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Direct MessagesDate/Time: Thu, 02 May 2024 09:48:36 +0000
'Spreadsheet System for Trading' | Orders Cancelled Unexpectedly
View Count: 1255
| [2015-07-21 16:13:48] |
| User224651 - Posts: 28 |
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We have 1 'Spreadsheet System for Trading' running on in one chartbook. This morning, the 'Spreadsheet System for Trading' established limit entry order (Long). This limit entry order was then cancelled. We do not have any rules that we are aware of that would have the 'Spreadsheet System for Trading' cancel the limit entry order. The 'Spreadsheet System for Trading' had recently been in a short trade that was closed out about 18 seconds prior to the limit entry order (Long). We ran the same 'Spreadsheet System for Trading' through Sierra Chart's Replay functionality and the cancellation orders were not invoked. Attached are the relevant records in the Trade Activity Log. Is there a way to ferret out what created the cancellation? |
Private File |
| [2015-07-22 05:40:19] |
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This line indicates the automated trading system canceled the orders: Auto-Trading: @ES# 1.00 Range #1 | Grey Bot - Beta 1.0 | Canceling all orders 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 |
| [2015-07-22 11:41:39] |
| User224651 - Posts: 28 |
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We did observe the record in the TAL denoting the cancelled orders. However, there was nothing in the spreadsheet that we can find that triggered the cancellation of the orders. Also, when we ran the same routine back via Sierra Chart's Replay function the orders were not cancelled. A better way to phrase our question might be, what triggered the cancellation for the orders whose 'InternalOrderID' were 374327, 374328, 374329. Since when we step through the code via Replay and the orders are not cancelled, is there an alternate method we can use to understand what the root cause of these cancellations were? |
| [2015-07-22 18:03:15] |
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We are going to add more detailed logging today which will include the precise source of why the orders were canceled. For example, if they were canceled during a Buy Entry that will be indicated. Or the particular spreadsheet cell that triggered the cancel. 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 |
| [2015-07-22 18:24:52] |
| User224651 - Posts: 28 |
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Oh, that will be great. Thanks.
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| [2015-07-23 18:55:10] |
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Please update to version 1276 and do the testing again. It has more detailed logging. The Order Action Source field in the Trade Activity Log will indicate the particular spreadsheet cell or column that triggered this. 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 |
| [2015-07-24 21:30:05] |
| User224651 - Posts: 28 |
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We have revved to 1276 but have not yet had a recurrence of the issue so we have not yet been able to experience the additional logging in the OrderActionSource field. We will continue to monitor and will update when\if we have new findings for this issue. |
| [2015-07-30 13:35:55] |
| User224651 - Posts: 28 |
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We have had an occurrence where a set of orders were automatically cancelled and an entry was written to 'OrderActionSource'. The record indicates that the cancellations may have something to do with 'Bar Start Time:'. Can you shed some light as to what would have invoked this? "[Sim]@ES# Auto-Trade: @ES# 1.00 Range #1 | Auto Trade Test 1.1 | Canceling all orders | Source: Cancel Orders cell | Bar Start Time: 2015-07-30 09:22:47 375811 Limit Sell 2096.25 Pending Cancel Sim1 Close 375810" |
| [2015-07-30 18:03:24] |
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What this indicates is that this cell was set to TRUE: https://www.sierrachart.com/index.php?page=doc/doc_SystemsAlerts.php#CancelWorkingOrders It happened on the bar with this starting time: Bar Start Time: 2015-07-30 09:22:47 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 |
| [2015-07-30 19:47:05] |
| User224651 - Posts: 28 |
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Thanks for this insight. We have reviewed the formula in cell J27 and understand why the orders were cancelled. We have a rule in J27 that says that if an entry order is not filled after one bar then cancel, which we realize now causes a dilemma as we toggle 'Auto Trading Enabled' (Trade >> Auto Trading Enabled) on and off during the trading day. In today's instance, we had Auto Trading disabled when a short entry signal was given. Then on the next bar after the short entry signal was given, we turned on Auto Trading. On this bar when Auto Trading was enabled, a long signal was generated and a long entry limit order was placed on the open of the next bar. Immediately after the entry order was placed, J27 sent an order to cancel the orders from the short signal 2 bars ago - which occurred when Auto Trading was not enabled. Hence, though the short entry order/stop/target from two bars ago were never placed because auto trading was not enabled, J27 still did its housekeeping routine and sent out instructions to cancel all orders. In this case, J27 generated some friendly fire that cancelled the newly standing long entry limit, though the intent of the formula was to cancel the unfilled short entry limit order from 2 bars ago - where this short entry order was never sent out as Auto Trading was not enabled. Is there a configuration, or formula, that we can use that will allow us to turn auto-trading on\off at will, but that will also allow us to manage these back to back entry signals where one signal is generated when Auto Trading is not enabled and the next signal is generated when Auto Trading is enabled? |
| [2015-08-02 23:14:12] |
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In the next release this will be outputted at I79: Auto-Trading Enabled (read only): You can combine this into the order action formulas to not return TRUE when this is FALSE. 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 |
| [2015-08-04 17:25:51] |
| User224651 - Posts: 28 |
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Thanks for this....
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