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Direct MessagesDate/Time: Thu, 02 May 2024 10:46:42 +0000
no fill trade through on ES using IB+SCData
View Count: 627
| [2017-09-26 14:36:14] |
| Joe Hobart - Posts: 89 |
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I frequently use the "Current Traded Bid Volume" on the dom to watch fills come in on ES. over the past couple months i was getting what can only be described as trade through no fills on IB as clearing using the Sierra data feed. I finally managed to catch a clean example of this on video, but now i am not sure how to validate what is going on. Note i have been doing this setup for many years and am very familiar with its motion. Its either a recently introduced bug in sierra, or IB is legit not submitting my orders to the book. i started noticing this in august. You can see clearly that order is places with 296 on offer. a block trade comes through, putting 302 filled on offer and 119 filled on bid. In the worst case, my order should be filled as the 296, but certainly would be swept into the 302 on offer. you will see price move away without a fill for almost 10 more seconds until it returns. either that 302+119 from the "current traded bid volume" calculation is not correct, or i was not in the order book. Date Time Of Last Edit: 2017-09-26 17:20:19
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| [2017-09-26 15:57:24] |
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We will not spend any time on this. The calculation is correct. Refer to: Global Trade Settings Windows: Questions about Chart/Trade DOM Market Data Columns If you have a question about an order fill, contact Interactive Brokers. 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 |
| [2017-09-26 17:20:07] |
| Joe Hobart - Posts: 89 |
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the "submit Orders as Hidden:" IB trading service option had been set to True. I did not make that change intentionally, IB was able to see that flag on the submitted order.
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 2017-09-26_13-15-56.jpg / V - Attached On 2017-09-26 17:17:47 UTC - Size: 84.62 KB - 246 views |
| [2017-09-26 17:47:26] |
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OK.
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 |
| [2017-09-27 13:21:14] |
| Joe Hobart - Posts: 89 |
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i checked with a few SC+IB friends, ALL of them had this setting set to true. this should default to FALSE.
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| [2017-09-27 18:55:01] |
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In the next release we will reset this back to false. Not totally sure why it would be true because the default 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 Date Time Of Last Edit: 2017-09-27 18:55:16
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