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Date/Time: Tue, 08 Oct 2024 19:28:55 +0000



CQG Trading issue in Release 1211

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[2014-11-12 19:46:07]
User33803 - Posts: 40
I have experienced some issue with the Release 1211 and CQG FIX Trading. When the system undergoes a small disconnection from the server, the open orders changes to Cancel state due to the following reason according to TAL: "Canceling due to no order update from server". When the connection is up again the system resume the previously canceled order but the attached orders disappear. Sometimes the attached orders remain but not linked with the reinstated parent order so the parent order is filled but the attached orders are not sent to the market.

I remember that this behaviour happened sometime ago (At that time, I worked with TT and not with CQG) and you solve it with a new release. I do not know if this is the same problem but this did not happened in the last releases (at least until R1205)

This thread describes the same problem I currently have with CQG but then the problem was with TT.

Canceling parent order due to no order update


I attach the TAL sequence:

You can see, for instance that the order 100494 was filled but the attached orders were not sent but "Canceling due to no fill notice from parent"


ActivityType  DateTime  Symbol  Quantity  FillPrice  PositionQuantity  BuySell  FilledQuantity  OrderStatus  Price  OrderType  InternalOrderID  ServiceOrderID  OrderActionSource  Price2  TradeAccount  OpenClose  ParentInternalOrderID  FillExecutionServiceID
Order  2014-11-12 16:00:45.000  F.US.CLEZ14  1  77.48  1  Sell  1  Filled  77.48  Limit  100311  482909946  CQG order update (Fill). Exchange ID: 807060649870    XXXXXX  Close  100310  
Fill  2014-11-12 16:00:45.001  F.US.CLEZ14  1  77.48    Sell  1  Filled  77.48  Limit  100311  482909946  CQG order update (Fill). Exchange ID: 807060649870    XXXXXX  Close    482909946
Order  2014-11-12 16:00:45.002  F.US.CLEZ14  1      Sell    Pending Cancel  76.91  Stop  100312  483196624  CQG order update (Pending Cancel)    XXXXXX  Close  100310  
Order  2014-11-12 16:00:45.003  F.US.CLEZ14  1      Sell    Canceled  76.91  Stop  100312  483196624  CQG order update (Cancel). Exchange ID: 807060649871    XXXXXX  Close  100310  
Order  2014-11-12 16:00:53.000  F.US.CLEZ14            Unspecified          Removing Position with quantity of 0    XXXXXX      
Order  2014-11-12 16:02:40.000              Unspecified          Connected to server    None      
Order  2014-11-12 16:03:45.024  F.US.CLEZ14  2      Buy    Pending Cancel  77.75  Stop  100403  482993724  Canceling due to no order update from server    XXXXXX  Open    
Order  2014-11-12 16:03:45.025  F.US.CLEZ14  2      Buy    Canceled  77.75  Stop  100403  482993724  Canceling due to no order update from server    XXXXXX  Open    
Order  2014-11-12 16:03:45.026  F.US.CLEZ14        Sell    Pending Cancel  78.10  Limit  100404    Canceling child orders of internal order ID 100403    XXXXXX  Close  100403  
Order  2014-11-12 16:03:45.027  F.US.CLEZ14        Sell    Canceled  78.10  Limit  100404    Canceling child orders of internal order ID 100403    XXXXXX  Close  100403  
Order  2014-11-12 16:03:45.028  F.US.CLEZ14        Sell    Pending Cancel  77.50  Stop  100405    Canceling child orders of internal order ID 100403    XXXXXX  Close  100403  
Order  2014-11-12 16:03:45.029  F.US.CLEZ14        Sell    Canceled  77.50  Stop  100405    Canceling child orders of internal order ID 100403    XXXXXX  Close  100403  
Order  2014-11-12 16:03:45.030  F.US.CLEZ14  2      Sell    Pending Cancel  76.81  Stop  100406  482910318  Canceling due to no order update from server    XXXXXX  Close    
Order  2014-11-12 16:03:45.031  F.US.CLEZ14  2      Sell    Canceled  76.81  Stop  100406  482910318  Canceling due to no order update from server    XXXXXX  Close    
Order  2014-11-12 16:03:45.032  F.US.CLEZ14        Buy    Pending Cancel  76.47  Limit  100407    Canceling child orders of internal order ID 100406    XXXXXX  Open  100406  
Order  2014-11-12 16:03:45.033  F.US.CLEZ14        Buy    Canceled  76.47  Limit  100407    Canceling child orders of internal order ID 100406    XXXXXX  Open  100406  
Order  2014-11-12 16:03:45.034  F.US.CLEZ14        Buy    Pending Cancel  77.06  Stop  100408    Canceling child orders of internal order ID 100406    XXXXXX  Open  100406  
Order  2014-11-12 16:03:45.035  F.US.CLEZ14        Buy    Canceled  77.06  Stop  100408    Canceling child orders of internal order ID 100406    XXXXXX  Open  100406  
Order  2014-11-12 16:07:20.000              Unspecified          Connected to server    None      
Order  2014-11-12 16:07:26.005  F.US.CLEZ14  2      Buy    Open  77.75  Stop  100488  482993724  CQG order update (Status). Exchange ID: 807061305896    XXXXXX      
Order  2014-11-12 16:07:26.006  F.US.CLEZ14  2      Sell    Open  76.81  Stop  100489  482910318  CQG order update (Status). Exchange ID: 807061305961    XXXXXX      
Order  2014-11-12 16:07:26.011  F.US.CLEZ14            Unspecified          Removing Position with quantity of 0    XXXXXX      
Order  2014-11-12 16:15:00.000  F.US.CLEZ14  2      Buy    Pending Cancel  77.75  Stop  100488  482993724  F.US.CLEZ14 15 Min #2 | User order cancel    XXXXXX      
Order  2014-11-12 16:15:02.000  F.US.CLEZ14        Sell    Pending Child  78.14  Limit  100495    Auto-trade: F.US.CLEZ14 15 Min #2|.|BuyEntry | Last: 77.470001. Attached Order    XXXXXX  Close  100494  
Order  2014-11-12 16:15:02.001  F.US.CLEZ14        Sell    Pending Child  77.54  Stop  100496    Auto-trade: F.US.CLEZ14 15 Min #2|.|BuyEntry | Last: 77.470001. Attached Order    XXXXXX  Close  100494  
Order  2014-11-12 16:15:02.002  F.US.CLEZ14  2      Buy    Order Sent  77.79  Stop  100494    Auto-trade: F.US.CLEZ14 15 Min #2|.|BuyEntry | Last: 77.470001    XXXXXX  Open    
Order  2014-11-12 16:15:02.003  F.US.CLEZ14        Buy    Pending Child  76.46  Limit  100498    Auto-trade: F.US.CLEZ14 15 Min #2|.|SellEntry | Last: 77.470001. Attached Order    XXXXXX  Close  100497  
Order  2014-11-12 16:15:03.000  F.US.CLEZ14        Buy    Pending Child  77.05  Stop  100499    Auto-trade: F.US.CLEZ14 15 Min #2|.|SellEntry | Last: 77.470001. Attached Order    XXXXXX  Close  100497  
Order  2014-11-12 16:15:03.001  F.US.CLEZ14  2      Sell    Order Sent  76.80  Stop  100497    Auto-trade: F.US.CLEZ14 15 Min #2|.|SellEntry | Last: 77.470001    XXXXXX  Open    
Order  2014-11-12 16:15:03.002  F.US.CLEZ14  2      Buy    Canceled  77.75  Stop  100488  482993724  CQG order update (Cancel). Exchange ID: 807061305896    XXXXXX      
Order  2014-11-12 16:15:03.003  F.US.CLEZ14  2      Sell    Pending Cancel  76.81  Stop  100489  482910318  F.US.CLEZ14 15 Min #2 | User order cancel    XXXXXX      
Order  2014-11-12 16:15:03.004  F.US.CLEZ14  2      Buy    Pending Open  77.79  Stop  100494  482900123  CQG order update (New)    XXXXXX  Open    
Order  2014-11-12 16:15:03.005  F.US.CLEZ14  2      Buy    Open  77.79  Stop  100494  482900123  CQG order update (New). Exchange ID: 807061560019    XXXXXX  Open    
Order  2014-11-12 16:15:04.006  F.US.CLEZ14  2      Sell    Pending Open  76.80  Stop  100497  482949448  CQG order update (New)    XXXXXX  Open    
Order  2014-11-12 16:15:04.007  F.US.CLEZ14  2      Sell    Open  76.80  Stop  100497  482949448  CQG order update (New). Exchange ID: 807061560106    XXXXXX  Open    
Order  2014-11-12 16:15:04.008  F.US.CLEZ14  2      Sell    Canceled  76.81  Stop  100489  482910318  CQG order update (Cancel). Exchange ID: 807061305961    XXXXXX      
Order  2014-11-12 16:16:13.000              Unspecified          Connected to server    None      
Order  2014-11-12 16:16:20.000  F.US.CLEZ14            Unspecified          Removing Position with quantity of 0    XXXXXX      
Fill  2014-11-12 16:23:04.000  F.US.CLEZ14  2  77.79    Buy    Filled      100494  100494.1.482900123  CQG fills data (Restored). Exchange Order ID: 482900123    XXXXXX      482900123
Order  2014-11-12 16:23:08.000              Unspecified          Connected to server    None      
Order  2014-11-12 16:23:16.000  F.US.CLEZ14  2  77.79    Buy  2  Filled  77.79  Stop  100494  482900123  CQG order update (Status). Exchange ID: 807061560019    XXXXXX  Open    
Order  2014-11-12 16:23:16.001  F.US.CLEZ14        Sell    Pending Cancel  78.14  Limit  100495    Canceling due to no fill notice from parent    XXXXXX  Close  100494  
Order  2014-11-12 16:23:16.002  F.US.CLEZ14        Sell    Canceled  78.14  Limit  100495    Canceling due to no fill notice from parent    XXXXXX  Close  100494  
Order  2014-11-12 16:23:16.003  F.US.CLEZ14        Sell    Pending Cancel  77.54  Stop  100496    Canceling due to no fill notice from parent    XXXXXX  Close  100494  
Order  2014-11-12 16:23:16.004  F.US.CLEZ14        Sell    Canceled  77.54  Stop  100496    Canceling due to no fill notice from parent    XXXXXX  Close  100494  
Order  2014-11-12 16:23:17.000  F.US.CLEZ14            Unspecified          Synchronized Internal Position to current Service Position. Current Position quantity: 2    XXXXXX      








Date Time Of Last Edit: 2014-11-12 19:48:10
[2014-11-12 19:53:12]
User33803 - Posts: 40
By the way, even if the bracket orders with CQG had some issues, I'd rather prefer to have them as they were to not having them at all. One always has the chance of deselecting the option and not use server side bracket orders. Do you plan to resume the server side bracket orders in futures releases. I will start using R1205 again until they are implemented again.
Date Time Of Last Edit: 2014-11-12 19:54:24
[2014-11-12 22:17:47]
Sierra Chart Engineering - Posts: 104368
We are unable to reproduce this problem.

Also, we have not made any changes to the CQG FIX service. It is stable.

Are you switching between CQG FIX Trading and CQG Web API services? If so, then this could be part of the problem.

We need a simple example where we can reproduce this problem.

We entered an order at a limit price which would not fill and it had Attached Orders and we cannot duplicate the problem when we disconnect or connect. If you can reproduce this problem with this kind of scenario we would like to know.

Also, it really is impossible that in order would go to a Canceled state when disconnected.


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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2014-11-13 08:46:23]
User33803 - Posts: 40
No, yesterday I used only CQG FIX trading and R1211.

Maybe the issue is not related to a disconnection.

The way I think it works is: SC, at any given moment, asks for a confirmation to CQG that an order is still "alive" if SC doesn't receive that confirmation from CQG, it cancels the order in the system. If, after sometime, CQG reconfirms the order, SC returns it to the Open state but in that process it seems that SC doesn't reinstate the Attached orders.

I attach the TAL filtered to just one case with two parent orders and their 4 attached order (2 attached orders per parent order)

- You can see that orders 100403 and 100406 (parents) are canceled at 16:03:45 due to "no order update from server".
- Orders 100404, 100405, 100407 and 100408 (attached) are canceled at the same time.
- The connection is reinstated at 16:07:20
- At 16:07:26 parent orders are restablished but the attached orders are not.
- The parent orders have the same ServiceOrderID but different InternalOrderID (they changed from 100403 and 100406 to 100488 and 100489) and this is a big issue as I take note of the InternalOrderIDs to cancel them when certain conditions occurs and, if the InternalOrderIDs change, my ACSIL program cannot detect and cancel them when needed.



ActivityType  DateTime  Symbol  Quantity  FillPrice  PositionQuantity  BuySell  FilledQuantity  OrderStatus  Price  OrderType  InternalOrderID  ServiceOrderID  OrderActionSource  Price2  TradeAccount  OpenClose  ParentInternalOrderID  FillExecutionServiceID
Order  2014-11-12 16:00:02.000  F.US.CLEZ14      1  Sell    Pending Child  78.10  Limit  100404    Auto-trade: F.US.CLEZ14 15 Min #2|.|BuyEntry | Last: 77.400002. Attached Order    XXXXXX  Close  100403  
Order  2014-11-12 16:00:02.001  F.US.CLEZ14      1  Sell    Pending Child  77.50  Stop  100405    Auto-trade: F.US.CLEZ14 15 Min #2|.|BuyEntry | Last: 77.400002. Attached Order    XXXXXX  Close  100403  
Order  2014-11-12 16:00:02.002  F.US.CLEZ14  2    1  Buy    Order Sent  77.75  Stop  100403    Auto-trade: F.US.CLEZ14 15 Min #2|.|BuyEntry | Last: 77.400002    XXXXXX  Open    
Order  2014-11-12 16:00:02.003  F.US.CLEZ14      1  Buy    Pending Child  76.47  Limit  100407    Auto-trade: F.US.CLEZ14 15 Min #2|.|SellEntry | Last: 77.400002. Attached Order    XXXXXX  Open  100406  
Order  2014-11-12 16:00:02.004  F.US.CLEZ14      1  Buy    Pending Child  77.06  Stop  100408    Auto-trade: F.US.CLEZ14 15 Min #2|.|SellEntry | Last: 77.400002. Attached Order    XXXXXX  Open  100406  
Order  2014-11-12 16:00:02.005  F.US.CLEZ14  2    1  Sell    Order Sent  76.81  Stop  100406    Auto-trade: F.US.CLEZ14 15 Min #2|.|SellEntry | Last: 77.400002    XXXXXX  Close    
Order  2014-11-12 16:00:02.012  F.US.CLEZ14  2    1  Buy    Pending Open  77.75  Stop  100403  482993724  CQG order update (New)    XXXXXX  Open    
Order  2014-11-12 16:00:02.013  F.US.CLEZ14  2    1  Buy    Open  77.75  Stop  100403  482993724  CQG order update (New). Exchange ID: 807061305896    XXXXXX  Open    
Order  2014-11-12 16:00:02.014  F.US.CLEZ14  2    1  Sell    Pending Open  76.81  Stop  100406  482910318  CQG order update (New)    XXXXXX  Close    
Order  2014-11-12 16:00:02.017  F.US.CLEZ14  2    1  Sell    Open  76.81  Stop  100406  482910318  CQG order update (New). Exchange ID: 807061305961    XXXXXX  Close    
Order  2014-11-12 16:00:53.000  F.US.CLEZ14            Unspecified          Removing Position with quantity of 0    XXXXXX      
Order  2014-11-12 16:02:40.000              Unspecified          Connected to server    None      
Order  2014-11-12 16:03:45.024  F.US.CLEZ14  2      Buy    Pending Cancel  77.75  Stop  100403  482993724  Canceling due to no order update from server    XXXXXX  Open    
Order  2014-11-12 16:03:45.025  F.US.CLEZ14  2      Buy    Canceled  77.75  Stop  100403  482993724  Canceling due to no order update from server    XXXXXX  Open    
Order  2014-11-12 16:03:45.026  F.US.CLEZ14        Sell    Pending Cancel  78.10  Limit  100404    Canceling child orders of internal order ID 100403    XXXXXX  Close  100403  
Order  2014-11-12 16:03:45.027  F.US.CLEZ14        Sell    Canceled  78.10  Limit  100404    Canceling child orders of internal order ID 100403    XXXXXX  Close  100403  
Order  2014-11-12 16:03:45.028  F.US.CLEZ14        Sell    Pending Cancel  77.50  Stop  100405    Canceling child orders of internal order ID 100403    XXXXXX  Close  100403  
Order  2014-11-12 16:03:45.029  F.US.CLEZ14        Sell    Canceled  77.50  Stop  100405    Canceling child orders of internal order ID 100403    XXXXXX  Close  100403  
Order  2014-11-12 16:03:45.030  F.US.CLEZ14  2      Sell    Pending Cancel  76.81  Stop  100406  482910318  Canceling due to no order update from server    XXXXXX  Close    
Order  2014-11-12 16:03:45.031  F.US.CLEZ14  2      Sell    Canceled  76.81  Stop  100406  482910318  Canceling due to no order update from server    XXXXXX  Close    
Order  2014-11-12 16:03:45.032  F.US.CLEZ14        Buy    Pending Cancel  76.47  Limit  100407    Canceling child orders of internal order ID 100406    XXXXXX  Open  100406  
Order  2014-11-12 16:03:45.033  F.US.CLEZ14        Buy    Canceled  76.47  Limit  100407    Canceling child orders of internal order ID 100406    XXXXXX  Open  100406  
Order  2014-11-12 16:03:45.034  F.US.CLEZ14        Buy    Pending Cancel  77.06  Stop  100408    Canceling child orders of internal order ID 100406    XXXXXX  Open  100406  
Order  2014-11-12 16:03:45.035  F.US.CLEZ14        Buy    Canceled  77.06  Stop  100408    Canceling child orders of internal order ID 100406    XXXXXX  Open  100406  
Order  2014-11-12 16:07:20.000              Unspecified          Connected to server    None      
Order  2014-11-12 16:07:26.005  F.US.CLEZ14  2      Buy    Open  77.75  Stop  100488  482993724  CQG order update (Status). Exchange ID: 807061305896    XXXXXX      
Order  2014-11-12 16:07:26.006  F.US.CLEZ14  2      Sell    Open  76.81  Stop  100489  482910318  CQG order update (Status). Exchange ID: 807061305961    XXXXXX      
Order  2014-11-12 16:07:26.011  F.US.CLEZ14            Unspecified          Removing Position with quantity of 0    XXXXXX      



Date Time Of Last Edit: 2014-11-13 08:48:03
[2014-11-13 09:17:44]
Sierra Chart Engineering - Posts: 104368
During the time of the lines in this Trade Activity Log above, did you ever restart Sierra Chart?
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2014-11-13 09:41:25]
User33803 - Posts: 40
Yesterday I had problems with the connection (the program was frozen) and I had to restart Sierra Chart once. I do not remember if it was at that time but, yes, that could be very likely.
Date Time Of Last Edit: 2014-11-13 09:42:32
[2014-11-13 09:54:37]
User33803 - Posts: 40
But I only restarted Sierra Chart once, not twice, and the problem appears at 16:07 and at 16:23 (first TAL posted). Order 100494 was filled but attached 100495 and 100496 were canceled.
Date Time Of Last Edit: 2014-11-13 09:58:07
[2014-11-13 10:15:29]
Sierra Chart Engineering - Posts: 104368
We need to get the FIX log that contains the activity for these orders. So it would be the one for this particular time.

Make sure you have Global Settings >> Data/Trade Service Settings >> Enable FIX Logging enabled.

The log is in the Logs subfolder of the Sierra Chart installation folder. Here is further instructions in regards to this:
Providing FIX Log to Support

Privately attach it here.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2014-11-13 11:09:59]
User33803 - Posts: 40
I attach 10 files. They are the ones generated during that time.
Private File
Attachment Deleted.
Private File
Private File
Private File
Private File
Private File
Private File
Private File
Private File
Private File
[2014-11-13 22:18:03]
Sierra Chart Engineering - Posts: 104368
We are contacting CQG about this. When Sierra Chart requested the orders, the response took more than a minute. This is very unusual.
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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2014-11-15 04:47:15]
Sierra Chart Engineering - Posts: 104368
There are two problems here. One of the problems is documented below from CQG.

The other problem has to do with Sierra Chart internally marking the orders as Canceled when they are working when it has not received them within a one minute period of time from the server. We are going to fix that issue in the next release, so this will not occur again.

This customer has serious performance problems. CQG FIX Server and customer's FIX client interact via socket. Socket sends messages to a client. If socket is loaded with the messages being sent FIX server puts a new message into an internal buffer. A message stays in the buffer until the socket is free. The socket frees up when a client pulls a message out of it. This is a client who decides when to read a message from a socket, we cannot "push" it.

CQG FIX Server started buffering execution reports generated after UAF in 22 milliseconds after UAF came in, but managed to wire messages much later. I see a lot of messages failed to be sent due to overloaded socket and for that reason they went to an internal server's buffer. If a connection is closed all buffered messages are lost. Exactly this happened to this customer, he closed a TCP connection on 11/12/2014 15:04:00.693 and all buffered messages were lost, including execution report for the order 482993724 and UBR message.

It is recommended that your customer urgently fixes performance issue with too slow reading of the messages sent to him, otherwise he will continue losing them.

Finally, the fact that second UAF succeeded and customer received everything simply means that the amount of messages generated for him was smaller than that in the first case and he managed to pull everything from the socket.

This is a performance problem on the customer side and shall be fixed there.


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, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2014-11-15 07:21:49]
User33803 - Posts: 40
This only happened that time. I do not know what my problem is (computer configuration, performance?). Maybe at that time my computer was overloaded? Did they (CQG) see that my reading was always slow or only during the period of time that the problem ocurred?

Do you have any advice to improve the performance which has led to this problem?


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