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Direct MessagesDate/Time: Fri, 10 May 2024 07:12:17 +0000
Buy Stop Limit order Slippage
View Count: 1080
| [2018-11-22 22:27:39] |
| bradh - Posts: 854 |
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I have a set of SCT_ORDERTYPE_OCO_BUY_STOP_LIMIT_SELL_STOP_LIMIT orders placed at price1 = 6616 and price2 = 6612.75. When I replay at Speed 1, I sometimes get a buy fill at 6616, using Calculate at every tick mode. Here is one where it worked. ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID HighDuringPosition LowDuringPosition Note AccountBalance Order 2018-11-21 10:07:03.027 [Sim]NQZ8 Auto-trade: Paused 1.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6615.25. Attached Order | Client side OCO order 173278 Limit Sell 6619.00 Pending Child-Client Sim3 173277 Order 2018-11-21 10:07:03.028 [Sim]NQZ8 Auto-trade: Paused 1.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6615.25. Attached Order | Client side OCO order 173279 Stop Sell 6613.00 Pending Child-Client Sim3 173277 Order 2018-11-21 10:07:03.029 [Sim]NQZ8 Auto-trade: Paused 1.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6615.25 173277 Stop Limit 1 Buy 6616.00 6617.00 Order Sent Sim3 OCO Order Order 2018-11-21 10:07:03.030 [Sim]NQZ8 Simulated order accepted 173277 173277 Stop Limit 1 Buy 6616.00 6617.00 Open Sim3 OCO Order Order 2018-11-21 10:07:03.031 [Sim]NQZ8 Auto-trade: Paused 1.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6615.25. Attached Order | Client side OCO order 173281 Limit Buy 6609.75 Pending Child-Client Sim3 173280 Order 2018-11-21 10:07:03.032 [Sim]NQZ8 Auto-trade: Paused 1.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6615.25. Attached Order | Client side OCO order 173282 Stop Buy 6615.75 Pending Child-Client Sim3 173280 Order 2018-11-21 10:07:03.033 [Sim]NQZ8 Auto-trade: Paused 1.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6615.25 173280 Stop Limit 1 Sell 6612.75 6611.75 Order Sent Sim3 OCO Order Order 2018-11-21 10:07:03.034 [Sim]NQZ8 Simulated order accepted 173280 173280 Stop Limit 1 Sell 6612.75 6611.75 Open Sim3 OCO Order Order 2018-11-21 10:07:03.048 [Sim]NQZ8 Trade simulation fill. Bid: 6615.50 Ask: 6616.00 Last: 6616.00 173277 173277 Stop Limit 1 Buy 6616.00 6617.00 Filled 6616.00 1 Sim3 OCO Order Fill 2018-11-21 10:07:03.049 [Sim]NQZ8 Trade simulation fill. Bid: 6615.50 Ask: 6616.00 Last: 6616.00 173277 173277 Stop Limit 1 Buy 6616.00 6617.00 Filled 6616.00 1 Sim3 Open 1 173277.1 OCO Order Order 2018-11-21 10:07:03.050 [Sim]NQZ8 Updating move to breakeven stop reference price on parent modification/fill to 6616 173279 Stop Sell 6613.00 Pending Child-Client Sim3 173277 Order 2018-11-21 10:07:03.051 [Sim]NQZ8 Updating move to breakeven stop reference price on parent modification/fill to 6616 173279 Stop Sell 6613.00 Pending Child-Client Sim3 173277 Order 2018-11-21 10:07:03.052 [Sim]NQZ8 Auto-sent child from parent fill 173278 Limit 1 Sell 6619.00 Order Sent Sim3 173277 1 Order 2018-11-21 10:07:03.053 [Sim]NQZ8 Auto-sent child from parent fill 173279 Stop 1 Sell 6613.00 Order Sent Sim3 173277 1 Order 2018-11-21 10:07:03.054 [Sim]NQZ8 Simulated order accepted 173278 173278 Limit 1 Sell 6619.00 Open Sim3 173277 1 Order 2018-11-21 10:07:03.055 [Sim]NQZ8 Simulated order accepted 173279 173279 Stop 1 Sell 6613.00 Open Sim3 173277 1 Order 2018-11-21 10:07:03.056 [Sim]NQZ8 Canceling order due to sibling fill. Using full sibling cancel on partial fill. OCO link removed 173280 173280 Stop Limit 1 Sell 6612.75 6611.75 Pending Cancel Sim3 1 OCO Order Order 2018-11-21 10:07:03.057 [Sim]NQZ8 Simulated order canceled 173280 173280 Stop Limit 1 Sell 6612.75 6611.75 Canceled Sim3 1 OCO Order Order 2018-11-21 10:07:03.058 [Sim]NQZ8 Canceling child orders of internal order ID 173280 173281 Limit Buy 6609.75 Pending Cancel Sim3 173280 1 Order 2018-11-21 10:07:03.059 [Sim]NQZ8 Canceling child orders of internal order ID 173280 173281 Limit Buy 6609.75 Canceled Sim3 173280 1 Order 2018-11-21 10:07:03.060 [Sim]NQZ8 Canceling child orders of internal order ID 173280 173282 Stop Buy 6615.75 Pending Cancel Sim3 173280 1 Order 2018-11-21 10:07:03.061 [Sim]NQZ8 Canceling child orders of internal order ID 173280 173282 Stop Buy 6615.75 Canceled Sim3 173280 1 If I change to speed = 2, I get a fill at 6616.50. ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID HighDuringPosition LowDuringPosition Note AccountBalance Order 2018-11-21 10:07:02.047 [Sim]NQZ8 Auto-trade: Replay 2.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6616. Attached Order | Client side OCO order 173284 Limit Sell 6619.00 Pending Child-Client Sim3 173283 Order 2018-11-21 10:07:02.048 [Sim]NQZ8 Auto-trade: Replay 2.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6616. Attached Order | Client side OCO order 173285 Stop Sell 6613.00 Pending Child-Client Sim3 173283 Order 2018-11-21 10:07:02.049 [Sim]NQZ8 Auto-trade: Replay 2.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6616 173283 Stop Limit 1 Buy 6616.00 6617.00 Order Sent Sim3 OCO Order Order 2018-11-21 10:07:02.050 [Sim]NQZ8 Simulated order accepted 173283 173283 Stop Limit 1 Buy 6616.00 6617.00 Open Sim3 OCO Order Order 2018-11-21 10:07:02.051 [Sim]NQZ8 Trade simulation fill. Bid: 6616.00 Ask: 6616.50 Last: 6616.00 173283 173283 Stop Limit 1 Buy 6616.00 6617.00 Filled 6616.50 1 Sim3 OCO Order Fill 2018-11-21 10:07:02.052 [Sim]NQZ8 Trade simulation fill. Bid: 6616.00 Ask: 6616.50 Last: 6616.00 173283 173283 Stop Limit 1 Buy 6616.00 6617.00 Filled 6616.50 1 Sim3 Open 1 173283.1 OCO Order Order 2018-11-21 10:07:02.053 [Sim]NQZ8 Updating move to breakeven stop reference price on parent modification/fill to 6616.5 173285 Stop Sell 6613.00 Pending Child-Client Sim3 173283 Order 2018-11-21 10:07:02.054 [Sim]NQZ8 Updating move to breakeven stop reference price on parent modification/fill to 6616.5 173285 Stop Sell 6613.00 Pending Child-Client Sim3 173283 Order 2018-11-21 10:07:02.055 [Sim]NQZ8 Auto-sent child from parent fill 173284 Limit 1 Sell 6619.00 Order Sent Sim3 173283 1 Order 2018-11-21 10:07:02.056 [Sim]NQZ8 Auto-sent child from parent fill 173285 Stop 1 Sell 6613.00 Order Sent Sim3 173283 1 Order 2018-11-21 10:07:02.057 [Sim]NQZ8 Simulated order accepted 173284 173284 Limit 1 Sell 6619.00 Open Sim3 173283 1 Order 2018-11-21 10:07:02.058 [Sim]NQZ8 Simulated order accepted 173285 173285 Stop 1 Sell 6613.00 Open Sim3 173283 1 Order 2018-11-21 10:07:02.059 [Sim]NQZ8 Auto-trade: Replay 2.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6616. Attached Order | Client side OCO order 173287 Limit Buy 6609.75 Pending Child-Client Sim3 173286 1 Order 2018-11-21 10:07:02.060 [Sim]NQZ8 Auto-trade: Replay 2.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6616. Attached Order | Client side OCO order 173288 Stop Buy 6615.75 Pending Child-Client Sim3 173286 1 Order 2018-11-21 10:07:02.061 [Sim]NQZ8 Auto-trade: Replay 2.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6616 173286 Stop Limit 1 Sell 6612.75 6611.75 Order Sent Sim3 1 OCO Order Order 2018-11-21 10:07:02.062 [Sim]NQZ8 Simulated order accepted 173286 173286 Stop Limit 1 Sell 6612.75 6611.75 Open Sim3 1 OCO Order Order 2018-11-21 10:07:06.000 [Sim]NQZ8 Trade simulation fill. Bid: 6619.00 Ask: 6619.25 Last: 6619.00 173284 173284 Limit 1 Sell 6619.00 Filled 6619.00 1 Sim3 173283 1 Fill 2018-11-21 10:07:06.001 [Sim]NQZ8 Trade simulation fill. Bid: 6619.00 Ask: 6619.25 Last: 6619.00 173284 173284 Limit 1 Sell 6619.00 Filled 6619.00 1 Sim3 Close 173283 173284.1 6619.00 6615.00 Order 2018-11-21 10:07:06.002 [Sim]NQZ8 Canceling order due to sibling fill 173285 173285 Stop 1 Sell 6613.00 Pending Cancel Sim3 173283 Order 2018-11-21 10:07:06.003 [Sim]NQZ8 Simulated order canceled 173285 173285 Stop 1 Sell 6613.00 Canceled Sim3 173283 Repeating at speed 1 or any other speed, I usually get filled at 6616.50 for this particular setup. Other setups seem to fill correctly. My questions are: 1. Why is it filling at a higher price than my buy stop limit order price, and not waiting until the ask price returns to my limit price? 2. Is this a simulation issue only? Thanks! |
| [2018-11-23 04:37:21] |
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When you look at these two orders you can see that they are submitted at different points in time: Order 2018-11-21 10:07:03.029 [Sim]NQZ8 Auto-trade: Paused 1.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6615.25 Order 2018-11-21 10:07:02.049 [Sim]NQZ8 Auto-trade: Replay 2.00X: NQZ8 [CV] Flex Renko 6-3-3 #1 | Consolidation Scalper | OCO Order | Last: 6616 And the order is filling better than the limit price of 6617 so that is expected based on the bid and ask prices 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 |
| [2018-11-23 12:05:25] |
| bradh - Posts: 854 |
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And the order is filling better than the limit price of 6617 so that is expected based on the bid and ask prices at the time.
Yes, but the limit price is supposed to be 6616, not 6617. Reading more in the documentation, I see the difference coming from the Stop-Limit Order Limit Offset in the trade window, currently set at 4 ticks for the primary and attached orders. I was not sure the stop price and the limit price could be set separately. Thanks! Date Time Of Last Edit: 2018-11-23 12:11:21
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