Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Thu, 02 May 2024 21:30:56 +0000
ATM Strategy Issue - Contracts partially filled as price went through twice
View Count: 1067
| [2016-06-20 22:56:27] |
| User600819 - Posts: 43 |
|
I placed a trade with a target of 2084.25 with 14 contracts. At 14:52, 3 of the 14 contracts were filled at 2084.25 which was my target in my ATM strategy. The price of the ES went up to 2084.75 twice within the next 8 minutes or so and did not fill my 11 other contracts. I understand slippage in a fast market, but this was not a fast market and price went pass my target several times without filling. (Message Log removed because not relevant) Date Time Of Last Edit: 2016-06-21 00:53:06
|
| [2016-06-21 01:59:27] |
| |
|
If Sierra Chart Trade >> Trade Simulation Mode On was disabled, you need to ask your broker about 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 Date Time Of Last Edit: 2016-06-21 01:59:40
|
| [2016-06-21 02:13:39] |
| User600819 - Posts: 43 |
|
I've attached the email I received from the broker and I attached the file they sent to me. Should I reach back out to them telling them you guys said the issue was on their end? Hello Maurice, Thank you for contacting us! I have spoken to Nick in regards to your question regarding the stop order that you had placed and received a partial fill. After looking at your trades for today we do see that the order in question had an issue with the ATM strategy in place. This is something that you will need to contact Sierra Charts about regarding the setting in your ATM Strategy. Please see the attachment of the order in question with the order detail log. Please let me know if you have any further questions. Best, Melissa |
Private File |
| [2016-06-21 02:36:58] |
| |
|
There is a procedure to follow for this. Follow through the steps here: https://www.sierrachart.com/index.php?page=doc/doc_TradeActivityLogAnalysis.php#SupportAssistedTradeActivityLogAnalysis There is no need to deposit any funds to pay for this because we will just have a quick look to see what we can find. You can attach the Trade Activity Log file here privately and we will delete it when done. 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 |
| [2016-06-21 02:40:58] |
| |
|
Actually, we had a quick look at the attachment. We think we have an idea what the problem is. You really should disable server-side OCO and bracket orders when using CTS. Refer to the information here: http://www.sierrachart.com/index.php?page=doc/CTS_T4.php#CTSServerSideOCOBracketBehavior It looks like the quantity of the order was 3 and not 14 because after the quantity was increased to 14 the server set it back to 3. With the new integration that Sierra Chart is developing to CTS, we will not be using CTS server-side OCO or bracket orders. All of this will be reliably managed on our server instead. 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: 2016-06-21 02:43:02
|
| [2016-06-21 03:10:12] |
| User600819 - Posts: 43 |
|
Thanks for that insight. Just for my clarification ,was this a Sierra Chart issue or CTS/Broker issue? |
| [2016-06-21 05:37:19] |
| |
|
It is definitely not a Sierra Chart issue. We would have to examine the Trade Activity Log for the order but from what we remember this is just a CTS bracket order limitation. 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 |
| [2016-06-21 13:35:08] |
| User600819 - Posts: 43 |
|
The trade file should be attached. Trade Symbol: ES Trading account identifier: famumoeJune01CC Eastern Time Zone..issue occurred between 14:47 and 14:53 Service Order ID: 6A296474-A418-4D30-9E01-9C5A320CEB3B |
Private File |
| [2016-06-21 17:41:55] |
| |
|
This will be reviewed later today.
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 |
| [2016-06-21 17:57:54] |
| User600819 - Posts: 43 |
|
Thanks!
|
| [2016-06-22 10:16:08] |
| |
|
The problem is this: ActivityType DateTime Symbol OrderActionSource InternalOrderID PositionQuantity Quantity ServiceOrderID OrderStatus OrderType FillPrice Price BuySell Price2 FilledQuantity TradeAccount OpenClose ParentInternalOrderID FillExecutionServiceID
Because the parent order partially filled, The OCO orders had to have their quantity increased from 3 to 14. But for reasons which we do not understand, the CTS server then set the quantity from 14 back down to 3.Order 2016-06-20 14:47:14.962 ES.20160900.CME_Eq CTS order update (Replace) 864 14 14 F128222C-C090-4F0C-AC3E-07EABF46AA3B Open Limit 2084.25 Sell * Close 863 Order 2016-06-20 14:47:14.992 ES.20160900.CME_Eq CTS order update (Replace) 864 14 3 F128222C-C090-4F0C-AC3E-07EABF46AA3B Open Limit 2084.25 Sell * Close 863 We have seen this behavior before and we asked CTS about this. It was a while ago and do not remember the reason why this behavior occurs. With the new order routing connection that we are working on for CTS, none of this will be relevant any longer because we will not be using CTS server-side OCO orders. They will be managed on our server. The problem is that because the parent order was a market order, this did not go through as an auto OCO order which would have avoided this problem. The most reliable thing to do is to disable Global Settings >> General Settings >>Use Server-Side OCO and Bracket 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 |
To post a message in this thread, you need to log in with your Sierra Chart account: