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

[2018-10-03 18:13:30] Link To Thread - Link To Post [Go To First Post]
User60271 - Posts: 63
I've identified an example of the issue even after allowing for the lack of precision of the timestamp on the Time and Sales window. The client sent the order modification request via DTC in response to a price change (bid at 7629.50) that was timestamped at receipt from the feed at 11:41:04.552 by the client. SC and the client are both connected to IQFeed running on the same machine. SC logs acceptance of the change at 11:41:04.552 but the price the order was filled at is 7629.25 (ask at 7629.25) was only available in the Time and Sales prior to that time the the bid changed to 7629.50. The attached screenshot shows that it was not possible to be filled at 7629.25 at the point where the bid moved to 7629.50 within the 1 second period. Let me know if you need any more details. Trade Activity Log (note: timezone seems to have changed on export) Order 2018-10-03 16:41:04.552 [Sim]@NQZ18 Order modify request from DTC client #2. 127.0.0.1. Using new provided price. Requested Price: 7679.25. Requested Quantity: 4 102739 102739 Limit 4 Buy 7679.0000000 Pending Modify Sim1 -2 Order 2018-10-03 16:41:04.553 [Sim]@NQZ18 Simulated order modify complete 102739 102739 Limit 4 Buy 7679.2500000 Open Sim1 -2 Order 2018-10-03 16:41:05.066 [Sim]@NQZ18 Trade simulation fill. Bid: 7679.00 Ask: 7679.25 Last: 7679.25 102739 102739 Limit 4 Buy 7679.2500000 Filled 7679.2500000 4 Sim1 -2 Fill 2018-10-03 16:41:05.067 [Sim]@NQZ18 Trade simulation fill. Bid: 7679.00 Ask: 7679.25 Last: 7679.25 102739 102739 Limit 4 Buy 7679.2500000 Filled 7679.2500000 4 Sim1 Close 2 102739.1 7679.2500000 7678.7500000 Date Time Of Last Edit: 2018-10-03 18:20:06


sc_tas2.PNG / V - Attached On 2018-10-03 18:05:55 UTC - Size: 41.94 KB - 238 views