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Direct MessagesDate/Time: Sun, 05 May 2024 02:37:54 +0000
[Locked] - LIFO /FIFO fill matching problem in REPLAY
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| [2018-09-27 19:29:36] |
| User884307 - Posts: 173 |
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Currently using 1811 and only just noticed it, but regardless of whether the LIFO fill matching is checked (or unchecked) the orders seem to be getting filled using FIFO regardless? cheers Date Time Of Last Edit: 2018-09-27 19:30:08
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| [2018-09-27 20:18:03] |
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Refer to: Reimplementation of Trades and Trade Statistics and Period Trade Stats Tabs/Calculations 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 |
| [2018-09-27 20:32:05] |
| User884307 - Posts: 173 |
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Hi Are you serious about removing Last in First Out matching? I use this to scalp on negative overall positions and that will COMPLETELY render Sierra Chart unuasable for me. Why has LIFO worked so well for EVER and now all of a sudden its a problem and has to be removed and apparently under no circumstances will it return?? (all seems rather cloak and dagger lol) I am totally gobsmacked!! |
| [2018-09-27 20:58:21] |
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We will be adding it for the Position Average Price calculation. We expect to have this done within the next couple of weeks. Otherwise, not sure how you are relying on it in your case. 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: 2018-09-27 20:58:30
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| [2018-09-27 21:11:52] |
| User884307 - Posts: 173 |
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Will the Position Average Price calculation method work on DOM as before just repackaged ? We use this SC for our replay and backtesting, it has always been good, cheap and well supported but with this option being removed it means that this subscription and our other will have to end with ALOT of regret but we cannot be held to ransom by arrogant programmers who seem to think they know best. I truely dont mean it to sound unfriendly but your programmers, and im sure ALOT of your customers who actually trade, will find the same problem once it has dawned on them. This is a function that DEFINATELY has to be implemented unless one is using an independent DOM to trade with. 1809 seems to be ok, how long will this version run for without doing upgrades? Your last sentence above was "Otherwise, not sure how you are relying on it in your case." - I dont understand the question? Please explain regards |
| [2018-09-27 21:18:14] |
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Will the Position Average Price calculation method work on DOM as before just repackaged ? Yes.This does answer our question in regards to how you are relying on it. So you will be fine. We already recognized the importance of it for the position average price and in our original thread about the reimplementation, we did say that it will be added. Also it is not a matter of us being arrogant. It is a matter of the code being easy to maintain, well structured and understandable and everything working in an orderly way. The previous code done by another developer no longer with us was not well structured. It has been extensive task cleaning it all up and correcting issues. Performance is also greatly improved as well. 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: 2018-09-27 21:24:44
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| [2018-09-27 21:32:45] |
| User884307 - Posts: 173 |
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Ok, that is reassuring to know. I will downgrade to 1810 whilst you need to do what it is you are doing. Can I just confirm that when I do upgrade in a couple of weeks or so, that I will be able to use the standalone DOM (not ChartDOM), and presumeably ticking a box on or off I will once again be able to trade using LIFO order placing? Again, i appreciate your understanding in this matter! |
| [2018-09-27 22:12:45] |
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Yes this is correct. And that is why you still see the option because it is going to be reimplemented. This is why it was never removed.
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: 2018-09-27 22:13:23
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| [2018-09-27 22:26:16] |
| User884307 - Posts: 173 |
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Brilliant 👍 Thankyou with much relief! |
| [2018-10-02 10:28:48] |
| User884307 - Posts: 173 |
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Hi, would it be possible to advise when and what version will once again support LIFO order matching. I am still using 1810 which still has LIFO functionality. I have just tried version 1814 and still not implemented. Cheers |
| [2018-10-02 10:31:12] |
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Check back in about two weeks. It is not something we can work on this week but next week should be able 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 Date Time Of Last Edit: 2018-10-02 10:31:30
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| [2018-10-03 12:51:02] |
| phaedonk - Posts: 350 |
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Just a note to say I am also intently waiting for LIFO return. Its very helpful for scalpers and other methods with multiple entries where you need to match exits depending on a specific trade sequence. This can be at times LIFO or FIFO. Let's assume I'm selling a rising market twice. I want to match the second entry with the first exit, at a BE exit and let the first entry for later. No FIFO means that Sierra exits the first (lower priced) short for a large loss, then I have to manually mark what match I actually wanted, and also take great care that the new position price does not confuse me in subsequent trades and the view I have on trade profitability. Also, it would be best if LIFO could be set per chart (if only for viewing purposes, not the trade statistics table). I understand that this could be highly complex, so at the very least please make the option for LIFO as a shortcut, so we can easily toggle on/off. Thanks. |
| [2018-10-03 17:45:20] |
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Also, it would be best if LIFO could be set per chart (if only for viewing purposes, not the trade statistics table). This is no problem and we will do 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 |
| [2018-10-10 11:07:07] |
| User884307 - Posts: 173 |
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Hi, just wondering when LIFO will be once again implemented as in all previous versions as Im still running version 1810 to get around this at the moment? I remember you saying it would be sorted within couple of weeks? cheers |
| [2018-10-10 17:30:38] |
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We have completed this, and we are testing it. It should be out in one or two days. The option for it will be in Chart >> Chart Settings >> Advanced Settings 3. What is good about what we have done is that both the First In First out and Last-in First Out Position Average Price calculation is implemented in a very reliable way so Sierra Chart will be able to calculate this average price in almost all cases rather than displaying what is provided by the external service in some cases as was previously. 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 |
| [2018-10-10 19:45:36] |
| User884307 - Posts: 173 |
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I will very much look forward to that, many thanks 👍 .... This will function in standalone DOM aswell? Cheers Date Time Of Last Edit: 2018-10-10 19:47:27
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| [2018-10-10 22:56:35] |
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Yes.
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 |
| [2018-10-12 10:14:51] |
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Version 1821 is going to be released in about 20 minutes. It has a new setting in Chart >> Chart Settings >> Advanced Settings 3 to control the Open Position Average price calculation method. There are four choices giving you complete flexibility. Test and let us know if it works properly. We only did some very basic testing at this time. The flat to flat calculation method is still the original implementation and if the new FIFO and LIFO methods work well, we will re-implement it using the same technique which reverse iterates the fills to determine those fills for the current position. We are fairly sure this is a valid technique but maybe we did not think of all scenarios. 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 |
| [2018-10-12 11:52:31] |
| User884307 - Posts: 173 |
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Hi, just looking at changes. got set to LIFO but it's not matching last order in, not sure what it's doing but it looks like FIFO still. Either way definitely the last order matched is NOT the first order to get closed out cheers |
| [2018-10-12 12:04:50] |
| User884307 - Posts: 173 |
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I will have to go back to version 1810 whilst you sort this out, Ill give it another go later tonight. Like I said in last post it definately isnt LIFO, it does look like there isnt any difference in behaviour between the LIFO and FIFO options. If you roll back to V1810, the **LAST(((** working version of this function you will see what I mean. To test it (LIFO) just simply hit the market in opposite direction to price and keep doing this until market ticks back then fill that last order, it should show you a profit on that last trade in P/L even though the overall position is a loss. Cheers Date Time Of Last Edit: 2018-10-12 12:05:21
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| [2018-10-12 18:16:07] |
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We will do some more testing but let us explain how last in first out is implemented. In this explanation all quantities are 1. Lets say there is a buy at 100 and another buy 101. Total quantity is now 2. The average price will now be 100.5. There is then a sell of 1 at some other price. So the fill at 101 is now considered closed and the average price is now 100.
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 |
| [2018-10-12 18:37:13] |
| User884307 - Posts: 173 |
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Hi, thanks for that Yes you are totally right on your above post, the 1@101 is first to be closed out as that was the last order in......however v1821 is not behaving like that! Regards |
| [2018-10-12 19:17:16] |
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Okay we will do further testing and see what the issue is.
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 |
| [2018-10-13 02:51:14] |
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So far we are not seeing a problem. Here is some example output during a trade with scaling in and out: LIFO: B1/25366, avg=25366 | 2018-10-12 22:47:49 LIFO: B1/25366, B1/25286, avg=25326 | 2018-10-12 22:47:49 LIFO: B1/25366, B1/25286, B1/25295, avg=25315.666666666668 | 2018-10-12 22:47:49 LIFO: B1/25366, B1/25286, B0/25295, S0/25295, avg=25326 | 2018-10-12 22:47:49 LIFO: B1/25366, B1/25286, B0/25295, S0/25295, B1/25298, avg=25316.666666666668 | 2018-10-12 22:47:49 LIFO: B1/25366, B1/25286, B0/25295, S0/25295, B0/25298, S0/25228, avg=25326 | 2018-10-12 22:47:49 LIFO: B1/25366, B1/25286, B0/25295, S0/25295, B0/25298, S0/25228, B1/25230, avg=25294 | 2018-10-12 22:47:49 LIFO: B1/25366, B1/25286, B0/25295, S0/25295, B0/25298, S0/25228, B0/25230, S0/25222, avg=25326 | 2018-10-12 22:47:49 LIFO: B1/25366, B1/25286, B0/25295, S0/25295, B0/25298, S0/25228, B0/25230, S0/25222, B1/25282, avg=25311.333333333332 | 2018-10-12 22:47:49 LIFO: B1/25366, B1/25286, B0/25295, S0/25295, B0/25298, S0/25228, B0/25230, S0/25222, B0/25282, S0/25258, avg=25326 | 2018-10-12 22:47:49 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: 2018-10-13 02:51:25
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