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Date/Time: Tue, 28 May 2024 23:35:13 +0000



sierra and t4, automated spreadsheet strategy

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[2014-01-27 10:07:45]
User60591 - Posts: 39
Hi I'm running automated strategy from spreadsheet on tst combine, trading 6E
Attached pls find screenshot of t4 and sierra.
Second trade is a problem. Got filled sell 8 @ 13706 and got stopped out 7 @13713.
One lot was missing on initial short. I was net -8, but the dome and sierra worked with -7. 1 lot was missing.

Alldough it's visible on sierra, below you can see T4 dome and after the wrong fill there were no attached orders to that 1 contract that stayed.
On the 3,th trade i missed a runner because to quantity was > 1
The same problem I noticed last week when I hit the buy market and sell market form attached orders window.
I tryed it on 10 lots and the 1 contract was left also.


Is there a problem with order types? I have target: limit, stop:stop.

What will happen in a case if I'm short 10 6E on a live market @ 13700 with stop @13707, and the price comes to 13707, but there were only 6 contracts traded and I was 1'st in the queue?

will I be left with 4 contracts or the rest of it will go market order @ 13699?

How the simulator deals with this problem?

my spreadsheet setting are on page 2.

thank you








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[2014-01-28 09:03:54]
User60591 - Posts: 39
Can you pls give me a reply on yesterdays question so I can continue with the strategy.
Is this a problem with the simulator and would this happen on live account?

thank you
Date Time Of Last Edit: 2014-01-28 09:04:19
[2014-01-28 09:38:51]
Sierra Chart Engineering - Posts: 104368
Please understand that we do not provide automated trading system debugging and we cannot understand all the details of what you are doing or provide specific answers to your questions.

If there is some problem with the handling of Orders or your Trade Position either within Sierra Chart or by the T4 system, then there will be evidence of this in the Trade >> Trade Activity Log >> Trade Activity tab. Here is the documentation for that window:
https://www.sierrachart.com/index.php?l=doc/doc_TradeActivityLog.php

Please look through all of the order and fill activity for the particular symbol and provide a copy of the order activity and explain specifically what the particular issue is and then we will have a look at it. And it is best to focus on just one particular issue so we can help with that.


One lot was missing on initial short. I was net -8, but the dome and sierra worked with -7. 1 lot was missing.
We really do not understand this. In any case, the Trade Activity Log will explain what is going on. It is best to educate yourself about that particular log and understand it and then find out from your broker as to what the particular problem is. If you think there is a problem on the Sierra Chart side, we will look into it.
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: 2014-01-28 09:40:12
[2014-01-28 10:03:09]
Sierra Chart Engineering - Posts: 104368
Once you locate the Order Activity lines in the Trade Activity Log where you have a question or some problem has arisen, then post them by following these instructions:
https://www.sierrachart.com/index.php?l=doc/doc_TradeActivityLog.php#TradeActivityLogToSupport
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
[2014-01-28 13:17:00]
User60591 - Posts: 39
I asked cts: here is their reply:

"From the screen shot and looking at your orders from yesterday it looks like you got short the 8 contracts then a 7 lot OCO was put in. From the trade report this is an automated strategy with Siera Chart you will need to check with them on why a 7 lot was placed not 8. In the future if you use the T4 desktop you can place an AOCO or auto OCO it will automatically place the stop and profit orders after you get filled on the trigger for the same number of contracts as you got filled on."


attached pls find screenshots form Trade log for yesterday


I dont know why 7 oco was placed instead of 8.
my goal is to automate the strategy. So its important for me to know if this is a case only when used on simulator, because it happend twice, or I should expect it on live accout aswell?

thnx





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[2014-01-28 15:13:15]
User60591 - Posts: 39
I know that you do not provide automated trading system debugging, I'm just asking that you look at the log from yesterday and pls explain me what happend. I did look at the Trade Log documentation but I can't expain why 7 OCO was placed instead of 8.
If I read it right there was OCO with quantity 7 placed for Stop and Limit and there were update requests to increase Q to 8 for both of them all within the first second and at the end both of them was at 7 again.
Sorry but I don't get it. I use simple spreadheet with attached orders and i don't know how to pull this off.

can pls you give me some kind of explanation for this?


thank you
Date Time Of Last Edit: 2014-01-28 15:14:54
[2014-01-29 02:00:07]
Sierra Chart Engineering - Posts: 104368
When you look at the Trade Activity Log in this particular case you need to select All Activity at the top left of the log so you see the fills.

The problem is that there was a partial fill of the parent order with a quantity of 7. And then after that another fill for 1. This is why the Attached Orders were sent with the quantity of 7. When Sierra Chart later increased the quantity to 8, for some unknown reason and only CTS can explain this, that was not honored and the quantities were left at 7. Although we can see the quantity did go to 8 and then back down to 7. These were from order updates from the CTS system.

The reason we believe this happens is because the Target and Stop orders are placed into an OCO group managed on the server side and Sierra Chart control of those orders is not always working as expected. Therefore we will give you an option to disable server-side OCO to prevent this. This is going to be the only possibility unless CTS were to resolve the problem.


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
[2014-01-29 09:17:45]
User60591 - Posts: 39
good morning

So, you will contact CTS about this? Because i have sent them a question and you saw the answer above. Live and sim conditions should be the same as they say and the same thing would happen on a live account. When you trade with 2 lots there is a very small possibillity for partial fill, on 10 lots it's a problem.

Option to disable server-side OCO will be availabe in the next update if CTS does not resolve this problem?
When disable is done in update it should work propperly?

thank you for your time


[2014-01-29 17:08:52]
Sierra Chart Engineering - Posts: 104368
We will not contact CTS about this. We have looked into modifying an OCO order and it is supported:
http://www.ctsfutures.com/wiki/T4%20API%20FIX.Order%20Cancel%20ReplaceRequest.ashx

Today we will complete the development of the option to disable server-side OCO. When you do disable server-side OCO, there is no doubt it will work properly.
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

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