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Date/Time: Sat, 18 May 2024 10:29:09 +0000



Average Price for Only Open Positions ?

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[2022-03-03 18:29:58]
tailwhip - Posts: 18
Is there a way to see the true average price of remaining open positions for a given contract?

I have tried all 5 options (fifo, lifo, flat to flat, etc...) and I don't believe any of them calculate only the remaining open positions as I scale in and out until flat. I have also recalculated the dom, set to include only today's trades. They seem to either take into account the scale out pos. or the original scale in positions even if they are closed.

I read a post from 3 years ago for the same issue and was wondering if this is available yet or can be. I seems pretty simple to average the open positions only.

Any assistance is appreciated
[2022-03-03 18:32:48]
Sierra Chart Engineering - Posts: 104368
This does not make sense. When you are using FIFO or LIFO, only the average price of the entry orders fills that remain, are used in the calculation. So the functionality does what you need. There is no other possibility. Maybe not all of the order fills are being loaded? How long has this position existed for?
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: 2022-03-03 22:13:39
[2022-03-03 19:14:20]
tailwhip - Posts: 18
I understand that. These are intraday sequences. I want the average of the "current open positions only" For example...if I scale into a position of 5 contracts with an average of say 4400, then exit some to 1 remaining contract. So I have 1 left at 4400...ignore what trades got me to the 4400 average...now I buy 1 more at 4390, I want it to say the average is 4395 since that is the average of the "average open position". I don't care about the "orders that remain" original prices, I care about the average price of the "orders that remain" only. Instead of using FIFO OR LIFO, pair them to the average price. That's what matters to determine of one is pos/neg during that sequence or for the day.

thanks
[2022-03-03 22:17:23]
Sierra Chart Engineering - Posts: 104368
What we meant to say is:
entry orders fills that remain
we mean the fills. Not the original orders.

The functionality definitely does what you need. How long has the position existed for? Make sure this setting is set far enough back, to include the first fill of the position:
Chart Settings: Order Fills Start Date-Time (Chart >> Chart Settings >> Trading menu)

And check to make sure there are no missing fills in the Trade Activity Log:
Trade Activity Log


You can also use the Trades tab of the Trade Activity Log and set it to either FIFO or LIFO and see what particular fills remain and are used in the average price calculation for the remaining open position. Refer to:
Trade Activity Log: Basic Instructions

You will want to look for Trades that do not have an ExitDateTime.
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: 2022-03-03 22:19:06
[2022-03-03 22:48:55]
tailwhip - Posts: 18
I don't think were on the same page...thus the limitations with email support. These are intraday trades only...a few minute sequence. If "The functionality definitely does what you need" then I can't get the settings to do what I need. The way I need to see it is pretty standard. Trading Technologies DOM has been an industry leader for a long time and I'm just looking for the same functionality with the DOM here regarding average price. The sierra DOM does not average the same way, with every configuration I've tried, and I'm just trying to find out if it's possible and how to configure.

The exit fills should not be part of the equation...just the average of all the buy orders (ex. for a long position). The theo average is there for including exits, but I don't care about them with the DOM I'm scalping on. It's like staring at your P/L as you're trading when the average takes into account all the scale out orders and average price bounces around. We should be able to configure this...and I can't with everything I've read and tried. Can you please verify this can be done or if not, add this as it should be extremely simple.

thanks
[2022-03-04 00:54:24]
Sierra Chart Engineering - Posts: 104368
Therefore what you want is definitely this one:
Trading Information Windows: Use Flat to Flat Open Position Average Price

It definitely does what you want. If not, it must have something to do with the loaded order fills in the chart.
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: 2022-03-04 00:54:45
[2022-03-04 02:00:59]
tailwhip - Posts: 18
Unfortunately the flat to flat doesn't calculate correctly on my end. I bought a few contracts and sold a few until I had one remaining contract with average price of 4322.50. I bought one more contract at 4326.50 which should yield an average price for open contracts to 4324.50. It came up with 4323.30 so no good.

I don't know how else to explain it. When someone else posted this exact issue in 2019 there was no resolution so maybe the software just can't do it. If you have another means to sort this out I'm willing but otherwise I will probably just suspend my account until this feature is added or we figure out what box needs to be checked somewhere...

thanks
[2022-03-04 21:16:02]
tailwhip - Posts: 18
I have disabled my service package 10 and requested credit for the 3/5/22 to 4/4/22 which hasn't began but was already debited from my account.

Please let me know if this issue gets resolved.

Thanks
[2022-03-11 18:20:31]
Sierra Chart Engineering - Posts: 104368
Unfortunately the flat to flat doesn't calculate correctly on my end. I bought a few contracts and sold a few until I had one remaining contract with average price of 4322.50. I bought one more contract at 4326.50 which should yield an average price for open contracts to 4324.50. It came up with 4323.30 so no good.

Your conclusion that 4323.30 is wrong is incorrect based upon the calculation method. There is a quantity weighted average price calculation based upon the quantity and price of each of the buy fills for long positions and the sell fills for short positions, that is ongoing throughout the life of the flat to flat trade.

You are just doing a simple average price calculation in your description above. That is definitely not correct.

What is wrong with the stated calculation method here?:
Trading Information Windows: Use Flat to Flat Open Position Average Price

For us to validate that there is a problem, you need to list, in an orderly line by line format, all of the fills since the beginning of the flat to flat position, their quantity and their price. And then provide an explanation of the calculation method and a reference to support that.

Using your method, let us take an example. If the entry price of the first fill is 1005 and there is a quantity of 500 and then 499 of those contracts are closed out. And then there is another entry for a single contract at a price of 1100 and then you perform a simple average price calculation without any regard to quantities, you are not going to have a true average price calculation at all. in your case, you would come up with an average price of 1,052.5. This is wrong!


There is not an issue here. If there is an issue, we would like other users as well to explain to us why. If you are looking for a true average price during a flat to flat trade, your method does not work. It would be erroneous.

Now if the calculation method, is not correct according to the documentation we can take care of that.



Rereading your first post, you are not actually looking for a flat a flat average price. You are looking for the weighted average price, of those order fills, which make up the current position. Using either FIFO or LIFO. That is supported. And there are no problems with this. So why you continue to assert there is an issue is unknown to us.

However your post #5, is essentially looking for a flat to flat average price method. What you are asking for is inconsistent between posts.

If our existing users can demonstrate a problem to us, we will look into it. But so far there is no indication of a 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
Date Time Of Last Edit: 2022-03-11 18:37:13
[2022-03-14 15:54:08]
tailwhip - Posts: 18
Regarding the following from the last post...

"Using your method, let us take an example. If the entry price of the first fill is 1005 and there is a quantity of 500 and then 499 of those contracts are closed out. And then there is another entry for a single contract at a price of 1100 and then you perform a simple average price calculation without any regard to quantities, you are not going to have a true average price calculation at all. in your case, you would come up with an average price of 1,052.5. This is wrong!"

What's wrong with it? 1052.5 is the number I would be looking for. Call it what you want. This is what I've been asking for the entire time. Please refer to the very first line in the very first post. Could you please answer this question...

Can the current version of Sierra do this? Yes or No.

If not, can it please be added? It's a standard TT DOM calculation. As you state "You are just doing a simple average price calculation in your description above. That is definitely not correct." With you saying that I can assume it's very easy to add.


I'm not saying any of the current calculations Sierra does are wrong....until I was told what I'm looking for is flat to flat.

"Therefore what you want is definitely this one:
Trading Information Windows: Use Flat to Flat Open Position Average Price

It definitely does what you want. If not, it must have something to do with the loaded order fills in the chart."

I'm just asking if a simple average price calc is possible or can be added....that's it!
[2022-03-15 19:41:58]
Sierra Chart Engineering - Posts: 104368
Therefore you are looking at a FIFO calculation. How this works is documented here:
Trading Information Windows: Use First In First Out Fill Matching for Open Position Average Price

Is that what you are looking for?
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
[2022-03-16 13:43:18]
tailwhip - Posts: 18
No, that is not what I'm looking for. I want the exit fills to NOT be part of the calculations, just the remaining open position from a flat to flat sequence. Same as the TT DOM
[2022-03-16 13:46:23]
Sierra Chart Engineering - Posts: 104368
The exit fills are definitely not part of that calculation:
Trading Information Windows: Use First In First Out Fill Matching for Open Position Average Price

It does not say the exit fills are part of the calculation.
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: 2022-03-16 13:47:29
[2022-03-16 17:15:06]
tailwhip - Posts: 18
The exits are indirectly related to the calculation as they account for or pair to specific entry's per FIFO OR LIFO. Either way it's not calculating solely based on remaining open position unrelated to their specific entry levels. Per Sierra's quote from above thread "simple average price calculation without any regard to quantities"...can this please be added as it does not appear to be in the current version?
[2022-03-16 17:27:27]
Sierra Chart Engineering - Posts: 104368
Here is an example of a series of trades:
Symbol  Trade Type  Entry DateTime  Exit DateTime  Entry Price  Exit Price  Trade Quantity  Max Open Quantity  Max Closed Quantity  Profit/Loss (C)  Cumulative Profit/Loss (C)  FlatToFlat Profit/Loss (C)  FlatToFlat Max Open Profit (C)  FlatToFlat Max Open Loss (C)  Max Open Profit (C)  Max Open Loss (C)  Entry Efficiency  Exit Efficiency  Total Efficiency  Commission (C)  High Price While Open  Low Price While Open  Note  Open Position Quantity  Close Position Quantity  Duration

[Sim]MESM22-CME (Sim1)  Long  2022-03-16 04:26:02.000 BP  2022-03-16 04:36:18.000  4290.50  4299.00  1  2  1  42.50  42.50  42.50  57.50  -7.50  57.50  -7.50  100.0%  76.9%  65.4%  0.00  4302.00  4289.00    1  1  00:10:16

[Sim]MESM22-CME  Long  2022-03-16 04:30:21.000    4294.75    1  2  1  0.00  0.00  42.50  57.50  -7.50  0.00  0.00  17.9%  0.0%  0.0%  0.00  4302.00  4290.25    2  0  

[Sim]MESM22-CME  Long  2022-03-16 04:40:01.000    4297.00    1  2  0  0.00  0.00  42.50  42.50  0.00  0.00  0.00  38.5%  0.0%  0.0%  0.00  4297.00  4297.00    2  0  
                  Total: 42.50                                


1 Buy 1
2. Buy 1
3. Sell 1
4. Buy 1


In the case of FIFO the position average price will consist, of the fill prices for 2 and 4 in this case. Which is 4295.875.

How can it make any sense, not to include the order quantities. And we would like to hear from other users on this. We are not going to put a faulty calculation method in. Makes no sense at all. We do not believe that is what TT is doing. It makes no sense.
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: 2022-03-16 17:27:49
[2022-03-18 17:06:07]
tailwhip - Posts: 18
Not sure what you're trying to show with the above example, but it's not what I'm asking. My one simple question from thread 1 has turned into an absolute mess. Feel free to remote in for a few minutes and I can show you. I use the TT DOM daily and it does exactly what I'm looking for and asking out of your DOM. How much for a 5 minute phone conversation? This message system is just not working for this matter as what I'm asking is apparently not what you're reading.
[2022-03-22 00:41:38]
Sierra Chart Engineering - Posts: 104368
Ok we have been very busy. We will do our best to get back to this.
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
[2022-03-22 01:55:36]
SC Support - Posts: 1801
Hi there tailwhip, I missed you with my call just now, I am looking to understand better what you need, please let me know when I can call you back again.
[2022-03-22 17:57:30]
SC Support - Posts: 1801
Hi there tailwhip, I missed you again with my call, I am calling from +44 20 8123 2415.
[2022-03-29 16:43:06]
tailwhip - Posts: 18
I see you called. Sorry I didn't pick up but don't from numbers I don't know. I will look for this number now so you can call anytime. Thanks
[2022-03-30 18:08:33]
SC Support - Posts: 1801
Thank you for your time on the phone today, I will share what I have learned with my colleagues and then get back to you.
Date Time Of Last Edit: 2022-03-30 18:08:46
[2022-04-04 17:04:09]
SC Support - Posts: 1801
Hi there tailwhip, can I call you back to follow-up on our last conversation?
[2022-04-05 14:44:51]
tailwhip - Posts: 18
yes anytime. thanks
[2022-05-13 16:35:35]
tailwhip - Posts: 18
Did anything ever come of this? I would like to use Sierra again but never heard anything...
[2022-05-13 16:39:57]
SC Support - Posts: 1801
Thank you for following-up tailwhip, we will come right back to you on this.

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