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Direct MessagesDate/Time: Sat, 04 May 2024 04:39:26 +0000
Post From: Not Receiving Final Fill on Partially Filled Order using LMax FIX
| [2018-09-07 17:13:43] |
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That Trade Activity Log does not have the particular order in question. Anyway, we examined the FIX log primarily on its own and the Trade Activity Log text file that you provided and what we have reasonably determined at this point but we need to look at the cause, is that there was a loss of order ID synchronization. So around the point in time where there was order modification rejection, fills were processed as a new independent order. There can be no doubt that they were processed and you will see those fills in the Trade Activity Log for the symbol and account. The reason this happens is because LMAX changes the order ID with every order modification and also when there is an order modification rejection there is a change in the client order ID by LMAX. Inevitably this can lead to a loss of synchronization if there is an order fill during an order modification which was not yet processed by the LMAX server. (Update: this last sentence cannot be correct. There should not be a problem in this case) We are going to look into the specific reason why but really the way LMAX does order IDs and the fact that there is no constant order ID for an order, can mean that this issue can happen. There is a workaround but it is not regarded by us as a totally clean and solid solution but really there is no other way. We will have a solution implemented by the end of next week. The solution involves taking the leftmost part of the client order ID Sierra Chart provides to LMAX and using that as the Internal Order ID to perform an order look up when an execution report is received. The proper solution is for LMAX to use a constant order ID for an order. That is going to be the only rocksolid solution here. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2018-09-07 19:57:30
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