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Direct MessagesDate/Time: Mon, 29 Apr 2024 18:37:55 +0000
Simulation trading - fill price bug - trade at market fills outside of time and sales - CTS data
View Count: 1021
| [2014-04-23 18:51:12] |
| T44 - Posts: 363 |
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Please see screenshot. The sell market button in chart trade mode was used. The sell order filled above the current price, then the child take profit order filled for an instant profit, both outside of the prevailing market quotes. |
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| [2014-04-23 20:20:54] |
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This could not be a bug. It has to do with the Bid and Ask prices. Refer to: http://www.sierrachart.com/index.php?l=doc/doc_TradeSimulation.php#OrdersDoNotFill 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 |
| [2014-04-23 20:54:36] |
| T44 - Posts: 363 |
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Tick size and price display format in Chart Settings appear to be correct. The applicable part of the link is therefore: When you are receiving real-time data from the connected Data or Trading service, the service could be providing invalid Bid and Ask data. To confirm this, select Window >> Current Quote Window. Look at the Bid and Ask prices. If they are significantly different than the Last trade price, then they may not be correct. In this case you may want to reconnect to the data feed by selecting File >> Disconnect and then File >> Connect to Data Feed.
I cannot reproduce at the current time, but does this mean that CTS was supplying incorrect bid/ask quotes while continuing to pass the correct "last trade" data? Are you aware of any issues with the top of book only CME data provided through CTS? CTS say that their FIX interface is in Beta. Could this be relevant? Should this be reported to CTS? What are the implications of incorrect bid/ask data coming into Sierra Chart in live trading mode? (I'd expect none as the orders, fills, etc will be govered by the exchange matching engine and its simply the "estimate" of where a market order would fill in SIM which is incorrect). Still, it is concerning that incorrect b/a data is coming in - how can one also trust that the last trade information is correct? |
| [2014-04-23 21:13:30] |
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does this mean that CTS was supplying incorrect bid/ask quotes while continuing to pass the correct "last trade" data? Yes, but what the exact cause is not known. We have not heard about market depth data issues from CTS.We do not consider the CTS FIX interface as beta any longer. When you do have the problem, we would need to understand a little more about it at the time and we would have some questions and then we can decide what should be reported to CTS if anything. Incorrect bid/ask data with live trading will not affect the fills. how can one also trust that the last trade information is correct? We really do not know what to say about this. CTS provides the data feed. If you trade a lot, and can afford it, it is always a good idea to have other data feeds. You may want to look at using the Sierra Chart Exchange Data Feed.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: 2014-04-23 21:15:23
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