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Direct MessagesDate/Time: Sun, 19 May 2024 21:54:21 +0000
Simulated fills
View Count: 846
| [2015-11-20 09:35:18] |
| Lux - Posts: 14 |
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Hi! How is SC dealing with Sim fills? For example,if i place limit,what parameters in SIM trading SC takes into account in order to calculate limit's position in the queue? After playing around a bit,i have seen fills on second,third,fourth touch,on trading thru so i am wondering what parameters are taken into account to get such picture. I have been looking at ES,FGBL and FESX.Does SC take into account differences between markets when simulating fills or it is "one size fits all" thing? I know that simulated vs live cash fills is impossible to match exactly,but i would like to understand more about mechanics that SC is using for SIM fills,limit orders in particular. Could you please explain it? Date Time Of Last Edit: 2015-11-20 09:42:06
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| [2015-11-20 17:13:45] |
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This is documented here: https://www.sierrachart.com/index.php?page=doc/doc_TradeSimulation.php#HowOrdersAreFilled 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 |
| [2015-11-20 19:37:47] |
| Lux - Posts: 14 |
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Thanks for the link,went thru it but still not sure how close are sim fills on live market data to live trading?Just curious to know how well you guys did it. How does SC simulate the position of limit in the queue and can queue and order's position in it be simulated at all? If it is possible,what is taken into account when calculating that? Just now i took few trades in ES and limits got filled more easily than just after NY opening.So is simulator taking into account things like volume,time of the day etc when determining how long will it take for limit to get filled or it totally depends on simulated queue(if there is one)? Date Time Of Last Edit: 2015-11-20 19:40:18
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| [2015-11-20 20:10:28] |
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The documentation is quite clear how simulated orders are filled. How does SC simulate the position of limit in the queue and can queue and order's position in it be simulated at all? 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 Date Time Of Last Edit: 2015-11-20 20:24:28
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| [2015-11-20 20:58:04] |
| ejtrader - Posts: 688 |
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Lux - In simple terms : For SC - if bestAskPrice == limitLong Price or bestBidPrice == limitShort - you get a fill. |
| [2015-11-20 21:05:53] |
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Yes, the logic is simple like this. There is no consideration as to the position in the queue. 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 |
| [2015-11-21 06:55:25] |
| Lux - Posts: 14 |
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Got it,thanks guys!
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