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filling stop market orders

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[2016-02-25 09:35:53] #1 [Go To First Post]
wat - Posts: 67
Hello, i ve got problem with Accurate trading system back test mode and filling orders, I set stop market order (SL), when the price was falling down and trigged my SL (Sl-1237.7) i ve got better price at 1238.8. It happens really often and it results to better filling orders which is not real behavior of market. I post screenshot of "order action source". Thank you guys


Market order filled.png / V - Attached On 2016-02-25 09:35:09 UTC - Size: 4.03 KB - 248 views

[2016-02-25 10:08:29] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
How this works is documented here: https://www.sierrachart.com/index.php?page=doc/doc_TradeSimulation.php#HowOrdersAreFilled We assume you are using tick by tick data?: https://www.sierrachart.com/index.php?page=doc/doc_TickbyTickDataConfiguration.php What is the time zone you have Sierra Chart set to? 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

[2016-02-25 10:24:05] #3 [Go To First Post]
wat - Posts: 67
I am using tick by tick data, set is correct, I am using "global time zone" in Chart setting and in Data trade setting i ve set Brussel +1, is it possible there is problem ?


tick by tick setings.png / V - Attached On 2016-02-25 10:23:10 UTC - Size: 33.83 KB - 255 views

[2016-02-25 14:13:00] #4 [Go To First Post]
wat - Posts: 67
What is most frustrating, i did 328 trades in backest, i have the same take profit and stop loss (f.e: GC 40 TP, SL 40) and i ve got very often higher gains and i ve got very often lower losts, BUT never higher loss than is SL 40 ticks. Backtest helps me in huge numbers ! U can see my screenshot. What s wrong ? I have no idea ... See, if I did 20 more winning trades than losing trades, I would expect profit of more or less 8.000(in this spesific case, not deducting comissions). Backtest however shows profit of 15.338(cimmisions deducted). This would mean the fills were HEAVILY influenced by volatility, but I doubt this would be such a high number. Thank you guys Date Time Of Last Edit: 2016-02-25 14:17:54


Trade statistics.png / V - Attached On 2016-02-25 14:11:42 UTC - Size: 84.77 KB - 265 views

[2016-02-25 18:38:48] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We looked at the data and the problem is the Bid and Ask prices in the example you gave are out of range compared to the last trade price. We noticed that more than once around the same time with the GC market. This is the result of the price moving fast but the exchange not updating the Bid and Ask frequently enough. We are looking more into this and thinking about a solution. 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

[2016-02-26 08:54:16] #6 [Go To First Post]
wat - Posts: 67
Hi, thank you for your reply. I have actually a few more questions since this issue is overwhelming my mind for over a week now: 1)Theoretically - if I used different data feed, would the situations in backtest look similiar? You said this is becouse of exchange's incapability to update BID/ASK frequently enough, so I wonder even though I am very satisfied with SC data feed. 2) What can I do to achieve more realistic results? I understand we are usually talking the problem with high volatile moments - but what if I did the backtest based on last price? Not bid/ask which is apparently not suitable in this case. Is this even posible with SC? Would I have to try and backtest with different backtesting software? But still it looks very curious to me, that even though my strategy is both long and short, this condition almost always "improves" the performance. Thank you guys for your help.

[2016-02-26 22:28:07] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
1. Yes they would be similar. 2. We need to implement a solution to this. Just give us about a week. 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

[2016-02-29 09:17:21] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
1. We have confirmed this problem also is the case with IQ Feed. This shows that it is a CME data limitation. 2. We have programmed a solution to this that will be out in the next release. The new version will be out in one or two more days. 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: 2016-02-29 09:18:14

[2016-02-29 09:28:01] #9 [Go To First Post]
wat - Posts: 67
Hello guys, thank you for your response. Its quit interesting, May i ask what kind of solution do you prepare ? 1) What is connected with this issue maybe, I did LOT OF backtest with using entry by SCT_ORDERTYPE_MARKET and SCT_ORDERTYPE_LIMIT, i ve got the same prices with using these different types orders. I did more than 300 trades and results were absolutely the same. Due to market conditions i think its not real behaviore of markets. Thank you Date Time Of Last Edit: 2016-02-29 12:03:54

[2016-03-01 02:46:25] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The changes will be posted on the What is New page with the particular version that has the changes: http://www.sierrachart.com/index.php?page=doc/Whats_New.php 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: 2016-03-01 02:46:38

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