Support Board
Date/Time: Wed, 07 Oct 2026 08:36:02 +0000
Teton NQZ26: unfilled target, exchange timestamps and HighDuringPosition discrepancy — 202
View Count: 35
| [2026-10-07 06:11:58] |
| User935906 - Posts: 6 |
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Hello Sierra Chart / Teton Support, Please help establish the order-processing timeline for a live NQZ26 trade through AMP/Teton on 2026-10-06, and explain a HighDuringPosition discrepancy. All times below are UTC. Prices are normalized NQ prices. Trade details: - Instrument: NQZ26_FUT_CME, CME SecurityID 261401. - Quantity: 1 contract. - Parent Buy Stop: trigger 31565.50, filled at 31565.75. - Parent InternalOrderID: 309. - Parent CME OrderID: 6883079744343. - Target Sell Limit: initially 31573.50, adjusted to 31573.75 after the entry fill. - Target InternalOrderID: 310. - Target Teton ServiceOrderID: 10717334. - Target CME OrderID: 6883082888186. - Stop InternalOrderID: 311; CME OrderID: 6883082888188. - The position eventually stopped out at 31561.25. Relevant Sierra log timestamps: - Entry Fill TransDateTime: 14:07:51.941000. - Target adjustment: 14:07:51.960665. - “Auto-sent child from parent fill”: 14:07:51.961060. - Target “CME (New)” / Open: 14:07:51.978008. A Databento GLBX.MDP3 MBO export contains these records for the same instrument: - Parent Trade, matching my CME OrderID: ts_event 14:07:51.940953497. - Trade at 31573.75: ts_event 14:07:51.967865033. - Trade at 31574.75: ts_event 14:07:51.968281443. - Sell Add for my exact target OrderID 6883082888186 at 31573.75: ts_event 14:07:51.984773987. Important: This Databento export is marked degraded and the relevant records carry F_MAYBE_BAD_BOOK. Therefore, I am treating this market-data chronology as provisional. Could you please investigate these questions? 1. Exact order-processing timeline Please provide the original exchange timestamps or decoded CME/iLink records for: - The parent execution report. - Receipt of the parent fill by Teton. - Creation and transmission of the target child order. - The target's CME New Order Acknowledgement. - CME gateway receipt time, if available. For the exchange acknowledgement, please include OrderID, SecurityID, TransactTime and SendingTimeEpoch, with available message/correlation identifiers. For any gateway RequestTime, please identify the source record. Please preserve the original timestamp precision and explain which timestamps are exchange-generated versus Teton/server-generated, including their clock synchronization and measurement points. The interval between “Auto-sent child from parent fill” at 14:07:51.961060 and “CME New/Open” at 14:07:51.978008 is 16.948 milliseconds. Do these timestamps represent the actual outbound transmission and receipt of the CME acknowledgement, measured on the same clock? If not, what events do they represent? Please provide the actual send/receive timestamps, if available, and distinguish Teton processing, network transit and CME processing where measurable. 2. Was the target executable before the price overshoot? Can you confirm from your own order records and available exchange market data whether my target was accepted and executable before or after the trades at 31573.75–31574.75? Please also explain the timestamp relationship between Sierra's “CME New” value at 14:07:51.978008 and the MBO Add ts_event at 14:07:51.984773987. I do not assume these fields use identical clock semantics. 3. HighDuringPosition The exit-fill row in my Sierra export records: - HighDuringPosition: 31572.75. - LowDuringPosition: 31561.25. The MBO export contains trades up to 31574.75 after the parent execution. Why might that brief high be absent from HighDuringPosition? When does tracking actually begin: upon local receipt/processing of the entry fill, using the exchange fill time, or another event? Does attached-order placement affect this? Are market-data events received before local fill processing considered retrospectively? I have attached the Sierra activity export and the selected MBO records privately. Please let me know if you require the original TradeActivityLogs .data file or other specific logs. Thank you. |
Private File Private File |
| [2026-10-07 06:39:00] |
| Sierra_Chart Engineering - Posts: 25093 |
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What is the purpose of this post? We are not going to get involved in this, unless there is a payment for our time and we have no interest in getting involved in this, and we do not have the time to get involved in this. It is never going to get answered because we do not have the time to get involved in this, and we have no interest in getting involved in this and you are probably not willing to pay for it. Even if you are willing to pay for it we do not have the time. It is something that simply will never get looked at. We are declining this request. Case closed. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2026-10-07 06:41:52
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| [2026-10-07 07:30:20] |
| Sierra_Chart Engineering - Posts: 25093 |
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One thing we would say just quickly looking through the information you posted, is that the high during Position and low during Position that is recorded with an order fill is not precise or authoritative at all. It does not represent, the exact high and low prices at the exact moment in time of the entry and the exit. So in a fast-moving market, it is likely, that these prices are off. This information is not authoritative or guaranteed in any way. So questions regarding those fields, is simply something we would never get involved with other than what we said here. What we can do for you, is for the entire trading day, in question we can get you from the server all of the trading activity for your trading account, and then you can look that over and understand the fields from the descriptions here: Trade Activity Log: Trade Activity Field Descriptions And then you can go to the CME with any questions that you have. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-10-07 07:42:21] |
| User935906 - Posts: 6 |
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Thank you for clarifying. Yes, please provide the server-side trading activity for 6 October 2026 privately. Could you also clarify how reliable the timestamps in that (or general in Sierra export) export are? I want to establish when my entry filled, when the target was sent, and when CME accepted it. Do the timestamps reflect those actual events, or when your server received or processed the information? Can I reliably use them to measure millisecond differences between these events and compare them with CME market-data timestamps? Please let me know if rounding, different clocks or other limitations could affect that comparison. I will review the data myself; I mainly need to understand what the timestamps represent and how precisely they can be interpreted. Thank you. |
| [2026-10-07 08:01:36] |
| User935906 - Posts: 6 |
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One brief clarification of my goal: I am not trying to assign blame. I simply want to understand why my target did not fill despite market-data records showing trades above its price. Was the target not yet active at CME because of the timing of the parent-fill notification or subsequent child-order submission/acceptance? Or do delayed reports or timestamp differences only make the sequence appear that way? The log shows 16.948 ms between “Auto-sent child from parent fill” and “CME New/Open”. Is this interval comparable to your published approximately 500-microsecond routing latency, or does it measure different stages? When providing the server export, please clarify which timestamps can distinguish these possibilities. I understand that the external market-data chronology still needs verification. Thank you. |
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