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LMAX Trading through Central FIX Connection with No Monthly Fees

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[2016-03-08 10:39:21] #1 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We are ready to have some users test our new LMAX connection which has no monthly fees. These are demo accounts and we have 4 volunteers already. So we will be contacting you and posting the instructions here later today. The very first step is for you to update Sierra Chart to 1377: https://www.sierrachart.com/index.php?page=doc/download.php#FastUpdate The service you will need to use is Global Settings >> Data/Trade Service Settings >> Service >> LMAX Trading - DTC. We will want to use this as the discussion thread. We may not be responding to all of the postings but will be monitoring it. There are some important things we need to explain regarding Positions, server side bracket orders, modification of stop orders and redundancy. All of these things must be understood before live trading should be considered. 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: 2016-03-08 10:40:38

[2016-03-08 13:44:19] #2 [Go To First Post]
PTG - Posts: 57
I have it up and running. Question: downloading AUDCAD intraday data I see data appear from 2013-03-04 (appr. 3 years); will this limit continue to exist ?

[2016-03-08 18:21:00] #3 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The primary purpose of the testing is to test trading. So we want lots of orders entered. Regarding historical data, we do not have any earlier Intraday data for LMAX and we do not want to add more because managing it is difficult. For longer-term history, use the Sierra Chart Real-time and Historical Forex/CFD Data Service: Sierra Chart Real Time and Historical Forex and CFD Data Service 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

[2016-03-09 00:02:05] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We just realized, you would not even be able to submit orders because the server is not assigning the correct accounts yet. We are fixing that now. 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

[2016-03-09 04:44:20] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The problem with the trade accounts has now been solved. It is necessary to update version 1378. Here are instructions: http://www.sierrachart.com/index.php?page=doc/download.php#FastUpdate To use the new LMAX connection, the service you will need to use is Global Settings >> Data/Trade Service Settings >> Service >> LMAX Trading - DTC. Trade Position data is determined through the order fills but this should be accurate because the server maintains all of the fills and none of them will be missed by Sierra Chart. When using the LMAX trading DTC connection, Sierra Chart automatically displays the correct Position data based upon the order fills. The server will maintain long-term history of order fills. 6 months minimum. Make sure that Trade >> Trade Simulation Mode is disabled to trade through the new connection. The trading is all Simulated on the LMAX demo server. OCO orders and bracket orders are all managed on the server side by our server as long as Global Settings >> General Trade Settings >> Use Server-Side OCO and Bracket Orders is enabled. At this point we think we have provided sufficient instructions to use this service, for experienced users. Let us know if you have any other questions. 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: 2016-03-09 04:51:39

[2016-03-09 07:48:20] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We see a problem with the modification of the Attached Orders when using server-side bracket orders. We will correct that. 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

[2016-03-09 11:07:54] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is now solved: We see a problem with the modification of the Attached Orders when using server-side bracket orders. We will correct that. After resolving this issue there is now another issue with market data request routing that will take us until the later in the day to resolve. For the time being when using LMAX Trading-DTC there will be no market data. We apologize for this. The market data request routing was not set up correctly to begin with and after a required change, this cut off the data feed . We have to set up the routing as it was meant to be. 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: 2016-03-09 11:11:32

[2016-03-09 11:26:02] #8 [Go To First Post]
Mack - Posts: 83
About the old connection model: I used to trade with LMAX on the old FIX connection, and I often ran into a problem that LMAX would reject my targets. I would enter a trade with a stop & target, but the target would be rejected due to overexposure. I think this is a LMAX quirk, because most FX brokers don't have this issue. It appears that LMAX sees my buy-stop-target bracket, not as one order but as two unique orders. So LMAX see this: 1: - buy limit (60x leverage) - stop (0x leverage) 2: - target sell limit (60 x leverage) And the total exposure gets up to 120x, so LMAX rejects my target. I always thought, that if I could program Sierra Chart so that my target order would not be sent to the market, but instead was kept locally, we could workaround this issue. Will this LMAX quirk continue with the new connection model? Date Time Of Last Edit: 2016-03-09 11:34:48

[2016-03-09 12:13:17] #9 [Go To First Post]
AndyL - Posts: 119
Mack: personally i would prefer to deposit more funds rather than having stops/targets held locally.. Date Time Of Last Edit: 2016-03-09 12:13:35

[2016-03-09 13:13:49] #10 [Go To First Post]
Mack - Posts: 83
The current implementation, where the target is a different order, and not part of the bracket, effectively reduces your leverage from 100x to 50x. I think LMAX does not allow targets to be part of the order, and that is the end of it really. However, I am curious if this could be changed with the new connection model. Mack: personally i would prefer to deposit more funds rather than having stops/targets held locally.. For the sake of the argument... Are you saying people should not use more than 50x leverage? And if they do, forget about targets? That seems like a bad idea to me. But perhaps, we can never change that. Date Time Of Last Edit: 2016-03-09 13:18:22

[2016-03-09 13:21:00] #11 [Go To First Post]
AndyL - Posts: 119
No i am saying that if i had to choose, i would go with 50x rather than with clientside brackets, because this might result in worse fills - potentially a lot worse in fast market conditions. Of course, ideally there would be exchange-held contingent orders that dont use margin, like in the GUI, but this is not possible in fix as far as i know. I also think 50x is plenty. Date Time Of Last Edit: 2016-03-09 13:21:39

[2016-03-09 16:21:41] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Will this LMAX quirk continue with the new connection model? We could but that would require the server to hold the Target order which may not be what most people want. In any case there has been a solution that has been available for couple of years now to solve this problem. You need to enable this option: https://www.sierrachart.com/index.php?page=doc/doc_GlobalTradeSettings.html#HoldLimitAttachedOrders 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

[2016-03-09 16:24:50] #13 [Go To First Post]
tradernikki - Posts: 41
I had an open position on EURUSD and put a stop order, which got triggered even though the market never got there.

[2016-03-09 16:25:54] #14 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
What is the Service Order ID of this order and we will check 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

[2016-03-09 16:27:27] #15 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We see this order which appears to be yours: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID Fill 2016-03-09 15:17:54.676 EURUSD LMAX order update (Trade) 285 AAAESQAAAAAEe/qC Stop 10 Buy 1.09811 Filled 1.09833 10 366720516 Open Fdu2BAAAAAALhA5z You can see that the order was filled by LMAX at a price of 1.09833 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

[2016-03-09 21:00:08] #16 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The market data problem is now solved. Update Sierra Chart to version 1379 following the instructions here: https://www.sierrachart.com/index.php?page=doc/download.php#FastUpdate There still is a problem where the Attached Orders are not being modified to the original offsets to the parent order on a parent order fill. This is somewhat of a minor issue but we will have this solved today. It is only an issue when using server side bracket orders. All orders are routed to the LMAX demo server. Market data is being provided by their live server. We assume the demo trading server is using the same pricing as the live server but we do not know for sure. So perhaps there could be some slight discrepancies that we are not aware of. Once we switch over to live trading server though this will not be a problem. 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: 2016-03-09 21:00:45

[2016-03-09 21:28:02] #17 [Go To First Post]
AndyL - Posts: 119
Does the new Lmax connection support native stop-limit orders?

[2016-03-09 21:30:41] #18 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes it does. You have access to it now. You can test the Stop-Limit orders right now. All of the trading is simulated. Do whatever you want and put as many orders in as you want. 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: 2016-03-09 21:31:08

[2016-03-09 21:45:56] #19 [Go To First Post]
AndyL - Posts: 119
Hello, 2 questions: When i open a position, it is shown in the trade-DOM (Pos Qty@Price). But nothing is displayed in the Positions-tab of the Orders and Position window. Is this expected? The Orders-tab appears to populate fine. Edit: disregard 2nd question, its working fine Date Time Of Last Edit: 2016-03-09 21:49:04

[2016-03-09 22:27:40] #20 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes this is correct: But nothing is displayed in the Positions-tab of the Orders and Position window. Is this expected? The reason is LMAX does not provide any Trade Position data. Only fills. So the Position has to be created from the fills and is only displayed in the chart itself. The server will maintain a long-term history of fills, so no fills are missed by users. 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: 2016-03-09 22:27:57

[2016-03-09 22:50:48] #21 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We discovered a serious issue where canceled server-side child orders get reactivated when the original parent order they were attached to fills. We are correcting this problem. 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: 2016-03-09 22:51:19

[2016-03-10 00:40:20] #22 [Go To First Post]
AndyL - Posts: 119
I accidentally entered a limit-order with price 0.00. As far as i know lmax would reject such an order, because its out of the price band. It didnt show up as rejected in Sierra tho, but after pressing "Flatten", it now shows as status "Pending cancel". Maybe it is a lmax demo-environment problem. Another question: if i would enter orders from the Lmax web-GUI, would these show up in Sierra?

[2016-03-10 01:08:21] #23 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
I accidentally entered a limit-order with price 0.00. As far as i know lmax would reject such an order, because its out of the price band. It didnt show up as rejected in Sierra tho, but after pressing "Flatten", it now shows as status "Pending cancel". Maybe it is a lmax demo-environment problem. OK we will look into this and test for this condition and make sure it is resolved. Another question: if i would enter orders from the Lmax web-GUI, would these show up in Sierra? Yes. We can give you the username and password for that GUI for your for your Sierra Chart LMAX demo account. Please contact us here for it: https://www.sierrachart.com/usercp.php?page=SupportTickets 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

[2016-03-10 03:55:13] #24 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is fixed and the change will be released to the server in about an hour: We discovered a serious issue where canceled server-side child orders get reactivated when the original parent order they were attached to fills. We are correcting this problem. 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

[2016-03-10 05:10:10] #25 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
There still is a problem where the Attached Orders are not being modified to the original offsets to the parent order on a parent order fill. This is somewhat of a minor issue but we will have this solved today. It is only an issue when using server side bracket orders. This is now fixed and works really well. To our knowledge there is no trading service we have worked with, which offers server-side bracket orders that are as well implemented as what we now have with LMAX. 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

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