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Date/Time: Thu, 28 Mar 2024 17:30:22 +0000



Strange problem with IB/Sierra Chart

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[2013-07-29 13:19:00]
moonmist - Posts: 127
Hi,

This problem disappeared for several months already. Today, it re-appeared.

http://www.sierrachart.com/supportboard/showthread.php?t=41102

In both cases, parents were a BUY limit order. The OCO children orders were a SELL stop and a SELL limit ( target ). One second after execution of the BUY limit order for CLU3, the stop was moved to breakeven minus two, and I was down two ticks again. Almost an exact duplicate !!!

Switched to paper-trading account of Interactive Brokers, and did some testing. Everything was fine.

PS: Just executed another LIVE BUY limit order with the same attached OCO orders ( same configuration ). No problem this time.






Date Time Of Last Edit: 2013-07-29 13:52:27
[2013-07-29 17:22:54]
Sierra Chart Engineering - Posts: 104368
Provide the Trade Activity Log for the order in question, by following these steps:
http://www.sierrachart.com/index.php?l=doc/doc_TradeActivityLog.php#TradeActivityLogToSupport
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
[2013-07-30 15:58:00]
moonmist - Posts: 127
Hi,

I cannot make yesterday's problematic trade appear on the "Trade Activity" section. But it does appear, when I select "Trade Activity Log" and then the "Trade" tab:

Symbol  Trade Type  Entry DateTime  Exit DateTime  Avg Entry Price  Avg Exit Price  Entry Quantity  Exit Quantity  Max Open Quantity  Profit/Loss  Cum P/L  Runup  Drawdown  Max Open Profit  Max Open Loss  Entry Efficiency  Exit Efficiency  Total Efficiency  Commission  
CL-201309-NYMEX  Long  2013-07-29 08:48:26  2013-07-29 08:48:27  105.11  105.09  1  1  1  -20.00  20.00  10.00  -20.00  10.00  -20.00  33.33%  0.00%  -66.67%  0.00  

Today, this problem occurred again. This trade does not appear on the "Trade Activity Log" at all, but it does appear on the "Orders and Positions" table of Sierra Chart:

Entry Time  Last Activity Time  Symbol  Status  Internal Order ID  Order Type  Buy/Sell  Open/Close  Order Quantity  Price  Price 2  Filled Quantity  Average Fill Price  Parent Internal Order ID  Time in Force  Good Till DateTime  Service Order ID  Trade Account  Link ID  OCO ID  LastOrderActionSource  
2013-07-30 11:21:34  2013-07-30 11:22:41  CL-201309-NYMEX  Filled  8382  Stop  Buy  Close  1  102.94  0.00  1  103.02  8380  Good till Canceled  Good till Canceled  1008  UXXXXX  0  8381  IB order status update  
2013-07-30 11:21:34  2013-07-30 11:22:40  CL-201309-NYMEX  Filled  8380  Limit  Sell  Open  1  102.99  0.00  1  102.99  0  Day  Day  1006  UXXXXX  8380  0  IB order status update  


The stop loss order was supposed to move to 102.94 on ten-tick profit. Instead, it was raised to 102.94, when price was at 103.02, resulting in a three-tick loss.

Both trades did appear on the "Audit Trail" file of Interactive Brokers. In both cases, the stop loss orders were moved, one or two seconds after execution of the parent orders. Is it possible to show yesterday's trades on the "Orders and Positions" table ?


Date Time Of Last Edit: 2013-07-30 16:25:35
[2013-07-30 17:45:00]
moonmist - Posts: 127
Hi,

Finally, I am able to find yesterday's bad trade at the "Trade Activity" section. The following is relevant to the problematic stop loss order:

ActivityType  DateTime  Symbol  OrderActionSource  InternalOrderID  ServiceOrderID  OrderType  Quantity  BuySell  Price  Price2  OrderStatus  FillPrice  FilledQuantity  TradeAccount  OpenClose  ParentInternalOrderID  PositionQuantity  FillExecutionServiceID  

Order  2013-07-29 08:48:26.002  CL-201309-NYMEX  Auto-sent child from parent fill  8283    Stop  1  Sell  104.96    Order Sent      UXXXXX  Close  8281  1    

Order  2013-07-29 08:48:26.003  CL-201309-NYMEX  IB order status update  8281  975  Limit  1  Buy  105.11    Filled  105.11  1  UXXXX  Open    1    

Order  2013-07-29 08:48:26.005  CL-201309-NYMEX  IB order status update  8283  977  Stop  1  Sell  104.96    Open      UXXXX  Close  8281  1    

Order  2013-07-29 08:48:26.006  CL-201309-NYMEX  Auto trail order modification (Move to breakeven). Trigger price: 105.209998  8283  977  Stop  1  Sell  104.96    Pending Modify      UXXXX  Close  8281  1    

Order  2013-07-29 08:48:26.007  CL-201309-NYMEX  IB order status update  8283  977  Stop  1  Sell  105.16    Open      UXXXX  Close  8281  1    

Fill  2013-07-29 08:48:27.002  CL-201309-NYMEX  IB order fill (execution)  8283  977  Stop  1  Sell  105.16    Open  105.09  1  UXXXXX  Close      0000e9a5.51f5bb57.01.01  
Order  2013-07-29 08:48:27.003  CL-201309-NYMEX  IB order status update  8283  977  Stop  1  Sell  105.16    Filled  105.09  1  UXXXXX  Close  8281    

  
[2013-07-30 17:58:33]
Sierra Chart Engineering - Posts: 104368
You most definitely can see these orders on the Trade Activity tab of the Trade Activity log. Make sure you have selected All Activity for the trade activity type, the correct Symbol and All Accounts(if you have that setting) at the top of the trade activity log.
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
[2013-07-30 18:04:20]
Sierra Chart Engineering - Posts: 104368
The log indicates this: Trigger price: 105.209998

So this is what triggered the move to breakeven.
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
[2013-07-30 18:10:12]
moonmist - Posts: 127
I set a 15-tick stop, moved to breakeven plus 5 ticks ( in this case, 105.16 ) on ten-tick profit ( in this case 105.21 )


Date Time Of Last Edit: 2013-07-30 18:13:50
[2013-07-30 18:12:59]
Sierra Chart Engineering - Posts: 104368
The price of 105.21 was received from the data feed.
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
[2013-07-30 18:14:47]
moonmist - Posts: 127
But price never moved to 105.21

[2013-07-30 18:21:39]
Sierra Chart Engineering - Posts: 104368
This price must have been received from the data feed. We cannot see another possibility.

Open a Time and Sales window by selecting File >> Open Time and Sales Window. When you notice is problem, look at the prices received at the time.
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
[2013-07-30 18:41:36]
Sierra Chart Engineering - Posts: 104368
Another thing to check, is whether the price that triggered the move to break even, occurred within the second before the stop was submitted.
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
[2013-07-30 22:21:17]
moonmist - Posts: 127
Hi,

I examined the Trade Activity log for today's problematic stop loss order around 2013-07-30 11:22:41. Again there is a line:

CL-201309-NYMEX Auto trail order modification (Move to breakeven). Trigger price: XYZ

where the price XYZ should not have reached according to the chart. That is two bad ticks from Interactive Brokers within a short period of time.




Date Time Of Last Edit: 2013-07-30 22:25:14
[2013-07-30 22:26:57]
Sierra Chart Engineering - Posts: 104368
What we need to know is whether you see these apparent invalid prices in the Time and Sales window within 2 seconds of when the move to breakeven action occurs.
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
[2013-07-30 22:44:10]
moonmist - Posts: 127
Just opened a Time and Sales window, but it started at 18:42:20 Eastern Time. Not very useful.




[2013-07-31 17:34:59]
Sierra Chart Engineering - Posts: 104368
Let us know when you see this again and if you see an unusual price in the Time and Sales window. What we are concerned about, is the origin of the price which is causing the problem. If you do not see it actually charted, then we are not sure why it would affect orders or be listed in the Time and Sales window. So at this point, the whole problem is puzzling.
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
[2013-07-31 18:22:27]
moonmist - Posts: 127
Hi,

In both cases, the chart looks fine. ( Someone examined the one-tick chart of oil futures in December, and could not find the source of problem either. )

For the second problematic trade, I was watching the TradingDOM carefully, ( because of the first bad one ). What I saw was:

Price traded through the entry price ( I used a limit order for entry ), and the stop loss order on the TradingDOM immediately moved, and got filled. It was unlikely that CLU3 could make an over ten-tick round trip within one second.

In addition, Sierra Chart can move the stop really fast. Oil futures market was relatively calm, when the two problematic trades were executed. There were occasions that price jumped wildly up and down, and Sierra Chart still managed to move the stop fast enough to lock in some profit. ( This was the main reason I decided against moving the stop loss manually. )

I have disabled the auto-trailing stop feature for the LIVE account. I did months ( maybe over a year ) of testing using the paper-trading account of Interactive Brokers. This problem has never occurred. I do not have another data feed that can work with Sierra Chart. Otherwise, I may be able to find out whether this problem is specific to IB or common to all data feeds.

I plan to do some automated trading within the next few weeks. If this problem is specific to IB, I really need to find another more reliable data feed.











Date Time Of Last Edit: 2013-07-31 21:04:57

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