Support Board
Date/Time: Mon, 27 Jan 2025 19:22:55 +0000
Queuing
View Count: 2724
| [2013-05-31 13:36:41] |
| User87197 - Posts: 65 |
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Hi guys, it would be really awesome if you could consider implementing an "estimated position in queue" column for the tradeDOM and chartDOM - much like xtrader has. Along a similar line, if it's possible to get trade simulation to simulate queuing orders rather than waiting for the whole price to be traded through for a fill - that would really benefit very short-term scalping traders that are trading sim using live depth data. Thanks for all your great work, love the platform! |
| [2013-05-31 14:20:52] |
| Vergina Star - Posts: 9 |
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It is impossible for anyone to know what place an order is in the queue. Some simulated trading platforms are designed to be easier than real life trading especially when it comes to limit orders, which will give you a false sense of security. For example, these platforms fill your limit orders even if the limit price is hit just once, which is not indicative of what you will experience in real trading. In electronic futures trading, limit orders are filled on a “first come, first served” basis. Why wouldn’t you rather have the filling of your simulated limit orders harder, so you are prepared for the worst case scenario that will occur sometimes in the real trading environment? Note: EPIQ is not sent from the exchanges. X_TRADER® calculates an estimated EPIQ based on quantity of trades occurring in front of the order, and does not account for cancelled orders nor pro-rata allocations. |
| [2013-05-31 16:14:25] |
| User87197 - Posts: 65 |
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Yes. I am aware of the points you've stated and no I'm not describing the one-touch or semi-queued fills provided on the majority of trading sims. I totally agree that they're momentously unrealistic and I would never want that in Sierra Chart. As you've highlighted the EPIQ column is calculated by taking the quoted depth when you entered your order (putting you at the back of queue) then for each subsequent contract traded at that price - your estimated position is reduced by one contract so although your REAL queue position may in fact be better than the listed EPIQ number (due to orders in front of you being pulled) it cannot be worse on a product that queues FIFO - and that's very valuable information. It's not a request for an easy sim environment, just a slightly more realistic one for those who want the option (if it is possible through the way Sierra works that is). Watching thousands of contracts repeatedly lift into an offer showing only 200 contracts offered (iceburgs/algos are present) and not getting a fill because it never went bid is frustrating if you scalp short-term moves. I have always thought a better name for the column would be "worst case position in queue." Anyway, hope that clears up the request. |
| [2013-05-31 17:52:28] |
| Vergina Star - Posts: 9 |
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Why do you not trade in live mode rather than sim mode? It has the exact same fills as live trading.... That would be the most realistic option. Knowing your place in the queue would only be valuable information if you knew how many contracts were going to trade at that specific price. You do not know that the market will not trade through your limit order so knowing the “"worst case position in queue" is worthless information. |
| [2013-06-01 00:52:00] |
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We do not see this as a feature being added anytime soon. It is complex to implement, creates potential performance issues, and we have too many other practical priorities. From an engineering perspective, it is really something we would rather avoid.
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: 2013-06-01 00:52:20
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| [2013-06-01 23:32:31] |
| User87197 - Posts: 65 |
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Ok, thanks anyway SC! :) Vergina, I appreciate your input. |
| [2019-01-29 16:56:00] |
| Chad - Posts: 234 |
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Hi SCE, figured to ask this here, even given the age of this thread... ...going off of your reply about sim trading, I take it that any development on simulating a 'size Pro Rata' order matching algorithm is not available in the course of a backtest within SC? If true, might you have any suggestion for modeling sPR within a market depth study, and/or a compromise to the order logic that would approach some approximation of dealing with sPR, e.g. pricing limit orders for a strategy at the bid-ask mid or rounding up/down to the nearest level of the LOB? |
| [2019-01-29 19:02:27] |
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Estimated position in queue is available in trade simulation mode but not for replays. Refer to: Global Trade Settings Windows: Enable Estimated Position in Queue Tracking (Global Settings >> Chart Trade Settings >> General >> Position in Queue) We will see if we can make this work during replays. 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 |
| [2019-01-29 20:33:47] |
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Estimated position in queue will be supported during replays in the next release but it has not yet been tested. The other thing that is necessary is that you will need to record the market depth data for the time period being replayed. This is explained here: Replaying Charts: Replaying of Market Depth Data And the type of back test you must do is going to be a replay back test. 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: 2019-01-29 23:53:58
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| [2019-02-23 08:06:49] |
| @sstfrederik - Posts: 405 |
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Hi, Are you making this number available with an ACSIL function? Thanks Frederik |
| [2019-02-24 02:27:45] |
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Making what available? Do not rely on prior posts. We are not going to read them.
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 |
| [2019-02-24 10:15:18] |
| @sstfrederik - Posts: 405 |
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Estimated position in queue
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