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Date/Time: Sat, 22 Feb 2020 14:04:50 +0000



Issues Using Trade Simulation Mode With SC Delayed Feed

[2020-01-16 20:13:35]
User60271 - Posts: 57 | Ending Date: 2020-07-07
Using the SC Delayed feed with the Build 2028.

Simuluted Trading Mode does not seem to working correctly with the delayed feed.It seems to using the current time rather than the delayed feed time for recording activity.

Steps to recreate :

Chart is showing price activtity 10 minutes earlier as expected

Using Chart Trade Mode to place an order.
Trade->Trade Simulation Mode->On
Trade->Show Order Fills is checked

Active order is displayed as expected on the chart.
Order is filled and related position is displayed as expected.
Trade Activity Log shows order filled at current time which is not expected. It should show the time that the order was filled relative to the delay feed timestamp. It is not possible to correlate activity in the Trade Activity Log to the related price activity.
Trading Activity Log shows no positions when Activity filter is set to Positions. The position created from the filled order is not displayed.
Trade->Orders windows shows no order even when Orders->Show Only Working Orders is unchecked. I would expect the filled order to be display here.
Order Fill marker is not displayed on chart until the chart shows the price bar where the simulated fill was made some 10 minutes later at which time the price bar is not related to the displayed fill.


Please advise.

Thanks.
[2020-01-16 21:59:02]
Sierra Chart Engineering - Posts: 81357 | Ending Date: 2020-06-09
We will see what we can do to resolve this. But there is an immediate solution to the problem by using this service:
https://www.sierrachart.com/index.php?page=doc/SimulatedFuturesTradingService.php

You are able to create a trading account on the delayed Trade Simulator. Let us know if you need help with that.

Trading Activity Log shows no positions when Activity filter is set to Positions. The position created from the filled order is not displayed.
This will always be the case when using the Sierra Chart Trade Simulation Mode. However, you will see Positions in the Trade Activity Log when using this service:
https://www.sierrachart.com/index.php?page=doc/SimulatedFuturesTradingService.php

Trade->Orders windows shows no order even when Orders->Show Only Working Orders is unchecked. I would expect the filled order to be display here.
You have to use the Trade >>Trade Activity Log to see order fills. The Trade Orders Window does not show them after there is a fill.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2020-01-16 22:01:18
[2020-01-17 13:09:32]
User60271 - Posts: 57 | Ending Date: 2020-07-07
We will see what we can do to resolve this. But there is an immediate solution to the problem by using this service
In the interim I will follow the steps to use the Delayed Simulator.

Thanks
[2020-01-17 16:09:13]
Sierra Chart Engineering - Posts: 81357 | Ending Date: 2020-06-09
We will develop a solution before Monday. We are just seeing how to implement it efficiently.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-01-18 09:54:52]
User60271 - Posts: 57 | Ending Date: 2020-07-07
I started using the Delayed Trading Simulator.

The trading activity log still has issues with the reported timestamps for order activity. It seems that fills are reported using the delayed feed timestamp while order activity (cancel/replaces) have timestamps roughly 10 minutes later so fills appear in the log before the order is created.

Latency was also an issue as the automated strategies I wanted to test are somewhat latency sensitive. Latency between order send/ack was around 300ms from my location based on activity log timestamps and assume the datafeed would be similar. The internal simulator is needed to evaluate these types of strategies.
[2020-01-18 12:27:00]
Sierra Chart Engineering - Posts: 81357 | Ending Date: 2020-06-09
Ok we will resolve this. And in regards to the latency we will set up a simulated trading service server on our Singapore server. Please allow a few days for this.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-01-19 15:59:39]
Sierra Chart Engineering - Posts: 81357 | Ending Date: 2020-06-09
Update to prerelease 2037:

https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate

You will see in option in Global Settings >> Data/Trade Service Settings for the Trading Evaluator-Delayed service to choose the Server. Choose Asia.

Understand that the North America and Asia trade simulation servers are both independent from each other and keep track of separate positions and orders. So once you use one you have to stay on that server because the orders and positions on one server, are not reflected on the other.

The time stamping issue is also resolved.


Let us know if you see any other issues.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2020-01-19 16:00:40
[2020-01-20 15:35:55]
User60271 - Posts: 57 | Ending Date: 2020-07-07
Switched to the Asia server. It did improve the latencies but not as much as expected given both server and client are in Singapore. Pings are around 40ms but should be < 2ms. I did a trace to the server and noticed that the connection is being routed from Singapore via Hong Kong and back to Singapore to your isp here. I tried another isp here but similar results and still routed via HK and back.
[2020-01-20 20:39:02]
Sierra Chart Engineering - Posts: 81357 | Ending Date: 2020-06-09
Interesting. This is not something that would be within our control. We can look at using a different data center.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-01-20 21:47:27]
Sierra Chart Engineering - Posts: 81357 | Ending Date: 2020-06-09
Regarding post #8, we are having a serious look at this, and looking into a different provider for our server in Singapore.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-01-21 05:35:15]
User60271 - Posts: 57 | Ending Date: 2020-07-07
Definitely worth resolving as you are losing the benefit of having a regional server. Let me know if i can recheck anything from this side.

Is there any timeframe for resolving the issues with the internal Trade Simulation mode ?
[2020-01-21 07:03:54]
Sierra Chart Engineering - Posts: 81357 | Ending Date: 2020-06-09
Is there any timeframe for resolving the issues with the internal Trade Simulation mode ?
Already done with the latest prerelease.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-01-21 13:40:26]
User60271 - Posts: 57 | Ending Date: 2020-07-07
Just noticed that the trade activity log is not being drawn correctly. Not sure how to post an image but the "File Edit Window " etc is being drawn vertically and the window is not redrawing.
[2020-01-21 14:09:30]
User60271 - Posts: 57 | Ending Date: 2020-07-07
On build 2037 order fills are still not being correctly displayed in Trade Simulation mode. Looks like the fills are still using current time rather than delayed feed timstamp.
[2020-01-21 14:53:14]
User60271 - Posts: 57 | Ending Date: 2020-07-07
Build 2037. Timestamps on internal DTC server ORDER_UPDATE message (per DTCProtocol.h) uses current timestamp instead of the delayed feed timestamp for the following fields :

LatestTransactionDateTimeMS
OrderReceivedDateTime

LastFillDateTime field is not populated on fills.
[2020-01-23 02:00:05]
Sierra Chart Engineering - Posts: 81357 | Ending Date: 2020-06-09
Sorry about the delay. We will be looking this over and seeing what the problem is. Can you tell us what encoding method you are using with the DTC server?
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-01-23 10:30:16]
User60271 - Posts: 57 | Ending Date: 2020-07-07
Can you tell us what encoding method you are using with the DTC server?

Binary encoding (non-VLS)
[2020-01-24 02:55:14]
Sierra_Chart_Engineering - Posts: 530 | Ending Date: 2020-11-26
Definitively all three Date-Time values in a DTC Order Update message are being set. That is 100% verified:

Here is an example:


+ FillDate-Time: 2020-01-23 21:41:02.000 | 2020-01-23 21:51:38.099
+ LatestTransactionDateTime: 2020-01-23 21:41:02.000 | 2020-01-23 21:51:38.099
+ OrderReceivedDateTime: 2020-01-23 21:41:02.000 | 2020-01-23 21:51:38.099

The times on the right are the actual times. We are testing with delayed data.

So there is nothing wrong here.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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[2020-01-24 11:09:22]
User60271 - Posts: 57 | Ending Date: 2020-07-07
Definitively all three Date-Time values in a DTC Order Update message are being set. That is 100% verified:

I have a pcap of the traffic between SC and a local DTC client that shows the contrary. I can export a full binary packet from Wireshark showing an example of the issues. What is the best way to send this to you ?
[2020-01-24 11:59:30]
User60271 - Posts: 57 | Ending Date: 2020-07-07
The issue with display of fills also exists with SC sub-instances. Logs show fills recorded with current timestamp not delayed timestamp in the sub-instance so its not specific to non-SC DTC clients.

While running the above check I noticed another issue. Sending orders from a DTC client connected to sub-instance DTC server with main instance set to Trade Simulation Mode are rejected. Manual chart orders from sub-instance using SimXx account are accepted by the main instance.

"Simulated Trade Account (Sim1) cannot be used when Trade Simulation Mode is disabled"

Should I open a separate ticket for that issue as it is not specifically related to this issue?
[2020-01-24 12:06:27]
User60271 - Posts: 57 | Ending Date: 2020-07-07
Definitively all three Date-Time values in a DTC Order Update message are being set. That is 100% verified:
Attached is pcap of ORDER_UPDATE message with incorrect/missing timestamp fields. You can see the packet timestamp matches the LatestTransactionDateTimeMS field which should (probably) be the delayed timestamp and the LastFillDateTime is null.
Private File
Attachment Deleted.
[2020-01-24 19:49:46]
Sierra_Chart_Engineering - Posts: 530 | Ending Date: 2020-11-26
Make sure you are running the latest prerelease.

We want to know what the order update reason is when there is no last fill date-time.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation
[2020-01-24 20:20:06]
User60271 - Posts: 57 | Ending Date: 2020-07-07
Running pre-release 2039

We want to know what the order update reason is when there is no last fill date-time.
4 ORDER_FILLED
[2020-01-27 06:01:45]
Sierra_Chart_Engineering - Posts: 530 | Ending Date: 2020-11-26
We see the problem when using Trade Simulation Mode with last fill date-time and this will be resolved in the next release.


While running the above check I noticed another issue. Sending orders from a DTC client connected to sub-instance DTC server with main instance set to Trade Simulation Mode are rejected. Manual chart orders from sub-instance using SimXx account are accepted by the main instance.

This will be resolved as well.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation
Date Time Of Last Edit: 2020-01-27 06:02:23

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