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Direct MessagesDate/Time: Fri, 26 Apr 2024 22:05:33 +0000
chart replay simulated trading, cannot get correct fill prices
View Count: 1989
| [2017-11-04 00:22:14] |
| Tom Hanks - Posts: 20 |
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So I have been trying to replay the chart USDCHF 60m and do simulated trading using the DOM. When I click buy market I cannot get a fill at the price shown on the chart. I have been trying to troubleshoot based on what I'm reading here: Trade Simulation: Why Fill and Order Prices Can Be Wrong or Unexpected / Orders Do Not Fill When Expected When I mess with the tick size and tick value, while replaying the chart, the prices on the dom do not change. I am using the "SC Data- All Services" feed. When I set the global symbol settings for USDCHF to update from server (and save this to the chart settings) the prices on the DOM will update, but they are not in line with the prices shown on the chart. So, it seems like the tick size/value is the culprit, but I still cannot get the dom to show accurate prices. The settings that are pulled from the SC Data server for USDCHF are 0.00005 tick size and 0.00005 currency value per tick. When I trade on my live account the values are 0.00001 tick size and $0.1 per tick, so these are the correct values. It seems like the dom won't work with values different than the SC Data defaults, which are wrong. So what do I do? Thanks! |
| [2017-11-06 17:39:26] |
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The fill price of the Buy Market order will be the Ask price at that moment in time. Refer to: Trade Simulation: How Orders are Filled You can also add the Bid and Ask Prices study to the chart to easily see these at each chart bar: Bid & Ask Prices When I trade on my live account the values are 0.00001 tick size and $0.1 per tick, What particular trading service are you referring to? This Currency Value per Tick is not correct.Also, refer to: Sierra Chart Real Time and Historical Forex and CFD Data Service: Forex/CFD Market Data and Data Recording Modes 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: 2017-12-24 00:53:14
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| [2017-11-10 22:27:25] |
| Tom Hanks - Posts: 20 |
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The prices displayed on the dom are way off from the prices on the chart, so it's not a matter of mark vs bid and ask. I trade forex through TDAmeritrade currently. These are the minimum tick sizes and values for some of the pairs (per 10k lot). When I calculate my P/L with these values it matches the real P/L changes in my account. These values are explicitly stated in the ThinkorSwim trading software. Also, the prices shown on the charts using Sierra Chart match the prices I see with TDA. pair---------tick size-----tick value USD/JPY------0.001---------$0.090 NZD/USD------0.00001-------$0.100 EUR/USD------0.00001-------$0.100 AUD/USD------0.00001-------$0.100 NZD/JPY------0.001---------$0.090 GBP/CHF------0.00001-------$0.100 NZD/CAD------0.00001-------$0.080 Date Time Of Last Edit: 2017-11-11 02:20:33
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| [2017-11-22 02:16:32] |
| Tom Hanks - Posts: 20 |
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Do these values seem incorrect? I need to know if I can use SC for forex |
| [2017-12-24 01:00:23] |
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I will not be using SC anymore. After pointing out incorrect SC forex price data and asking for help I received no answers and it looks like this is not a good choice for forex trading and backtesting.
We received the above from you by email. You have not pointed out any incorrect SC Forex price data. And to say that Sierra Chart is providing incorrect Forex price data, is completely false. No one ever points out such an issue because it does not exist. Therefore, what is the particular issue you are having? Post an image of the the chart and also the Trading DOM showing what you are seeing, following these instructions: https://www.sierrachart.com/index.php?page=PostingInformation.php#Image And tell us why the data is incorrect. And Sierra Chart provides multiple sources of Forex data. Most likely you are referring to the FXCM provided data included with Sierra Chart service packages. The reason the posts above did not receive an answer is because we really did not know what to say and it really was not making any sense to us to begin with so we were struggling to think about what to even say and unfortunately, after a period of time we then had overlooked it due to the passage of time. Will go over this as best as we can item by item: When I set the global symbol settings for USDCHF to update from server (and save this to the chart settings) the prices on the DOM will update, This makes no sense. Changing the Symbol Settings will not prevent or cause updating on the trading DOM of the current prices. So we do not know what you are referring to here.The prices displayed on the dom are way off from the prices on the chart, so it's not a matter of mark vs bid and ask. This inherently makes no sense. From our perspective the only logical conclusion, is there is not a synchronization between the two. You may not be properly replaying the trading DOM. Here are the instructions:Replaying Charts: Replaying Trade DOM Windows Are you literally seeing a difference in the last trade prices between the chart and the trading DOM? The other thing is you should not be changing the Tick Size or the Currency Value Per tick. These are not going to affect the displayed prices. Those are already properly set and should not be changed unless you understand what you are doing. What is it you are trying to achieve by changing them? From our perspective we are not understanding the issue. I trade forex through TDAmeritrade currently. These are the minimum tick sizes and values for some of the pairs (per 10k lot). When I calculate my P/L with these values it matches the real P/L changes in my account. These values are explicitly stated in the ThinkorSwim trading software. Also, the prices shown on the charts using Sierra Chart match the prices I see with TDA. pair---------tick size-----tick value USD/JPY------0.001---------$0.090 NZD/USD------0.00001-------$0.100 EUR/USD------0.00001-------$0.100 AUD/USD------0.00001-------$0.100 NZD/JPY------0.001---------$0.090 GBP/CHF------0.00001-------$0.100 NZD/CAD------0.00001-------$0.080 This whole subject is documented here: Profit/Loss Calculations and Symbol Settings And specifically refer to this section on that page as well: Profit/Loss Calculations and Symbol Settings: Order Quantity Effect on Profit/Loss Values for Forex Symbols Now in the end, if you do not want to use Sierra Chart that is fine but if we can help you with the problem, we will. But at this point, we really do not understand what the issue is to begin with. It is best, to focus on one item and express it clearly, and provide the images requested. 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: 2017-12-24 01:05:50
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| [2017-12-24 01:06:04] |
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The prior post has been updated.
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 |
| [2017-12-24 09:55:50] |
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Thinking through this post some more and looking it over again, it seems as though that the problem you are having is simply that the Trading DOM and chart are not synchronized with each other. Here are the instructions to follow for that: Replaying Charts: Replaying Trade DOM Windows What has confused this, is the reference to Tick Sizes and Currency Value per Tick. So that is where we became confused. We do not see the relevancy of those if this is just a simple synchronization issue. This is what led to us initially to be confused. 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: 2017-12-24 09:56:50
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