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Simulation accuracy

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[2014-07-28 20:29:15] #25 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We are going to be adding to the Order Action Source the last trade price as well. This will help us figure out the problem. This will be out in the next release coming out in one or two more days. 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

[2014-07-28 21:20:51] #26 [Go To First Post]
todds - Posts: 64
Would you like me to continue to send you examples of positive slippage fills in the meantime?

[2014-07-28 21:42:46] #27 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
No. Just wait. 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

[2014-08-29 13:37:53] #28 [Go To First Post]
todds - Posts: 64
Revisiting this issue. I am using the latest version 1174. Still getting a lot of positive slippage on simulation trades. Here is the most egregious example from yesterday with 13 ticks of positive slippage: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID Order 2014-08-28 14:18:39.000 [Sim]GCLV4 Trade simulation fill. Bid: 94.21 Ask: 94.22 Last: 94.08 2159 2159 Stop 1 Sell 94.08 Filled 94.21 1 Sim1 Close 2157

[2014-08-29 16:50:11] #29 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Can you confirm that on your GCLV4 chart, after the symbol at the top of the chart, you see [M]. 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

[2014-08-29 16:54:59] #30 [Go To First Post]
todds - Posts: 64
confirmed

[2014-08-29 17:13:58] #31 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We need to set up a test to trap this particular problem. Not sure why it would be happening. 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

[2014-09-08 17:35:54] #32 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is not an easy problem to track down but we are monitoring for it. 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

[2014-09-08 18:09:45] #33 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We have looked into this. And we have carefully analyzed the processing of the CME multicast data feed. We make sure that before a trade is sent to Sierra Chart, that the market depth is up-to-date. The Sierra Chart data feed is unfiltered. All market depth data is transmitted through including all trades. We have observed what you see, and the only reasonable conclusion is that this is just the nature of the CL market and this is the actual data from the CME. 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: 2014-09-08 18:10:15

[2014-09-09 18:11:27] #34 [Go To First Post]
todds - Posts: 64
thanks for looking into it.

[2014-09-10 18:23:25] #35 [Go To First Post]
todds - Posts: 64
One more point just as food for thought for you guys. My hunch is that it is not just the nature of CL because I never experienced this problem with Ninja. If anything I got negative slippage, which is what one would expect in live trading. Their simulator is actually quite accurate. I am not trying to make a comparison, just an observation. I like Sierra Charts and can live with this issue. Just thought you'd like to know.

[2014-09-10 19:53:26] #36 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
OK but we have to concentrate on the basic facts. In the case of a stop order, it is triggered based upon the last trade price and filled using the bid and ask prices. We do not know how the other program does this. And at this point we see no evidence, that data from the CME data feed is being dropped or the sequence of bid and ask updates in relation to the trades is incorrect. We will set up monitoring on the server side to see if we see the problem there as well. If so, then further indicates that this is how the CME feed is. 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: 2014-09-10 20:00:34

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