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Direct MessagesDate/Time: Sun, 19 May 2024 22:50:37 +0000
Strange slippage
View Count: 656
| [2019-01-07 15:33:09] |
| User726297 - Posts: 13 |
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Dear support, I trade with an automated system that always places a stop loss (1 or 2 ticks from best bid/ask) and a take profit. But, when analyzing the trade stats, I can see that often, the "Flat to flat max open loss" or the "Max open Loss" is by far greater than the stop loss distance. for example, my system actually trades with only 1 contract and a stop placed 1 tick below best bid/ask. Today, and it was my last trade, the "Flat to flat max open loss" and the "Max open Loss" value was $-600. So my question is: how such a big drawdown can occur while I always have a Stop Loss placed 1 or 2 ticks from best price? Is it a bug of Sierra Chart's stats calculation, a bug of the order management, or it could be me who doesn't understand the stats, and everything is normal? This is quite weird and scary as if it is a real drawdown, my account could be blown-up so quickly! Attached is a copy of my trade log Best regards, Symbol Trade Type Entry DateTime Exit DateTime Entry Price Exit Price Trade Quantity Max Open Quantity Max Closed Quantity Profit/Loss (C) Symbol Profit/Loss (C) FlatToFlat Profit/Loss (C) FlatToFlat Max Open Profit (C) FlatToFlat Max Open Loss (C) Max Open Profit (C) Max Open Loss (C) Entry Efficiency Exit Efficiency Total Efficiency Commission (C) High Price While Open Low Price While Open Note Open Position Quantity Close Position Quantity F.US.EPH19 Short 2019-01-06 18:02:57.665 BP 2019-01-06 20:25:07.915 EP 2539.75 2539.25 1 1 1 25.00 287.50 25.00 F 25.00 -600.00 25.00 -600.00 100.0% 100.0% 4.0% 0.00 2551.75 2539.25 533.000000 1 0 |
| [2019-01-07 18:30:25] |
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Is this during a replay or back testing? And make sure you have disabled this option: Trade Activity Log: Flat to Flat Trade Display So that you can see the actual values properly for an individual trade. The most important values are these: High Price While Open, Low Price While Open. Do you see any problem with these? They should be accurate. If anything, the worst-case scenario is they cover a more narrow range than you would expect. 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: 2019-01-07 18:30:51
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| [2019-01-07 18:59:32] |
| User726297 - Posts: 13 |
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Thanks for your message. This is during live trading. The option was already disabled. High Price While Open and Low Price While Open are showing great values too. But I think I know where this comes from. My system enters trades with limit orders and trades outside regular hours, where volumes and liquidity are smaller. So it could arrive that no market orders from other traders are executed, while the limit orders of the book are moving prices further. Thus, my limit order is not executed but as the price crossed its level, SC counts it as an executed order and starts to calculate the statistics. Of course, that's just a theory, but it would be very interesting to find out what is hiding behind this problem. |
| [2019-01-07 19:02:14] |
| User726297 - Posts: 13 |
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If anything, the worst-case scenario is they cover a more narrow range than you would expect.
I am not sure if you are talking about my Stop Losses or about the statistics. In the case it is about statistics, why would they have a wider range than my trades? |
| [2019-01-07 19:23:05] |
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High Price While Open and Low Price While Open are showing great values too. We do not know what this means. We need to know whether these values are accurate in that they represent the true high and low values during the timeframe of the trade. You have to examine the chart data to determine this. This is what these values represent.
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 |
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