Support Board
Date/Time: Fri, 31 Jan 2025 15:55:54 +0000
Micro Emini Dow Simulation
View Count: 1695
| [2019-05-06 01:04:45] |
| Luke - Posts: 142 |
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I traded the new micro dow contract in simulation mode today (CQG). Market buy or sell simulation orders were not filled at the best bid/ask price, but at the last traded price, which most of the time was far away from the current best bid/ask, as volume was very very thin. Buy limit orders below the current bid/ask were not filled when the best ask fell to the limit price and sell limit orders above the current bid/ask were not filled when the best bid rose to the limit price. Any explanation for this behaviour? Edit: I just realized that other contracts generally behave the same way in simulation mode, I didnt notice it, as they have more volume and the last traded price is between the best bid/ask (level 1 spread) most of the time. Is there any way to change this unrealistic fill behaviour in simulation mode? Date Time Of Last Edit: 2019-05-06 12:55:10
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| [2019-05-09 05:21:17] |
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Refer to this section about how limit orders are filled: Trade Simulation: Limit Orders Buy limit orders below the current bid/ask were not filled when the best ask fell to the limit price and sell limit orders above the current bid/ask were not filled when the best bid rose to the limit price. Any explanation for this behaviour?
We would expect the limit orders to fill under the condition you are describing so why there would be a problem with that we don't know. We cannot reproduce that but why orders do not fill is explained here:Trade Simulation: Why Fill and Order Prices Can Be Wrong or Unexpected / Orders Do Not Fill When Expected 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: 2019-05-09 05:22:14
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| [2019-05-09 09:55:09] |
| Luke - Posts: 142 |
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It is easy to reproduce. Take a look at the MYM in simulation mode outside of regular trading hours. The bid/ask spread will follow the YM (although slightly larger, maybe 4 ticks MYM spread vs 2 tick spread for the YM). But since there is little volume, many times the last traded price will be far above or far below the current spread. If the last trade is above the current bid/ask, simply place a limit buy order above the current spread but below the last traded price (or vice versa if the last traded price is below the current bid/ask, place a limit sell order below the current spread but above the last traded price). The limit order will not get filled, even though it should get filled immediately.
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| [2019-05-10 02:49:59] |
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The reason for the problem is because of this: When the best Bid and Ask prices are both beyond the last trade price, and the conditions for filling the order have been met as explained above, the last trade price will be used to fill the order. This is so that the order fill matches with the last trade price which is what users normally expect. Otherwise, it generates questions/complaints to us about why the price did not fill as expected even though the fill was technically correct based on the bid/ask.
So we will have to take this out and really this was put in there primarily because of gain capital had problems with bid and ask prices, at least in the past, and sometimes other data feeds as well. As we start migrating away from external data feeds and offering our own data feed to the user base, there really is no need for 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-05-10 02:50:21
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| [2019-05-10 08:14:08] |
| Luke - Posts: 142 |
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I was thinking about switching to your TT order routing in combination with the SC datafeed. Only thing that bothers me a bit is that I would need to subscribe to the SC feed for 2 PCs, as I always have a backup connection for the same account on a backup notebook in case of power outage or internet outage (currently one PC with SC/CQG fix and backup notebook with second set of credentials connected to same account with SC/CQG webapi). Do you have any idea when the TT web version will be added? |
| [2019-05-10 17:08:20] |
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If you want to keep two connections up and running at the same time. Depending on how many symbols you need the 2nd connection could be only 20 USD more: https://www.sierrachart.com/index.php?page=doc/SierraChartRealTimeFuturesStockDataFeed.php#Pricing We cannot comment yet on when the "TT web version" will be added. Sierra Chart Support Date Time Of Last Edit: 2019-05-10 18:48:21
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