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Date/Time: Thu, 16 May 2024 16:16:34 +0000

Post From: Simulation trading - fill price bug - trade at market fills outside of time and sales - CTS data

[2014-04-23 20:54:36] Link To Thread - Link To Post [Go To First Post]
T44 - Posts: 363
Tick size and price display format in Chart Settings appear to be correct. The applicable part of the link is therefore: When you are receiving real-time data from the connected Data or Trading service, the service could be providing invalid Bid and Ask data. To confirm this, select Window >> Current Quote Window. Look at the Bid and Ask prices. If they are significantly different than the Last trade price, then they may not be correct. In this case you may want to reconnect to the data feed by selecting File >> Disconnect and then File >> Connect to Data Feed. I cannot reproduce at the current time, but does this mean that CTS was supplying incorrect bid/ask quotes while continuing to pass the correct "last trade" data? Are you aware of any issues with the top of book only CME data provided through CTS? CTS say that their FIX interface is in Beta. Could this be relevant? Should this be reported to CTS? What are the implications of incorrect bid/ask data coming into Sierra Chart in live trading mode? (I'd expect none as the orders, fills, etc will be govered by the exchange matching engine and its simply the "estimate" of where a market order would fill in SIM which is incorrect). Still, it is concerning that incorrect b/a data is coming in - how can one also trust that the last trade information is correct?