Support Board
Date/Time: Wed, 30 Apr 2025 07:37:57 +0000
DTC OCO Orders Bug - Works on sim but not live
View Count: 78
| [2025-04-24 09:30:26] |
| Chomway - Posts: 4 |
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Hi, I'm using the DTC protocol to send OCO with market orders. When I use it on the sim (Trading Evaluator) it works perfect, but when I use it on Teton with identical JSON messages, the limit order is placed at the fill price and the stop is rejected with the following: 2025-04-24 09:31:59.721 | Teton CME Order Routing (Order reject). Info: CME (Rejected). Text: Sell order stop price must be below last trade price. SecurityID=42003627. Operator=S5SC153. Text: Attached order. Parent: 4625. Internal Order ID: 4627. Service Order ID: 2894295. Symbol: MESM25_FUT_CME. Account: 111V1 * I will share the JSON messages for each below: TRADING EVALUATOR: JSON data: { "Type": 208, "Symbol": "MESM25", "ClientOrderID": 1745483263, "OrderType": 1, "BuySell": 1, "TimeInForce": 1, "Quantity": 1, "TradeAccount": "Test_Account", "IsAutomatedOrder": 1, "IsParentOrder": 1, "Price1": 5000} JSON data: { "Type": 201, "Symbol": "MESM25", "ClientOrderID_1": 1745483264, "OrderType_1": 2, "BuySell_1": 2, "Price1_1": 5004.0, "Quantity_1": 1, "ClientOrderID_2": 1745483265, "OrderType_2": 3, "BuySell_2": 2, "Price1_2": 4996.0, "Quantity_2": 1, "TimeInForce": 1, "IsAutomatedOrder": 1, "TradeAccount": "Test_Account", "ParentTriggerClientOrderID": 1745483263, "PartialFillHandling": 1, "UseOffsets": 0, "OffsetFromParent1": 4.0, "OffsetFromParent2": 4.0} This executes perfectly with a bracket order of the appropriate size. TETON: JSON data: { "Type": 208, "Symbol": "MESM25_FUT_CME", "ClientOrderID": 1745483519, "OrderType": 1, "BuySell": 1, "TimeInForce": 1, "Quantity": 1, "TradeAccount": "111V1", "IsAutomatedOrder": 1, "IsParentOrder": 1, "Price1": 5000} JSON data: { "Type": 201, "Symbol": "MESM25_FUT_CME", "ClientOrderID_1": 1745483520, "OrderType_1": 2, "BuySell_1": 2, "Price1_1": 5004.0, "Quantity_1": 1, "ClientOrderID_2": 1745483521, "OrderType_2": 3, "BuySell_2": 2, "Price1_2": 4996.0, "Quantity_2": 1, "TimeInForce": 1, "IsAutomatedOrder": 1, "TradeAccount": "111V1", "ParentTriggerClientOrderID": 1745483519, "PartialFillHandling": 1, "UseOffsets": 0, "OffsetFromParent1": 4.0, "OffsetFromParent2": 4.0} In the trade activity when I look at both of them, the market order goes in and gets filled. Then for the Trading Evaluator, the limit and stop orders get placed at 5004.00 & 4996.00 which then adjust in accordance with the fill price and so everything works fine. As you would expect. On Teton, the market order goes in and the limit and stop orders get sent at 50.04 & 49.96 which then adjust to the market order fill price and the stop order is rejected and the limit order stays on the book at the entry price. I have no idea why 5004 & 4996 get converted into 50.04 & 49.96. I've been trying to work this out for weeks but I am at an end with it. Is this a bug or am I seriously missing something? Thanks. **EDIT** I just figured out that this is related to the Real-Time Price Multiplier value. Essentially I need to divide the actual offsets I want by the Multiplier Value. I.e. for MES a 4.00 stop offset would need to be entered as 4.00 / 0.01 = 400.00. What is the reason for needing to do this on live order routing? Date Time Of Last Edit: 2025-04-24 11:15:42
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| [2025-04-25 13:56:00] |
| Sierra_Chart Engineering - Posts: 19383 |
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We will write up documentation about 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-04-25 14:29:23] |
| Chomway - Posts: 4 |
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Thank you very much. Where will I find it and how will I know when? |
| [2025-04-25 16:59:20] |
| Sierra_Chart Engineering - Posts: 19383 |
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We will post here when done.
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 |
| [2025-04-25 17:46:34] |
| Sierra_Chart Engineering - Posts: 19383 |
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Here is the documentation: Order Entry and Modification Messages: Price Formatting Notes 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 |
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