Support Board
Date/Time: Sat, 08 Nov 2025 22:57:45 +0000
Stop orders in replay
View Count: 203
| [2025-10-24 14:56:49] |
| User98657 - Posts: 391 |
|
SC, I'm testing an auto trade study, running it in replay on Accurate Trading System Back Test Mode, and getting some strange results. The charts are Renko 10-Tick. The results are extremely consistent in various replay speeds, so I don't think this is a speed-related issue. Orders are placed, along with a Stop and Target. I will see variances in Entry Order Fills, that's expected of course. I may see variances in Target Order Fills vs Target Order Price, I've ignored those for now, assuming they are slippage. However, I'm seeing variances in the Stop Fill price as compared to the Stop Order price. Also, the Max Open Loss for the trade is correct, according to the "Order" price, but the fill price is still less. The static stop price in this scenario is -30 points. I'm seeing fills at -26.50 points. The first one I checked could be explained by microsecond differences in the order level being touched, thus triggering the actual order and fill. Assuming the builder of the study set the Stop order type as Stop Market would explain that fill at a better price. The next one I checked, however, did not have any price retracement at all, even when I drill down to a two-tick level. This particular Fill occured on 2025-09-30 at 12:21:00.992093 The Order price was 24823.00 (NQZ25), the Fill Price is shown as 24819.50. Looking at the 1-tick chart, I can see that the Fill Price (24819.50) was hit much earlier. The time stamp of the Fill matches the time stamp of the order price of 24823.00 @ 12:21:00.992093, but the TAL shows a Fill Price of 24819.50 and price did not retrace after reaching the higher price. Can you help me understand why the TAL would be reporting the Fill Price differently than the Order Price in this case? |
| [2025-10-24 15:24:37] |
| John - SC Support - Posts: 42874 |
|
Refer to the following: Trade Simulation: How Orders are Filled Trade Simulation: Why Fill and Order Prices Can Be Wrong or Unexpected / Orders Do Not Fill When Expected For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-10-24 16:55:52] |
| User98657 - Posts: 391 |
|
Thanks for the background John. I've read it. My T&S record was set at 4000, but I'm only watching the one market. I've set it to 10000 just in case. This particular instance boils down to the Bid/Ask at that moment in time when my order price was hit. There was a flush, which I could see on the chart as well as the Time and Sales. I can see that as price traded higher, the Bid/Ask did not change in the Time and Sales record so the fill price was calculated at the Ask as shown in the T&S record. Obviously just by watching a dom we know there are orders at the ask above the market. So why, as price flushed higher, did the T&S record not update? This flush was fast. It moved 15 points in roughly 3 thousandths of a second and scooped up roughly 88 orders and 485 contracts before the T&S record caught up to it (according to my T&S record that is). Is this normal for the T&S record to lag in this manner? Are the T&S records updated when I Reload and Recalculate? Obviously the T&S comes from the exchange, so we simply have to live with, and adjust accordingly? |
| [2025-10-24 21:24:41] |
| Sierra_Chart Engineering - Posts: 21344 |
|
Analyzing precisely what has happened, is outside the scope of our support.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2025-10-24 21:24:45
|
| [2025-10-25 03:16:11] |
| User98657 - Posts: 391 |
|
I'm not sure I understand your response, SC. I wasn't asking, or expecting you to analyze what happened. I can see by the T&S record, along with the documentation, why I'm seeing the Fill Price I'm seeing. My questions are simply this: Is it fairly normal to see the T&S not keep up with a very fast price movement such as this? I can see that the Bid and Ask did not change throughout that movement. I'm just curious to know if that's fairly typical. Are the T&S records updated when I reload and recalculate? And lastly, I assume the T&S records are part of what are transmitted by the exchange. Is that correct? |
| [2025-10-27 20:29:12] |
| Sierra_Chart Engineering - Posts: 21344 |
|
No, that does not make sense: Is it fairly normal to see the T&S not keep up with a very fast price movement such as this? I can see that the Bid and Ask did not change throughout that movement. I'm just curious to know if that's fairly typical. The time and sales data is created from the actual trades and the concept of it not keeping up cannot exist. And the bid and ask data, are also provided by the exchange and are transmitted by the Denali Exchange Data Feed as they occur. So there is no delay. However, maybe the exchange is transmitting multiple trades with significant price changes and there is no market depth updates in between. Are the T&S records updated when I reload and recalculate? Reloading a chart does not affect time and sales data in any way.And lastly, I assume the T&S records are part of what are transmitted by the exchange. Is that correct? Yes.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2025-10-27 20:30:03
|
| [2025-10-28 15:14:25] |
| User98657 - Posts: 391 |
|
Ok, thanks. So that does narrow it down to the question of why my data has these, what we assume are, erroneous T&S records. This is not something you see often. The T&S records in my data should reflect the accurate T&S, Bid and Ask for each new price, regardless of how quickly price was moving, and those records should be transmitted to me via my Denali feed (no reason to think they are not). I can employ error correcting to work around it for now and I'll revisit when I have time to take a deeper dive, but I understand that this part of the issue, as it stands currently, is not something you could help with. One last question please: If I delete and download new data, should I then assume to get updated T&S records with the new download? Thanks for your help on this. |
| [2025-10-28 16:09:12] |
| John - SC Support - Posts: 42874 |
|
If I delete and download new data, should I then assume to get updated T&S records with the new download?
There is no historical Time and Sales information available from our servers. It only comes in with the data feed and any historical information is what you have stored on your system. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-10-28 17:57:30] |
| User98657 - Posts: 391 |
|
OK And just so I'm understanding it correctly, the T&S data comes in with the Live Data feed only? Once you miss the Live Data feed, the T&S data is gone? So if I had to delete and download new data recently due that hiccup between updates or between rollovers (not sure what caused it), it's reasonable to assume I could have broken the link between accurate T&S data and trades? |
| [2025-10-28 18:11:12] |
| John - SC Support - Posts: 42874 |
|
Your using "Delete and Download Data" will have no impact on the Time and Sales data you already have. But, if there was some "hiccup" in the data feed that caused you to do the "Delete and Download" option, then you would most likely be missing some Time and Sales during that "hiccup" period. Also, keep in mind that only so many Time and Sales Records are stored. Refer to the following setting: Data/Trade Service Settings: Number of Stored Time and Sales Records (Global Settings >> Data/Trade Service Settings >> Common Settings >> Common Other Settings) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-10-28 18:45:14] |
| User98657 - Posts: 391 |
|
Understood. So in back testing using Renko bars, when SC doesn't have T&S records it estimates the Bid and Ask based on the "Bar Based" method as documented? |
| [2025-10-28 18:59:21] |
| Sierra_Chart Engineering - Posts: 21344 |
|
With every trade recorded in the Intraday data file used during a replay, the best bid and ask is stored as long as there is a tick by tick data configuration: Set Sierra Chart to a Tick by Tick Data Configuration. Follow the instructions here to do this: Tick by Tick Data Configuration Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2025-10-28 18:59:38
|
To post a message in this thread, you need to log in with your Sierra Chart account: