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Direct MessagesDate/Time: Sat, 18 May 2024 18:05:26 +0000
dtc problem: market bracket -> No valid quote data to set prices from offset
View Count: 820
| [2020-01-27 03:39:28] |
| uM8137 - Posts: 180 |
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Over DTC to SC 2036 in Sim mode, I'm submitting a market bracket order. Context: live market MYMH20_FUT_CBOT data is flowing through Denali, and I can see full depth of quote on the MYMH20 ladder. There are recent trades on MYM visible on the DOM. Since I want market price and the stop relative to the price obtained rather than knowing it in advance, I have to use the offsets to specify the stop and limit. Since the minimum price fluxuation on MYM is 1.0, I have set, in the SubmitOCOOrder message: SubmitOCOOrder{ UseOffsets: 1, OffsetFromParent1: 1.0, OffsetFromParent2: 1.0, ... } in order to attempt in Sim to get a 1 tick take profit limit and a 1 tick stop loss. However, the Trade Service log says "No valid quote data to set prices from offset | Symbol: [Sim]MYMH30_FUT_CBOT | TradeAccount: Sim1 | 2020-01-26 21:21:44.374 *" How can this be fixed? Appears to be a bug in SierraChart, but hard to tell for sure. Date Time Of Last Edit: 2020-01-27 04:19:56
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| [2020-01-27 05:49:36] |
| uM8137 - Posts: 180 |
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The same thing happens in real, live trading via DTC, so this is unrelated to being in Sim mode.
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| [2020-01-27 18:17:23] |
| uM8137 - Posts: 180 |
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An example with the complete details of both parent and OCO message settings: (I'm using the protocol buffers version 8 revised as API). &DTC_PB.SubmitNewSingleOrder{ Symbol: "MESH30_FUT_CME", Exchange: "", TradeAccount: "Sim1", ClientOrderID: "2b81b0be-28bb-5a0a-a2be-3a8515016a00", OrderType: 1, BuySell: 1, Price1: 0, Price2: 0, Quantity: 1, TimeInForce: 1, GoodTillDateTime: 0, IsAutomatedOrder: 0x1, IsParentOrder: 0x1, FreeFormText: "", OpenOrClose: 0, } &DTC_PB.SubmitNewOCOOrder{ Symbol: "MESH30_FUT_CME", Exchange: "", ClientOrderID_1: "010c9f62-cac8-54c0-8e0c-4f6459790cde", OrderType_1: 3, BuySell_1: 2, Price1_1: 0, Price2_1: 0, Quantity_1: 1, ClientOrderID_2: "d046b064-4d47-5b83-b453-59f56a94bf42", OrderType_2: 2, BuySell_2: 2, Price1_2: 0, Price2_2: 0, Quantity_2: 1, TimeInForce: 1, GoodTillDateTime: 0, TradeAccount: "Sim1", IsAutomatedOrder: 0x1, ParentTriggerClientOrderID: "2b81b0be-28bb-5a0a-a2be-3a8515016a00", FreeFormText: "", OpenOrClose: 0, PartialFillHandling: 1, UseOffsets: 0x1, OffsetFromParent1: 0.5, OffsetFromParent2: 0.5, } SC 2036 Trade Service Log issues 3 lines in response: No valid quote data to set prices from offsets | Symbol: [Sim]MESH30_FUT_CME | TradeAccount: Sim1 | 2020-01-27 11:59:52.968 * No valid quote data to set prices from offsets | Symbol: [Sim]MESH30_FUT_CME | TradeAccount: Sim1 | 2020-01-27 11:59:52.968 * No valid quote data to set prices from offsets | Symbol: [Sim]MESH30_FUT_CME | TradeAccount: Sim1 | 2020-01-27 11:59:52.968 * Date Time Of Last Edit: 2020-01-27 18:24:38
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| [2020-01-27 19:17:24] |
| Sierra_Chart Engineering - Posts: 14423 |
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We realize the order processing function was running an unnecessary symbol data price check. This has been removed and will be out in the next release. But it is also necessary that Price1 field on the Parent Order is set.
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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2020-01-27 19:29:47] |
| uM8137 - Posts: 180 |
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> We realize the order processing function was running an unnecessary symbol data price check. This has been removed and will be out in the next release. Thanks! Looking forward to it. > But it is also necessary that Price1 field on the Parent Order is set. For a market order, having to set Price1 makes no sense -- please elaborate on the above comment. i.e. Will Price1 be ignored if the market has moved and the market buy (or sell) is now at a different price? i.e. Will setting Price1 convert it from a market to a limit order? What if we really do want a market buy. Then price1 is irrelevant, and it shouldn't be checked against anything or need to be set. Are you saying Price1 in a market order just has to be set to a non-zero value to work around some logic bug? Why not just fix the bug rather than have deceptive data in the logs...? Date Time Of Last Edit: 2020-01-27 19:39:22
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| [2020-01-27 20:02:56] |
| uM8137 - Posts: 180 |
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Probably better to just put the answer to the above question straight into the docs, since they are vague about the Price1 value for market orders. At the very least, document that Price1 will be ignored by the exchange for a market order, even if it must be set to a non-zero value. (Will Price1 = -1 suffice for all market orderrs?) https://www.dtcprotocol.org/index.php?page=doc/DTCMessages_OrderEntryModificationMessages.php#Messages-SUBMIT_NEW_SINGLE_ORDER "This is the price of the order. This is the limit price for a Limit order, the stop price for a Stop order, or the trigger price for a Market if Touched order." |
| [2020-01-27 21:40:04] |
| Sierra_Chart Engineering - Posts: 14423 |
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When you are using offsets for the OCO orders, those offsets are converted to actual prices, no longer offsets, and it is necessary therefore to set Price1 for the parent order to the current market price in order to calculate the actual Attached Order prices. When the parent order fills, the prices of the Attached Orders will be adjusted to maintain the same offset they originally had to the specified parent order price. So in the end the offsets you specify will be maintained.
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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-01-27 21:40:27
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| [2020-01-27 21:48:28] |
| uM8137 - Posts: 180 |
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Excellent. Conceptually it makes sense now. Thanks.
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| [2020-01-28 22:48:58] |
| uM8137 - Posts: 180 |
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Seems to work much better in v2040. No longer getting "No valid quote data to set prices from offset" error.
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