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Direct MessagesDate/Time: Thu, 02 May 2024 10:05:59 +0000
Replay incorrect
View Count: 205
| [2024-04-10 21:07:33] |
| Julien Vieillard - Posts: 6 |
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Good morning, My work colleagues and I are having the same problem on chart replays. When we program on a study of taking a trade on a specific price, (example on the VPOC of the day before, 60% of trades are taken on average 7 ticks before reaching the requested price. While in reality, the trade is taken at the right price or even 2 or 3 tiks later. Never before. This completely distorts the statistics. We have the same problem on 3 different Sierra chart platforms. I took a new blank version, it's the same. I trying TETON feeds it's the same. I deleted and re-uploaded the data and it's the same. How can we get accurate results? Sincerely |
| [2024-04-11 14:42:15] |
| John - SC Support - Posts: 31293 |
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Exactly which Replay Mode option are you using? Refer to the following: Replaying Charts: Replay Mode For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-04-11 16:07:16] |
| Julien Vieillard - Posts: 6 |
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Hi, I use "Accurate Trading System Back Test Mode". Whether at x1 or x120 speed we have the same problem. I would like to point out that these errors occur even though the volatility is normal. Sincerely |
| [2024-04-13 08:08:27] |
| User61168 - Posts: 350 |
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Accurate Trading System Back Test Mode Try "Calculate at every tick" replay mode. It is the most accurate replay mode available but still not 100% accurate if playing at higher speed or doing some crazy stuff with time functions or rate of speed or slope etc. In my experience, it is okay to expect quality of testing to degrade at higher speeds. Every now and then, you will hit some unexplained abnormalities with replay and I just don't bother myself. It's the necessary evil and a complete waste of time to troubleshoot any replay issues imo
Date Time Of Last Edit: 2024-04-13 08:09:24
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| [2024-04-13 09:24:04] |
| Julien Vieillard - Posts: 6 |
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Thank you. I tried the "Calculate at every tick" mode at speed 1, leaving only Sierra Chart running on a good PC and it doesn't get me the right one at the right price in 60% of cases. It's a shame that the historical data is not precise because it considerably distorts the tests. |
| [2024-04-13 09:31:28] |
| User431178 - Posts: 412 |
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It's a shame that the historical data is not precise because it considerably distorts the tests.
Do you have data stored as tick data or something else? Data/Trade Service Settings: Intraday Data Storage Time Unit (Global Settings >> Data/Trade Service Settings >> Common Settings >> Common Settings) |
| [2024-04-13 11:18:36] |
| User61168 - Posts: 350 |
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What type of chart are you using? This does not seem to be an issue with replay imo. Make sure you are not using the start date and time in the replay dialog box. Move your chart to the first bar you want to start backtesting as there are documented issues with using incorrect start date/time.
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| [2024-04-13 11:45:26] |
| Julien Vieillard - Posts: 6 |
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Thanks a lot for your help. That's very kind of you. I'm going to test all of this.
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| [2024-04-13 16:24:16] |
| User61168 - Posts: 350 |
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You could also try this… - set continuous contract to none and change the symbol to whichever you are trying to test |
| [2024-04-22 09:03:56] |
| Julien Vieillard - Posts: 6 |
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Hello, User431178, the "Intraday Data Storage Time Unit" is: 1 Tick. User61168, I'm using an Intraday Chart. I unchecked "Use Start Date-Time" in the replay dialog box. I set the continuous contract to "none". After making the recommended changes, I deleted and redownloaded the data, but I still encounter the same issue. I really don't know where this could be coming from. |
| [2024-04-22 13:27:26] |
| Sierra_Chart Engineering - Posts: 14173 |
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We do not even understand what the issue even is to begin with. There simply could not be any problem. Your first post does not even describe a problem. What exactly does this mean? When we program on a study of taking a trade on a specific price, (example on the VPOC of the day before, 60% of trades are taken on average 7 ticks before reaching the requested price. While in reality, the trade is taken at the right price or even 2 or 3 tiks later. Never before.
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 |
| [2024-04-22 14:48:43] |
| Julien Vieillard - Posts: 6 |
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I apologize if my previous explanation of the issue was unclear. The problem I'm encountering is that orders are not being executed at the desired price level. I've coded a study to execute an order when the price touches the previous day's VPOC. However, when I run a chart replay to test a strategy, in 60% of cases, orders are not executed at the desired price level but rather between 6 and 7 ticks before they should be executed. For example: The previous day's VPOC is at a price of 2280.0. The current day's price opens at 2300.1. The order is executed around 2280.7 instead of 2280.0. In real trading, the order is executed at the desired price or 2 to 3 ticks later, but never before the current price touches the desired price. How can I obtain the most accurate replay possible? I hope this clarifies my issue. I would appreciate any assistance you can provide in resolving this matter. |
| [2024-04-22 14:56:20] |
| Sierra_Chart Engineering - Posts: 14173 |
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We still do not understand this at all. From our perspective we simply cannot understand what the issue is. The details you are providing are not relevant. All of this is very basic. When an order is submitted, it is going to fill according to its order type and the bid and ask prices at that moment in time even during a replay. Here is the documentation about this: Trade Simulation: How Orders are Filled 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: 2024-04-22 14:59:02
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| [2024-04-22 15:00:40] |
| User61168 - Posts: 350 |
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Julien - Please Move this thread to user discussion and attach your chart and study to get additional help from other users.
Date Time Of Last Edit: 2024-04-22 16:58:31
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