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size Pro Rata order matching algorithm in backtest and live sim

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[2019-02-04 19:37:44] #1 [Go To First Post]
Chad - Posts: 231
Hello, I'd like to know the basic scheme of the order execution logic in the backtest and/or live sim environment when working markets with a size Pro Rata matching algorithm. To be specific, I'm looking at exchange-supported calendar spreads of futures in LIFFE Euribor and Short Sterling mostly, but this would extend to CME Eurodollar fut spreads as well. I know the basic difference between size Pro Rata and FIFO, but want to know how accurate Pro Rata would be in backtest/sim relative to live trading, and if there are any nuances I should be aware of for such simulation.

[2019-02-06 08:38:50] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is now documented here: Global Trade Settings Windows: Enable Estimated Position in Queue Tracking (Global Settings >> Chart Trade Settings >> General >> Position in Queue) Our understanding is that you are asking about the estimated position in queue. Also understand that we just added support for this during a chart replay and it has not yet been tested. It only exists in the very latest prerelease of Sierra Chart. 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: 2019-02-06 08:40:45

[2019-02-06 21:36:55] #3 [Go To First Post]
Chad - Posts: 231
Re: understanding - no, not estimated position in queue, though that is useful. The gist of size Pro Rata, as far as I understand it, is that even if my order is first in queue at the best bid but I have a 1-lot size, while other bidders at this same price level have 5-lot, 10-lot, 20-lot etc. sizes, the largest lots will get executed first, generally-speaking (there is a tinge of FIFO to the sPR algorithm I think, but size is of primary importance). I can retrieve some academic/industry references with equations on the order priority, if you'd like.

[2019-02-06 22:14:41] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
How are we to help you with this? If it does not have to do with estimated position in queue for Sierra Chart managed simulated trading, none of this has any relevancy to us. 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

[2019-02-06 22:18:23] #5 [Go To First Post]
Chad - Posts: 231
I didn't mention the estimated position in queue feature in my OP. You or an associate brought it up. I was asking specifically if there is any provision in SC's backtesting/sim trading environment, for a size Pro Rata order matching algorithm for markets which Sierra provides access to, that have such an algo in place, like CME Eurodollars, and LIFFE Euribor & Sterling.

[2019-02-07 04:46:42] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The reason we brought it up is because from what we remember in another thread you were asking about that or something similar. And that was the best we could understand what you are asking for. I was asking specifically if there is any provision in SC's backtesting/sim trading environment, for a size Pro Rata order matching algorithm for markets which Sierra provides access to, that have such an algo in place, like CME Eurodollars, and LIFFE Euribor & Sterling. No, there is no provision like 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

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