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Date/Time: Thu, 28 Mar 2024 19:46:15 +0000



Interesting Fills Autotrading

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[2020-03-19 00:15:35]
marty_nv - Posts: 85
Hi Engineering,
Autotrader triggered a bonafide short at 2375.25 but entered its fill price at 2311.75 when "stable" market was trading in the 70s resulting immediate loss of $3225. This this kind of fill I thought was from not clearing trade stats properly, since when this happens (more than several times a day) I clear all sim trades and check "SCSS for trading" parameters. But I have cleared sim stats according to documentation, verified by viewing Activity Log.

My main concern at this point is that if such a fill happened in live trade, it would be damaging. If the fill is strictly internal during sim session, it is not critical. But I would feel much more comfortable about turning autotrader loose in live trade if sim were without the apparent unexpected behavior in a "stable" market.

Is this a platform anomaly or something only I can try to fix? Thank you for a great platform.
Marty
[2020-03-19 03:26:28]
Sierra Chart Engineering - Posts: 104368
You need to understand why that fill price occurred. Refer to:
Trade Simulation: How Orders are Filled
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
[2020-03-19 21:00:30]
marty_nv - Posts: 85
Thank you for the link. I have reset T&S to 10,000 records. I left chart and quote intervals at 10 and 100 ms respectively. Attached is a subsequent documentation of a dubvious (IMO) fill at ask, 2494.75, the Last @ 2433.25, in a relativelY stable trading environment. I didn't have T&S window up in time to verify trade log entry against T&S actual. I will have it in the next de-mystification round. I am mystified where the ask in this case came from in order for fill to actualize. According to the link, Live sim is supposed to use live bid/ask, is there a way for the 2494.75 a cross in the system somewhere?

Not that it is helpful, it is not, but here is a link to the chart showing the fill:

http://www.sierrachart.com/image.php?Image=1584644154632.png

As always, thank you for a truly fine platform.
Marty
Private File
[2020-03-20 00:51:53]
Sierra Chart Engineering - Posts: 104368
What we are able to deduce, is that you are actually not using the data from the Sierra Chart Exchange Data Feed for the CME group of symbols. Since the bid and ask prices are wrong. We can also see an indication of that from the chart.

You probably are not connected to a live account:
Real-Time Exchange Data Feeds Available From Sierra Chart: Integration with Trading Services

To avoid this problem to begin with it is our very strong advice, for you to use the Sierra Chart Order Routing Service instead of the current Trading service you are using:
Sierra Chart / Trading Technologies Futures Order Routing Service
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: 2020-03-20 01:00:59
[2020-03-20 05:19:26]
marty_nv - Posts: 85
Hi Engineering, Thank you for your insight.

On "live" feed possible problem. I have documented on the attachment:
1 Transact is approved for either/or (unclear) SC Data or Denali.
2 I am connected to SC data and pay $71 for non-professional exchange fees
3 I have a Live, funded Transact account. I notice that as part of Transact's speed upgrade in the past month, that depth of market figures seem to have disappeared from Transact's SC Chart DOM. I'm not sure if this disappearance has anything to do with the mystery fill numbers provided in the autotrader (API transmittal). But to eliminate live trading disaster from misplaced data, I need a different interface, as you have suggested. How do I re-arrange the current approved Transact and SC data to have clean bid/ask/price fills? I am very anxious to trade my autotrader live-real, but I'd like some consistency in fills in live-sim auto-trading before entering live auto-trade. If I can change settings, please advise with documentation.

Also, I have been looking for a way to have only limit orders submitted through the k3/m3 path. When I "show order fills", market orders are everywhere. "Automated Trading Management" discusses many aspects of variables and trade orders without specifically addressing limit orders, J22-25 seemingly notwithstanding. But a simple limit order would not allow the strange fills discussed in this thread, I would think, even if there is a data anomaly somewhere.

Thank you for your assistance with such a great platform.
Marty
imagePAT 200319-2 Live Feed TA WS DTS Settings.png / V - Attached On 2020-03-20 04:22:34 UTC - Size: 358.9 KB - 179 views
[2020-03-20 19:32:28]
marty_nv - Posts: 85
Thank you for your suggestions and insights.

To get proper Transact simulated fills, Transact has indicated that I should not use the SC sim mode. Rather
1. Put DTS settings to Transact trading, connection type Simulated live (not "Live")
2. Deselect Trade>>Trade Simulation mode on

Great Platform
imagePAT 200320-3 DTC 1&2 Live Sim.PNG / V - Attached On 2020-03-20 19:31:37 UTC - Size: 103.67 KB - 366 views

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