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Date/Time: Tue, 30 Apr 2024 04:55:43 +0000

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Post From: Reconciling Fills in Trade Simulation Mode from Trade Activity Log to Time and Sales

[2018-10-02 13:32:36]
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User60271 - Posts: 63
When using Trade Simulation mode with live data, I am trying to reconcile the reported fills in the Trade Activity Log to the Time and Sales window but the timestamps in the Trade Activity Log on the Fill reports seem to be in milliseconds but the Time and Sales window time stamps seem to be using some other precision. I have set the Time and Sales windows setting to show millisecond/microsecond precision but this does seem to make a difference. I am using the SC Exchange Datafeed with CME and Time and Sales Records stored set to 60000.

The specific issue I have noticed is when a fill is reported in the Trade Activity Log it shows the Bid/Ask quote that triggered the fill, however, when tracing the quotes from the timestamp of the original order timestamp in the Trade Activity Log to the timestamp of the reported fill back to the Time and Sales window there are many instances where the quote used to fill the simulated order was not seen in the Time and Sales in the period between the time the order was first recorded in the Trade Activity Log and the time of the fill(and related quote) being reported in the Trade Activity Log.

In other words the reported fill used a quote that was never seen during the order lifetime. These fill scenarios occur when the order lifetime is very small ie: milliseconds between placement and fill so there are relatively few quote updates which makes it straightforward to step through the quotes to identify the issue.

In live trading the reported fill in these cases would not have been possible using the logic described in https://www.sierrachart.com/index.php?page=doc/TradeSimulation.php#HowOrdersAreFilled.

Is there some way to match the timestamps in the Time and Sales window to the timestamps in the Trade Activity Log, with at least millisecond precision, to allow the validation of reported fills when using Trade Simulation Mode to the reported time and sales for the symbol ?