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Date/Time: Mon, 26 Feb 2024 05:20:18 +0000



Post From: Chart price multipliers: my fundamental misunderstanding / system design flaw

[2022-11-08 15:27:04]
gorx1 - Posts: 8
Hello, I've found a workaround, but the issue is too weird to ignore, I hate imagining others facing it one day.

ESZ2022, and probably many others

I have a rather advanced automated trading system in ACSIL that modifies existing limit order prices & quantities in realtime. There's an if condition that checks whether current limit order price is different from the constantly re-calculated mark price. If these 2 are the same, nothing happens. If these 2 are different, sc.ModifyOrder() gets called. Current limit order price is accessed via s_SCTradeOrder & order ID stored in persistent variable. I process rounds to mintick on my side, it can't be an issue.

Everything works fine with SC DATA - All services.
With Teton and Rithmic I see these on chart update interval:

Order modification failed (InternalOrderID) | Price and quantity (3831.50, 1) for order modification are the same as existing order. | ...

Now the only way to fix it on Teton & Rithmic is to change Real-time and Historical Price Multipliers to 1 from 0.01, and tick size from 0.25 to 25. At this point everything starts to work as intended, just as on SC DATA - All services, where default price multipliers are 1 and tick size is 0.25., but the price scale becomes different from the vehicle-native one.

It's not a huge problem for me, I can still run automatics this way, but it's the first time I see something like this in a trading platform.

It's either I misunderstand something very basic about Sierra Chart, or there's something wrong with sc.GetOrderByOrderID function; s_SCTradeOrder structure, in a context when default price multipliers are different than 1. Maybe, these multipliers are processed & resolved properly in terms of sending orders, but mistakenly ignored when existing order information is retrieved?

P.S.: Thank you for all this thing with Sierra Chart, top notch software.
Date Time Of Last Edit: 2022-11-08 15:52:10