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Direct MessagesDate/Time: Mon, 29 Apr 2024 02:13:23 +0000
Replay With ASCIL Trading Strategy Causes Phantom Executions
View Count: 626
| [2019-02-07 22:13:50] |
| User41727 - Posts: 124 |
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Happens since upgrading from the previous stable version to 1870. When running an ACSIL trading strategy with two pairs of attached target and stop orders, the target limit orders are filled immediately after the entry stop order was triggered and filled. The LMT orders are filled at the their given prices even though the market has not even remotely touched those levels and never actually will reach either. Has only been observed with long positions and happens with standard replay, back test mode and "calculate at every tick". Only seems to happen if a previous short position was closed in one of the recent periods. EDIT: Happens regard off replay speed and also does happens with shorts positions and without a recent trade. Date Time Of Last Edit: 2019-02-07 22:36:25
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| [2019-02-07 22:58:36] |
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We will look into this. It probably relates to the estimated position in queue support. We will disable that.
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 |
| [2019-02-07 23:36:46] |
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See if you notice the problem on prerelease 1871. We disabled the estimated position in queue support for orders for replays. That feature had not yet been tested but we did not think it was going to cause a problem and we wanted to get 1870 out for other reasons. 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 |
| [2019-02-07 23:53:01] |
| User41727 - Posts: 124 |
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Did a test with a situation where I could reproduce the issue 100% of the time, and the problem is gone with 1871.
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