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Direct MessagesDate/Time: Thu, 25 Apr 2024 11:02:53 +0000
Trailing Stops in Bond Futures - TT
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| [2014-03-07 15:32:52] |
| User53900 - Posts: 5 |
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When trading the bond futures, ZB-201406-CME, simulated using the TT data feed, trailing stops seem to work well, but a trailing stop used as an attached order just results in it being a regular stop. Similarly, using an automated trading system, an attached order trailing stop turns out just to be a stop. This is true with the bonds but not crude oil or other products. This is true on the TT feed but not other feeds. An attached shows the trailing stop attached orders and how they don't modify. What should be the settings trading bonds on TT?
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 trailing stops - zb - tt.jpg / V - Attached On 2014-03-07 15:31:41 UTC - Size: 424.5 KB - 364 views Attachment Deleted. |
| [2014-03-07 22:04:39] |
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Thank you for this. This is pending review.
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 |
| [2014-03-13 08:41:51] |
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We do not observe a problem with this. We see no reason in the code why this would occur and we tested it using live trading data when connected to TT FIX. A Trailing Stop Attached Order did get automatically adjusted: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID
Order 2014-03-13 04:34:13.000 [Sim]ZB-201406-CBOT ZB-201406-CBOT 10 Min #1 | User order entry | Last: 132.0625 19799 Trailing Stop Sell 131 30/32 Pending Child Sim Close 19798 Order 2014-03-13 04:34:13.001 [Sim]ZB-201406-CBOT ZB-201406-CBOT 10 Min #1 | User order entry | Last: 132.0625 19798 Limit 1 Buy 132 8/32 Order Sent Sim Open Order 2014-03-13 04:34:13.002 [Sim]ZB-201406-CBOT Simulated order accepted 19798 19798 Limit 1 Buy 132 8/32 Open Sim Open Order 2014-03-13 04:34:13.003 [Sim]ZB-201406-CBOT Trade simulation fill. Bid: 132 7/32 Ask: 132 8/32 19798 19798 Limit 1 Buy 132 8/32 Filled 132 8/32 1 Sim Open Order 2014-03-13 04:34:13.005 [Sim]ZB-201406-CBOT Auto-sent child from parent fill 19799 Trailing Stop 1 Sell 131 30/32 Order Sent Sim Close 19798 Order 2014-03-13 04:34:13.006 [Sim]ZB-201406-CBOT Simulated order accepted 19799 19799 Trailing Stop 1 Sell 131 30/32 Open Sim Close 19798 Order 2014-03-13 04:34:37.000 [Sim]ZB-201406-CBOT ZB-201406-CBOT 10 Min #1 | User order modification 19799 19799 Trailing Stop 1 Sell 131 30/32 Pending Modify Sim Close 19798 Order 2014-03-13 04:34:37.001 [Sim]ZB-201406-CBOT Simulated order modify complete 19799 19799 Trailing Stop 1 Sell 131 28/32 Open Sim Close 19798 Order 2014-03-13 04:37:47.000 [Sim]ZB-201406-CBOT Auto trail order modification. Trigger price: 132.250000 19799 19799 Trailing Stop 1 Sell 131 28/32 Pending Modify Sim Close 19798 Order 2014-03-13 04:37:47.001 [Sim]ZB-201406-CBOT Simulated order modify complete 19799 19799 Trailing Stop 1 Sell 132 2/32 Open Sim Close 19798 Order 2014-03-13 04:37:47.002 [Sim]ZB-201406-CBOT Auto trail order modification. Trigger price: 132.343750 19799 19799 Trailing Stop 1 Sell 132 2/32 Pending Modify Sim Close 19798 Order 2014-03-13 04:37:47.003 [Sim]ZB-201406-CBOT Simulated order modify complete 19799 19799 Trailing Stop 1 Sell 132 5/32 Open Sim Close 19798 Order 2014-03-13 04:37:47.004 [Sim]ZB-201406-CBOT Auto trail order modification. Trigger price: 132.375000 19799 19799 Trailing Stop 1 Sell 132 5/32 Pending Modify Sim Close 19798 Order 2014-03-13 04:37:47.005 [Sim]ZB-201406-CBOT Simulated order modify complete 19799 19799 Trailing Stop 1 Sell 132 6/32 Open Sim Close 19798 Order 2014-03-13 04:37:49.001 [Sim]ZB-201406-CBOT Auto trail order modification. Trigger price: 132.781250 19799 19799 Trailing Stop 1 Sell 132 6/32 Pending Modify Sim Close 19798 Order 2014-03-13 04:37:49.002 [Sim]ZB-201406-CBOT Simulated order modify complete 19799 19799 Trailing Stop 1 Sell 132 19/32 Open Sim Close 19798 Order 2014-03-13 04:37:49.003 [Sim]ZB-201406-CBOT Trade simulation fill. Bid: 132 12/32 Ask: 133 5/32 19799 19799 Trailing Stop 1 Sell 132 19/32 Filled 132 12/32 1 Sim Close 19798 We recommend testing this during a chart replay since that is the easiest way to test a trailing stop especially when the replay runs at a fast speed. Do you notice a problem during a replay of ZB with the trailing stop getting automatically adjusted ? 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: 2014-03-13 08:44:12
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