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Direct MessagesDate/Time: Thu, 25 Apr 2024 23:29:28 +0000
[Locked] - Delays in showing orders/executions in Trade Activity Log+latency issues/questions
View Count: 805
| [2020-06-25 18:01:05] |
| User860187 - Posts: 31 |
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G'day SierraSupport. Trying to get an info on the following. Thank you for all the help in advance. 1. After testing in SIM moved to real prod account --> submitted few orders and got fills. But data was not available in Trade Activity Log for quite a time. Didn't time it exactly, but it took significant amount of minutes until it appeared in Trade Activity Log. Is it "normal" and if yes, what would the expected delay be ? Or this is only because there was no activity on "Live" trading account before and if yes, how quickly Sierra/TT will update the log assuming there's a "regular trading" activity. 2. Observed significant difference in latency between Sierra SIM and Sierra Order Routing with TT. Example: Market order ( ACK and fill SIMulated by Sierra ) ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID HighDuringPosition LowDuringPosition Note AccountBalance ExchangeOrderID ClientOrderID Orders 2020-06-24 15:59:45.330 [Sim]ESU20_FUT_CME ESU20_FUT_CME[M] #4 | User order entry | Last: 3036 | AO=0 1883 Market 1 Buy Order Sent SimACC Close -1 Orders 2020-06-24 15:59:45.331 [Sim]ESU20_FUT_CME Simulated order accepted 1883 1883 Market 1 Buy Open SimACC Close -1 Orders 2020-06-24 15:59:45.332 [Sim]ESU20_FUT_CME Trade simulation fill. Bid: 3036.00 Ask: 3036.25 Last: 3036.00 1883 1883 Market 1 Buy Filled 3036.25 1 SimACC Close -1 Fills 2020-06-24 15:59:45.333 [Sim]ESU20_FUT_CME Trade simulation fill. Bid: 3036.00 Ask: 3036.25 Last: 3036.00 1883 1883 Market 1 Buy Filled 3036.25 1 SimACC Close 1883.1 3036.75 3036.00 we're getting an ACK in 2 millisec. Now through TT: Orders 2020-06-25 10:36:55.089 ESU20_FUT_CME ESU20_FUT_CME[M] #4 | User order entry | Last: 3039.75 | AO=0 1902 Market 1 Buy Order Sent . . . Orders 2020-06-25 10:36:55.130 ESU20_FUT_CME SC Futures Order Routing/Data order update (New). Info: Order from DTC client #YYYYY. Sierra Chart. . . . . . . Market 1 Buy Pending Open . . . Orders 2020-06-25 10:36:55.133 ESU20_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: TT order update (New) | Open XXXXXXX Close . . . Orders 2020-06-25 10:36:55.185 ESU20_FUT_CME SC Futures Order Routing/Data order update (Filled). Info: TT order update (Trade) | . . . . Buy Filled 3040.00 1 XXXXXXX Close -1 It takes 41 millisec to get "PendingOpen" and another 3 milliseconds to get OrderAccepted/New back. So we're talking 44 millliseconds to get an ACK back. note: using the Sierra Chart server in the CME Aurora data center (Server 2). Yes, difference between SIM env and routing through TT is expected. But is it that significant ? Trying to reconcile it with the info found here: Sierra Chart / Trading Technologies Futures Order Routing Service ( Order routing is through a server managed by Sierra Chart with a FIX connection to Trading Technologies. Overall latency is well below 1 millisecond to the TT server when using the Sierra Chart server in the CME Aurora data center (Server 2). 2 millisec with Sierra's SIM vs 41 millisec through TT. Not complaining at all ( happy Sierra user actually ) Just trying to make sure everything is correct on my end. Many thanks for all the help. Date Time Of Last Edit: 2020-06-26 03:09:39
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| [2020-06-26 11:17:21] |
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When connected to the trading server, the Trade Activity Log updates immediately if the settings at the top are matching the Trade activity that is occurring: Trade Activity Log: Viewing Historical Trade Activity Regarding determining latency of order related processing, it is not really reliable to be using the times you see in the Trade Activity Log. We would have to do those calculations on the server and embed them into the description. We will see if we can do that. 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 |
| [2020-06-26 12:34:10] |
| User860187 - Posts: 31 |
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ACK that msg. Thank you very much indeed for quick response. All selection criteria were matched and I never had any delays using SIM. Well, at least I didn't notice. That's OK. will keep an eye on it. Will let you know if anything. As for order related latency, thanks for looking into it. Hear you ( I mean calculations on the server side + embedding them into descr ). We also need to be cognizant of the "price" of doing it. How "expensive" it would be . .. We wouldn't want to slow things down :-) thanks again very much for all the help/info. will update you on Trade Activity Log if anything. thx again. |
| [2020-06-26 21:28:53] |
| User860187 - Posts: 31 |
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Quick update on Trade Activity Log, if I may. Trade Activity Log is perfectly fine. Works as expected. No issues at all. Don't know what was that to be honest. But the only change made was from "[Sim] AllSymbols" to "AllSymbols(Non-Sim)". Guess I "messed it up" somewhere. Again, it works perfectly fine. Apologies for the inconvenience it might've caused. We can consider this closed. Thank you again very much for taking the time and effort in looking into those questions. |
| [2022-04-28 18:17:01] |
| User955560 - Posts: 6 |
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When there is high price volatility (volume/second>60), the DOM does not track price movement. The displayed price does not move while actual price is moving +/- 6 ticks or more. On entering an order, an error message states something like " cannot enter order at same level as price." This does not occur in sim mode. The latency seems to be on the order of seconds, far more than the 40 msec that I see referenced in the earlier post. I have set the DOM update interval to 10 msec. The chart latency that I see is approximately 1 second in all conditions of price movement, high or low vol/sec. The DOM latency can be several seconds in SIM or live. Date Time Of Last Edit: 2022-04-28 19:33:49
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| [2022-04-28 20:18:03] |
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I have set the DOM update interval to 10 msec. This is too low and creates an unnecessary CPU load. If you want fast updates it should be more like 50.To improve the update performance, refer to: Chart Trading and the Chart DOM: Improving Performance Of Chart / Trade DOM 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: 2022-04-28 20:18:17
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