Trades as shown on the Trades tab, then the following statistics are provided which are up to date according to the last fill and last trade price. When using Fill to Fill Order Fill Matching, then it is possible there are multiple open Trades and these Trade Statistics apply to all of those open Trades.

  • Open Trades At Last Fill: Number of currently open Trades as listed on the Trades . When using Fill to Fill Order Fill Matching, then it is possible there are multiple open Trades.
  • 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 Matching, 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.
  • Open Trades Open Profit/Loss: The current profit/loss for the open quantity in the open Trades.
  • Open Trades Closed Profit/Loss: When using Flat to Flat Order Fill Matching, this field shows the current closed profit/loss of the Trade currently open. When using Fill to fill Order Fill Matching, this will be zero.
  • Total Open and Closed Profit/Loss: Sum of Open Trades Open Profit/Loss and the Total Profit/Loss for Closed Trades fields.

Trades Tab

Overview

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

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 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.

Basic Instructions

To use the Trades tab, follow these instructions:

  1. Select Trade >> Trade Activity Log on the main menu.
  2. Select the Trades tab
  3. 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.

    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 order activity for the symbol available.
  4. Select Non-Simulated (Live) or Simulated in the list of order activity sources at the top of the Trade Activity Log. In the case where All Symbols has been selected for the Symbol, then the order activity source setting will limit the order fills used to either non-simulated or simulated. For more information about this setting, refer to Order Activity Source.

    For trades made while Trade >> Trade Simulation Mode On is checked, then you need to choose Simulated.
  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 (this will automatically be set with a simulated symbol).
  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 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. Select either Long & Short, Long or Short from this list at the top of the Trade Activity Log depending upon the type of Trades you want to display. This does not affect the Trade Statistics, only the trades displayed in the Trades tab.
  8. Choose the Profit/Loss display format that you require from the P/L list box.
  9. Select either Fill to Fill or Flat to Flat at the top of the Trade Activity Log to determine how you want fills grouped together for the purpose of reporting Trades. In the case of Fill to Fill, a Trade is defined as a fill that establishes or increases a position and an offsetting fill that reduces it. In the case of Flat to Flat, a Trade 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.

    For further information, refer to Order Fill Matching Methods.

Trades Fields Descriptions

  • 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.
  • Exit Date Time: The Date Time of the final closing fill of the trade.
  • Average Entry Price: The average fill price of the entry fills in the trade.
  • Average Exit Price: The average fill price of the exit fills in the trade.
  • Entry Quantity: The total quantity of the entry fills in the trade.
  • Exit Quantity: The total quantity of the exit fills in the trade.
  • Profit/Loss: This is the profit/loss for the trade.
  • Cumulative P/L: This is the cumulative profit/loss for all trades up to and including the current trade.
  • Entry Efficiency: A percentage between 0 and 100% identifying how close the entry 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, buying the low tick of the price range that existed during the Trade will be 100% entry efficiency. If a Trade had a Drawdown, the Drawdown reduces the Entry Efficiency.

    The Entry/Exit/Total efficiency calculations are generally 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. Since a trade can have multiple fills at different prices and at different times, the value of (Maximum Runup - Maximum Drawdown) is used as the denominator of the calculation, which represents the maximum range of the trade.

    For the Entry Efficiency, the numerator is the Maximum Runup. So if there is no Drawndown, the Entry Efficiency is 100%, and any Drawdown would reduce not Efficiency because the Trade could have gotten a better price.
  • 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. If a Trade had a Runup beyond the final closed profit, the Runup reduces the Exit Efficiency.

    For the Exit Efficiency, the numerator is closed profit loss minus Maximum Drawdown. Any excess Runup will reduce the Efficiency because the Trade could have gotten a better price.
  • 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. For example, a Trade with no Drawdown or excess Runup would score 100%, while a Trade with no Runup and a loss equal to the Drawdown would score -100%.

    For the Total Efficiency, the numerator is closed profit loss and represents how much of the potential range the Trade captured. Any excess Runup or Drawdown will reduce the efficiency.
  • Runup: In the case of the Fill to Fill fill grouping method, this is the maximum profit experienced during the trade. In the case of the Flat the Flat fill grouping method, this is the maximum profit experienced during the Trade which is calculated from the profit of the closed sub trades within a larger trade . This value will be 0 until the trade is considered closed.
  • Drawdown: In the case of the Fill to Fill fill grouping method, this is the maximum loss experienced during the trade. In the case of the Flat the Flat fill grouping method, this is the maximum loss experienced during the Trade which is calculated from the loss of the closed sub trades within a larger trade . This value will be 0 until the trade is considered closed.
  • Maximum Open Position 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. With the Fill to Fill fill grouping method, this field will always match Runup. This value will be 0 until the trade is considered closed.
  • Maximum Open Position 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. With the Fill to Fill fill grouping method, this field will always match Drawdown. This value will be 0 until the trade is considered closed.
  • Notes about Runup, Drawdown, Maximum Open Position Profit/Loss, Entry Efficiency, Exit Efficiency, Total Efficiency: These values 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 during the life of the Trade. If these values are inaccurate or zero, it will result in inaccurate calculations or zero values. This is something to be aware of.

    It is possible to see the Highest/Lowest Price During Positions 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. If there is more than one trade you will not be able to determine exactly what the highest high and lowest low is for an individual Trade but at least it gives you some indication if there is a problem with the market data recorded. If you are performing simulated trading and a Trade has spanned both a replay and real-time data, this can definitely cause inaccuracy with the Runup, Drawdown, Maximum Open Position Profit/Loss calculations.

    When using the Order fill Calculated Position, Highest/Lowest Price During Positions will be zero, meaning that the Trades fields which rely on them will be 0.
  • Commission: This is the total commission for the trade. The round turn commission is multiplied by the closing quantity for the Trade.

Unmatched Fill

The Trades listed on the Trades tab of the Trade Activity Log are created from the order fills currently listed on the Trade Activity tab. If an order fill or fills for a particular symbol in the Trade Activity tab has an Open/Close of Close with no earlier corresponding Open fill, then those will result in Trades which have an Exit Date Time of Unmatched Fill since there is no earlier Open fill to match with it.

This can happen if the corresponding Open fills do not exist any longer in the Trade Activity Log or the starting Date-Time of the Trade Activity data is not set far enough back. Try setting the starting Date-Time in the Date Range frame to an earlier date. Press Apply after changing the settings in the Date Range frame.

If the corresponding Open fills for Close fills do not exist any longer in the Trade Activity Log, then you may want to delete from the Trade Activity tab, the Close order fills which do not have a corresponding Open fill. To delete individual fills, go to the Trade Activity tab. Make sure Fills is selected at the top of the Trade Activity Log. Locate and select the particular fill entry you want to delete in the list of order fills and select Edit >> Delete Trade Activity Entry from the menu.

When a Trade has an Exit Date Time of Unmatched Fill, then the Exit Quantity will be set to the same as the Entry Quantity for Sierra Chart to be able to continue processing order fills and move on to a new Trade.

Unless you are very diligent with maintaining a connection to your Trading service as much as possible or your Trading service makes available a significant history of order fill data, then another reason you can encounter an Unmatched Fill is because there is a significant probability that there are missing non-simulated order fills in the Trade Activity Log.

In this particular case, the solution would be to use Edit >> Delete Trade Activity Entry to delete order fills as explained previously, manually insert missing fills using Edit >> Insert Trade Activity Entry, or completely Clearing Trade Activity data for a particular Symbol.

For additional information about deleting and inserting Trade Activity entries, refer to Menu Commands.

To minimize this problem, stay connected to your Trading service as much as possible. To avoid missing any fills, you really should maintain a 24-hour connection. In our experience, trade servers usually only maintain the order fills for the current trading day and when the end of the trading day comes, they are gone. Although you may see a long history of trading activity through your broker's website, this does not mean this data is available through the FIX trade server.

Note: In the case of live trading when the trading server does not carry overnight Trade Positions, does not provide any Trade Position data, or is providing an incorrect Trade Position Quantity for a symbol on the Trade >> Trade Orders and Positions >> Positions tab, this will cause the Open/Close setting of an order fill to be possibly set incorrectly or be set at Open. In this case, this will lead to Unmatched Fills. The solution to this is to enable Trade >> Use Fill Calculated Positions-Global. However, that option needs to be used with caution and only as a last resort.

An Unmatched Fill for the Simulated Order Activity Source potentially will occur if you jump back in time during a chart replay and submit orders after that. The reason this occurs is because the current Trade Position Quantity can be altered by going back in time and this affects the setting of the Open/Close of an order fill.

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 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 instructions for the Trades tab, then use the list box at the top of the Trade Activity Log containing the various periods to select the period to display.

Period Trade Stats Fields Descriptions

  • Period:
  • Cum P/L: This is the cumulative profit/loss accumulated across each period as you move down thru 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 tradews 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 for Charts Tab

The data displayed on the Trade Stats for Charts tab is based upon the order fills in the Trade >> Trade Activity Log. In the case of non-simulated trading, for the Trade Stats for Charts tab to be accurate, it is essential that there are accurate and a complete set of order fills for the symbol being traded which often is not the case. Therefore, the reported data on the Trade Stats for Charts tab for non-simulated trading often is not accurate. To reset this data refer to Resetting Data/Inaccurate Values.

The Trade Stats for Charts tab of the Trade >> Trade Activity Log window displays various trade 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 all of the order fills for the symbol of the chart that Sierra Chart has data for.

Therefore, these trading statistics are for the period of time that the order fills span.

However, when Chart >> Chart Settings >> Advanced Settings >> Order Fills Start Date-Time has the Date box filled in, then order fills are only loaded into Trades list in the chart since the specified Date-Time and not all of the order fills are used in the calculations.

The Trade Stats 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 Stats 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 Stats for Charts tab will display simulated trading data only.

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

In the case of simulated trading which is simulated within Sierra Chart, the Trade Stats 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.

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 Stats for Charts tab over time is not going to be accurate. Therefore, you will need to reset or edit the Trade Activity order fill data to make it accurate. Refer to Resetting Data/Inaccurate 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.

The Order Fill matching method used for the internal Trade list for charts is Fill to Fill. This is documented in the Order Fill Matching Methods section.

On the Trade Stats for Charts tab, there will only be one line for each Symbol, Trade Account, and Order Activity Source (Non-simulated or Simulated) 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 Stats for Charts tab, select the format you want from the Profit/Loss list box at the top of the window. For a description of the various formats, refer to Position Profit/Loss on the Chart Settings documentation page.

For the Profit/Loss Totals for the Live and Simulated sections of the Trade Stats 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.

Resetting Data/Inaccurate Values

If any of the displayed values on the Trade Stats for Charts tab for a particular symbol are not accurate, for example an incorrect Open Quantity for the current Trade Position, then this is caused by missing/inaccurate order fills for the symbol.

This is a very common problem for non-simulated trading because it is very easy for order fills to be missing for various reasons.

The order fills for the symbol can be viewed on the Trade Activity tab of the Trade >> Trade Activity Log.

What you will need to do to correct the problem is follow the instructions to Clear Trade Activity Data for the Symbol and Trade Account affected, to reset the Trade Statistics for Charts data to a clean state. This should be done when your Trade Position for the symbol is flat.

The Trade Activity Log also 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 Stats for Charts tab.

For more information, refer to the Trade Activity Log Menu Commands section.

Open Quantity Field Calculation Method

This section describes the calculation method for the Open Quantity Field on the Trade Stats for Charts tab.

The fills at the beginning of the Trade list, those with the earliest Date-Time, with an Open/Close of Close are disregarded.

Starting from zero, the Open Quantity is determined as follows:

Using a Fill to Fill grouping method, opening and closing order fills are grouped together into Trades. Closing fills that have no matching Open fill, are disregarded and are identified as being an unmatched fill. The quantity of Trades which are still open are added together. Long Trades increase the Open Quantity and Short Trades decrease the Open Quantity.

For further details about order fill grouping, refer to Order Fill Grouping and Matching Methods.

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

Order Fill Grouping and Matching Methods

Order fills are grouped together into Trades for reporting purposes. A Trade can consist of multiple order fills which take you from a Flat trade position, to a nonzero position which may increase or decrease in quantity, and back to a Flat position. 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.

On the Trade >> Trade Activity Log you can choose Flat to Flat or Fill to Fill order fill grouping methods. Within these two fill grouping methods which groups fills into a single reportable Trade which are listed on the Trades tab of the Trade Activity Log, there are two possible order fill matching methods which are used to determine which specific fills are matched together to create a single Trade.

You can choose FIFO (First in First Out) or LIFO (Last in First Out). To set which fill matching method to use, select Global Settings >> General Trade Settings on the menu. Enable Use Last In First Out Fill Matching for LIFO or disable this option for FIFO.

Order fills are ordered by Date-Time in a time ascending order in the Trade Activity Log. Therefore, these fill matching methods (FIFO, LIFO) access the fills which are ordered in this way. There is no association with the particular order a fill is from or matching of fills based upon the association between orders. It is strictly based upon time and uses FIFO or LIFO.

When order fills are matched together for creating Trades, whether you are using Fill to Fill or Flat to Flat fill grouping, all profit and loss calculations are based upon the actual fill prices and there is no averaging used. The Average Entry Price and Average Exit Price displayed on the Trades tab of the Trade Activity Log are not used in the profit/loss calculations themselves.

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 Methods you can then see how all of the calculations are done and fills are matched.

Trade Stats 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 Tuesday, 30th August, 2016.