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Date/Time: Wed, 08 May 2024 23:39:27 +0000

Post From: Simulated Market orders with realtime data filled at last trade price

[2018-12-11 08:36:08] Link To Thread - Link To Post [Go To First Post]
User682449 - Posts: 2
Hi, As explain in the title I have an issue with simulated orders with realtime data. My understanding of the documentation is that normally a "Buy Market Order" should get filled at actual Ask price and a "Sell Market Order" should get filled at actual Bid price when using a realtime data service, only if the Bid or the Ask are not accurate the order is filled at the last traded price. A Buy market order will be filled at the Ask price. A Sell market order will be filled at the Bid price. Market orders are always filled immediately. If the Bid and Ask prices are 0, then a market order will fill at the last trade price. When I open a Dom ladder, a Market Depth Window or a Quote Window I can see the best Bid and best Ask are accurate. I have set in global settings the "number of stored Times & Sales records" at the maximum (120000) and make sure "the intraday data storage unit" to be 1 tick. I have to precise that this problem occurs when the bid and ask price are above or below the last traded price. Also when checking at the activity log, I can see the best Bid and best Ask are corrected when the order is filled, just like in "Replay mode". It seems Sierra Chart consider the last Bid and Ask quotes as inaccurate when below or above the last traded price, which can occurs quite frequently with some less liquid instrument. Thanks for help