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Date/Time: Sat, 25 May 2024 05:53:39 +0000



Trade Activity Export issue - FilledPrice field

View Count: 194

[2023-09-16 23:27:33]
User990275 - Posts: 18
Hello,

I am having an issue with export of MNQ fills incorrectly exporting FilledPrice values.

For example, my export contains FilledPrice value of 1559550.0000000, instead of 15595.00. The incorrect placement of the decimal is throwing off systems that try and import the Fills.

When I view my fills in SC, the FilledPrice displays correctly. When I export it to a .txt file, the values change. I have updated Symbol Settings from Server and checked my Chart Settings for the Symbol (multipliers) to make sure they match other SC users that are not having this issue.

Is there a setting that is causing the FilledPrice to be exported incorrectly?

Thank you!



Sample Export:

ActivityType  DateTime  TransDateTime  Symbol  OrderActionSource  InternalOrderID  ServiceOrderID  OrderType  Quantity  BuySell  Price  Price2  OrderStatus  FillPrice  FilledQuantity  TradeAccount  OpenClose  ParentInternalOrderID  PositionQuantity  FillExecutionServiceID  HighDuringPosition  LowDuringPosition  Note  AccountBalance  ExchangeOrderID  ClientOrderID  TimeInForce  Username
Fills  2023-09-13 17:31:36.212364  2023-09-13 17:31:37.000000  MNQZ3.CME  Rithmic Direct - DTC (Partial fill)  142460  1671469021  Limit  1  Sell  1559550.0000000    Open  1559550.0000000  1  BX19  Open    -1  3322652      SR MES 30-50-60.twconfig  0.00  1671469021  142460.53516  Day  
Fills  2023-09-13 17:31:36.212495  2023-09-13 17:31:37.000000  MNQZ3.CME  Rithmic Direct - DTC (Partial fill)  142463  1671469022  Limit  1  Sell  1559550.0000000    Open  1559550.0000000  1  BX19  Open    -2  3322653      SR MES 30-50-60.twconfig  0.00  1671469022  142463.83934  Day  
Fills  2023-09-13 17:31:36.212553  2023-09-13 17:31:37.000000  MNQZ3.CME  Rithmic Direct - DTC (Partial fill)  142466  1671469023  Limit  1  Sell  1559550.0000000    Open  1559550.0000000  1  BX19  Open    -3  3322654      SR MES 30-50-60.twconfig  0.00  1671469023  142466.36748  Day
[2023-09-17 23:47:07]
User990275 - Posts: 18
I've done some more investigating and as far as I can tell, this appears to be a bug in the Trade Activity Export functionality. The Export is applying the incorrect multiplier (or not applying a multiplier at all), to the FillPrice field when fills are exported to CSV. The FillPrice displays correctly, but when exported, the field is multiplied by 100 (or is not having a .01 multiplier applied). This seems to be the case at least for Teton and Rithmic data. I believe it occurs for ES, MES, NQ, and MNQ.

Thanks
[2023-09-18 11:43:14]
Sierra_Chart Engineering - Posts: 14474
This is not a bug. The Export command exports the data in the raw format as it comes from the exchange.

This is all fully documented here:
Trade Activity Log: Importing and Exporting Data
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, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2023-09-18 16:58:52]
User990275 - Posts: 18
Thanks. This appears to be occurring even with fills from Sim trading. Some users' fills are in 15625.00 format. While mine are in 1562500.0000 format. What would cause this difference? My data is coming from Teton and my chart has the [M] next to the trade symbol.

Thanks.
[2023-09-18 21:48:16]
Sierra_Chart Engineering - Posts: 14474
Yes this makes sense even if you are using Trade Simulation Mode with Teton order routing selected.
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, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2023-09-18 21:48:25

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