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Direct MessagesDate/Time: Tue, 30 Apr 2024 01:04:57 +0000
Post From: Reconciling Fills in Trade Simulation Mode from Trade Activity Log to Time and Sales
| [2018-10-03 20:23:44] |
| User60271 - Posts: 63 |
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The data feed really doesn't make a difference with this issue. In the case above it was used to eliminate any variability between SC and the DTC client and it was possible to timestamp the ingress of the data independently of SC to confirm the issue. The latest build is being used and the timestamps taken externally are using the system clock. I am assuming the time stamps in the Trading Activity Log are also using the system clock. The lack of consistent timestamp precision between the Trade Activity Log and the Time and Sales window make it difficult to clearly see the problem but the example above shows the issue even with a 1 second precision. To summarise the issue : In Trade Simulation Mode when filling limit orders, in some circumstances, SC uses a price that existed prior to the time that the order would have existed in it's most recent accepted modified state. At the time the last order modification was acknowledged by SC, the quote (Bid: 7679.00 Ask: 7679.25) used to simulate the fill was never seen in the Time and Sales. It did exist at a point prior to the order modification being received which would indicate the the reference quote SC is using is stale/out of sync when it fills the order. I understand that your time is valuable so is mine. Given the risk that SC is giving users confidence to use a trading method to trade real money based on a potentially incorrect results produced by using the Trading Simulation mode it may be worth your while to look the information I've provided further. |