Support Board

Date/Time: Thu, 25 Apr 2024 08:02:37 +0000

Trade Simulator using Stale Prices to Fill Limit Orders

[2020-02-05 07:12:23] #1 [Go To First Post]
User60271 - Posts: 63
Build 2040 In Trade Simulation Mode using the SC Delayed Feed, fills are sometimes received using stale prices. This issue was identified using packet captures between an SC instance and a DTC client via a mirror port on a switch. The scenario is as follows : #1 Market Data Update Sent by SC #2 Market Data Update Send by SC #3 DTC Client sends CancelReplace to SC based on Market Data #2 #4 SC sends Order Update confirms CancelReplace at #3 #5 SC Order Update confirming Fill based on prices at #1 even though market prices have changed at #2 and no other market data updates occur between #2 and #5. Timestamps on the message at #5 and InfoText field indicate that the prices are from #1 The prices at #1 and used to fill at #5 are not seen subsequent to #5 (at least not for many seconds after #5) This scenario is not consistent. Many fills are received using expected prices. I've been unable to pin down the specific conditions in which it occurs but it does occur frequently in an active market. It seems like the Trade Simulator is lagging the DTC server price feed under certain conditions. I can provide pcap files containing of the traffic between the DTC client and SC showing many examples of the DTC message sequence above.

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