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CQG Trading issue in Release 1211

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[2014-11-12 19:46:07] #1 [Go To First Post]
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] #2 [Go To First Post]
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] #3 [Go To First Post]
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] #4 [Go To First Post]
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] #5 [Go To First Post]
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] #6 [Go To First Post]
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] #7 [Go To First Post]
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] #8 [Go To First Post]
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] #9 [Go To First Post]
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] #10 [Go To First Post]
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] #11 [Go To First Post]
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] #12 [Go To First Post]
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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