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Simulated Market orders with realtime data filled at last trade price

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[2018-12-11 08:36:08] #1 [Go To First Post]
User682449 - Posts: 2
Hi, As explain in the title I have an issue with simulated orders with realtime data. My understanding of the documentation is that normally a "Buy Market Order" should get filled at actual Ask price and a "Sell Market Order" should get filled at actual Bid price when using a realtime data service, only if the Bid or the Ask are not accurate the order is filled at the last traded price. A Buy market order will be filled at the Ask price. A Sell market order will be filled at the Bid price. Market orders are always filled immediately. If the Bid and Ask prices are 0, then a market order will fill at the last trade price. When I open a Dom ladder, a Market Depth Window or a Quote Window I can see the best Bid and best Ask are accurate. I have set in global settings the "number of stored Times & Sales records" at the maximum (120000) and make sure "the intraday data storage unit" to be 1 tick. I have to precise that this problem occurs when the bid and ask price are above or below the last traded price. Also when checking at the activity log, I can see the best Bid and best Ask are corrected when the order is filled, just like in "Replay mode". It seems Sierra Chart consider the last Bid and Ask quotes as inaccurate when below or above the last traded price, which can occurs quite frequently with some less liquid instrument. Thanks for help

[2018-12-11 21:02:57] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
It seems Sierra Chart consider the last Bid and Ask quotes as inaccurate when below or above the last traded price, which can occurs quite frequently with some less liquid instrument. Yes this is true in order to avoid questions where people think Sierra Chart is doing something incorrectly. This will not change. Sometimes we have to do things in order to satisfy users inability to understand certain correct behavior and instead implement incorrect behavior. But the behavior is not necessarily always incorrect because sometimes there can be incorrect bid and ask prices. 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: 2018-12-11 21:03:39

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