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Direct MessagesDate/Time: Sun, 05 May 2024 11:12:44 +0000
Post From: Delays in showing orders/executions in Trade Activity Log+latency issues/questions
| [2020-06-25 18:01:05] |
| User860187 - Posts: 31 |
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G'day SierraSupport. Trying to get an info on the following. Thank you for all the help in advance. 1. After testing in SIM moved to real prod account --> submitted few orders and got fills. But data was not available in Trade Activity Log for quite a time. Didn't time it exactly, but it took significant amount of minutes until it appeared in Trade Activity Log. Is it "normal" and if yes, what would the expected delay be ? Or this is only because there was no activity on "Live" trading account before and if yes, how quickly Sierra/TT will update the log assuming there's a "regular trading" activity. 2. Observed significant difference in latency between Sierra SIM and Sierra Order Routing with TT. Example: Market order ( ACK and fill SIMulated by Sierra ) ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID HighDuringPosition LowDuringPosition Note AccountBalance ExchangeOrderID ClientOrderID Orders 2020-06-24 15:59:45.330 [Sim]ESU20_FUT_CME ESU20_FUT_CME[M] #4 | User order entry | Last: 3036 | AO=0 1883 Market 1 Buy Order Sent SimACC Close -1 Orders 2020-06-24 15:59:45.331 [Sim]ESU20_FUT_CME Simulated order accepted 1883 1883 Market 1 Buy Open SimACC Close -1 Orders 2020-06-24 15:59:45.332 [Sim]ESU20_FUT_CME Trade simulation fill. Bid: 3036.00 Ask: 3036.25 Last: 3036.00 1883 1883 Market 1 Buy Filled 3036.25 1 SimACC Close -1 Fills 2020-06-24 15:59:45.333 [Sim]ESU20_FUT_CME Trade simulation fill. Bid: 3036.00 Ask: 3036.25 Last: 3036.00 1883 1883 Market 1 Buy Filled 3036.25 1 SimACC Close 1883.1 3036.75 3036.00 we're getting an ACK in 2 millisec. Now through TT: Orders 2020-06-25 10:36:55.089 ESU20_FUT_CME ESU20_FUT_CME[M] #4 | User order entry | Last: 3039.75 | AO=0 1902 Market 1 Buy Order Sent . . . Orders 2020-06-25 10:36:55.130 ESU20_FUT_CME SC Futures Order Routing/Data order update (New). Info: Order from DTC client #YYYYY. Sierra Chart. . . . . . . Market 1 Buy Pending Open . . . Orders 2020-06-25 10:36:55.133 ESU20_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: TT order update (New) | Open XXXXXXX Close . . . Orders 2020-06-25 10:36:55.185 ESU20_FUT_CME SC Futures Order Routing/Data order update (Filled). Info: TT order update (Trade) | . . . . Buy Filled 3040.00 1 XXXXXXX Close -1 It takes 41 millisec to get "PendingOpen" and another 3 milliseconds to get OrderAccepted/New back. So we're talking 44 millliseconds to get an ACK back. note: using the Sierra Chart server in the CME Aurora data center (Server 2). Yes, difference between SIM env and routing through TT is expected. But is it that significant ? Trying to reconcile it with the info found here: Sierra Chart / Trading Technologies Futures Order Routing Service ( Order routing is through a server managed by Sierra Chart with a FIX connection to Trading Technologies. Overall latency is well below 1 millisecond to the TT server when using the Sierra Chart server in the CME Aurora data center (Server 2). 2 millisec with Sierra's SIM vs 41 millisec through TT. Not complaining at all ( happy Sierra user actually ) Just trying to make sure everything is correct on my end. Many thanks for all the help. Date Time Of Last Edit: 2020-06-26 03:09:39
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