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CTS & Sierra Chart Combo Questions

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[2017-10-14 12:04:43] #1 [Go To First Post]
User379884 - Posts: 45
Hi, A couple of questions on this combo. RECONSTRUCTED TAPE I know that a Reconstructed T&S is something that is being worked on for the SC Data Feed however, I have a couple of questions I don't get from the existing threads. For the context of this question I trade CL (CME Product). Question 1. I have the option of using the CTS data feed. If I select the CTS data feed, am I to expect that my time and sales will be populated with the combined records from the initiating trade (unless the order is filled over 2 or more prices of course)? Another post made by SC Engineering indicated CTS provide the necessary feed to do it but I'm not sure if that means that they do it natively through their feed now, or that there needs to be a front end to combine their data (which SC can't do at present I assume). SERVER SIDE OCO ORDERS I use a stop order for entry (parent) and the usual limit order for profit exit (Child) and stop order for stop loss exit (Child). These are the phrases which I'm not 100% sure on in the SC CTS instructions - "The parent order cannot be a Market order type or a Stop-Limit order type." (my take on this is that a stop order entry is a market order type, but I cannot 100% know this without confirmation). - "When you are using Attached Orders in Sierra Chart and the parent order is a Market order type or a Stop-Limit order type, the CTS server side bracket order will not be used. Instead there will be an independent parent order with a CTS server side OCO order for the two child orders." (my take on this is that there will be an independent CTS server side Stop Order Entry, and once executed a CTS server side OCO bracket order where the quantities are not able to be altered). - "This can create an unreliable situation when using server-side OCO orders with CTS when the parent order fills multiple times." (My take on this is say I have a 10 lot trade which fills partially 5 contracts and moves away yet my CTS OCO bracket order now has 10 each on the stop and target which can't be altered) Question 1. I live in South East Asia so was wondering what the best combination to use CTS and Sierra Chart with? The "Advanced and Lower Cost Connection Model" OR the standard model? I was hoping at least one of them would hold all my orders on the server (including the Parent Stop Order) near the exchange to remove latency issues...but I could not confirm this in the CTS instructions provided by SC as mentioned in the phrases above. Thank you. Date Time Of Last Edit: 2017-10-14 14:51:38

[2017-10-15 00:36:31] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
I know that a Reconstructed T&S is something that is being worked on for the SC Data Feed however, This has been available for months now. Refer to: Sierra Chart Exchange Data Feed Supports Reporting Original Summary Trades From CME Although combining trades within the Time and Sales window itself is not. That does require some more work but it is available within the charts. 1. Combining trades is supported with CME data through CTS. 2. We really recommend using the Sierra Chart low-cost connection model in your case to avoid any problems/limitations with using the CTS OCO and bracket order functionality. Refer to the instructions here: https://www.sierrachart.com/index.php?page=doc/CTS_T4.php#SetupInstructionsForAdvancedLowCostConnectionModel I was hoping at least one of them would hold all my orders on the server (including the Parent Stop Order) near the exchange to remove latency issues. Yes, this will be the case. 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: 2017-10-15 00:45:21

[2017-10-15 10:38:30] #3 [Go To First Post]
User379884 - Posts: 45
Hi, Thank you for your response. Although combining trades within the Time and Sales window itself is not. That does require some more work but it is available within the charts. 1. Combining trades is supported with CME data through CTS. When you say "combining trades" I am assuming you mean the trade summary rather than the current "combined trades" function in T&S which is combining to the second? Is there an estimate on when the summary trade data would be available in the T&S? Also thank you for providing a software so excellent and robust. Not one crash, or error during a trading session, in over a year. Cheers. Date Time Of Last Edit: 2017-10-15 11:04:40

[2017-10-16 19:56:26] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
When you say "combining trades" I am assuming you mean the trade summary rather than the current "combined trades" function in T&S which is combining to the second? Yes. Refer to: Chart Settings: Combine Trades into Original Summary Trade (Data Feed and Exchange Specific) (Chart >> Chart Settings >> Chart Data >> Chart Data menu) The problem with combining trades (reporting summary trade) in the Time and Sales window is it requires changes to a data structure which would require re-compilation of any study using Time and Sales data. We cannot say when this will be done. It is something we will keep in mind. 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: 2017-10-16 20:11:09

[2017-10-16 20:12:47] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The prior post has been updated. 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

[2017-10-17 05:28:52] #6 [Go To First Post]
User379884 - Posts: 45
Thanks for your response. The summary trade information in the time and sales window would be a very popular feature, and when I originally searched on the support board for it, it has been requested a number of times. But appreciate the moving parts you have to consider when considering such requests... Thanks.

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