Support Board
Date/Time: Sat, 01 Feb 2025 08:53:06 +0000
experiencing unreasonable slippage when Trade Simulator Mode On
View Count: 1595
| [2019-06-26 16:08:43] |
| Vicki S - Posts: 4 |
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My broker is AMP and I'm using CQG data. I have used NinjaTrader (both 7 and 8) for a long time, but am currently in a trial for some auto-trade software that only runs on Sierra Chart. I am routinely experiencing huge slippage (7-10 ticks), especially on exits of my trades. I can easily trace from the exit price the software indicates to the Trade Activity Log and see the slippage. I do NOT experience this when trading on Sim accounts in NinjaTrader, so while I'm aware a VPS would help with latency, there appears to be a much bigger problem. In one case it was actually a full 30 seconds after the stop level was hit before the exit price that I got was even trades. That is not normal latency.
Date Time Of Last Edit: 2019-06-26 18:41:16
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| [2019-06-27 04:27:39] |
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This really is not precise enough for us to understand what the issue is specifically. For complete details about how orders are filled in trade simulation mode, refer to: Trade Simulation: How Orders are Filled And also update to the current version of Sierra Chart: Software Download: Fast Update . In one case it was actually a full 30 seconds after the stop level was hit before the exit price that I got was even trades. If a stop order has been triggered, it is going to fill immediately using the current bid or ask price. So your explanation cannot really be accurate.
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: 2019-06-27 04:29:06
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| [2019-06-28 11:44:53] |
| Vicki S - Posts: 4 |
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You are essentially saying I am not telling the truth and did not provide enough info, yet you have not told me what to provide. I sent a message log right before I logged the support ticket. In my original ticket, I also cited that my software vendor has dug into the issue, citing the vendor and another user names, and found a similar issue, which he believes to be a sim bug. When, instead of answering me directly, you posted my ticket on this public log, I removed the name citations. Can you please refer to the log I sent and the original ticket with name citations? If you have any further questions, either tell me what to provide or deal with me directly v a public forum and I can provide the vendor's and user's names. As a new SC user and long-time NT user and lifetime license holder, I am extremely unhappy comparatively with the way you have handled my issue so far.... |
| [2019-06-30 02:05:12] |
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The Message Log is not helpful at all here. I also cited that my software vendor has dug into the issue, citing the vendor and another user names, and found a similar issue, which he believes to be a sim bug. We have no idea what this is all about. There could not be a bug here. This does not make any sense. I am extremely unhappy comparatively with the way you have handled my issue so far.... Ok that is fine. We are just following standard procedures and you have to realize you are talking directly to engineers here who know the software intimately. So when we communicate with you, we are communicating with high confidence.You also need to understand, that the issue you present really is not possible to even technically exist when Trade >> Trade Simulation Mode On is enabled. There is some other explanation for the problem. I can easily trace from the exit price the software indicates to the Trade Activity Log and see the slippage. Can you explain this more so we can understand your issue. Provide us the relevant line from the Trade Activity Log:Trade Activity Log: Providing Trade Activity Log Data Lines to Support We suspect that you might be perhaps working with CFD data and the bid and ask prices are not where you might expect them 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: 2019-06-30 02:25:01
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| [2019-06-30 13:19:37] |
| Vicki S - Posts: 4 |
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The software indicates it called for a market entry long at 7773.25, which the Trade Activity Log indicates was achieved. (No supporting attachment for entry due to the attachment limitation and the fact that there was no issue with the entry.) The software indicates it called for a stop loss to close the position at 7773.75. This stop loss was in place for the 15:20 candle which would have started at 15:15:01. Please see Jun21Exit.jpg attached. The trade activity log indicates an exit instead at 7771.25 at 15:24:58. I reached the limit for attachments, so at the bottom is a cut/paste of the Trade Activity Log for the trade in question. A 5-sec chart is also attached, with the candles from 15:15:05 until 15:25:20 (slightly after the actual exit) highlighted, and lines drawn at the expected exit price (7773.75) and actual exit price (7771.25). You can see that there were plenty of opportunities for the 7773.75 to have been executed, in fact almost from the moment the software moved the stop up to that level. I do not understand your comment about CFD data. I am connected through AMP CQG FIX. So the question is, why did I instead get a fill at fully 10 ticks below where the software had moved the stop? Trade Activity Log entry for trade in question: Symbol Trade Type Entry DateTime Exit DateTime Entry Price Exit Price Trade Quantity Profit/Loss (C) Cumulative Profit/Loss (C) Max Open Profit (C) Commission (C) High Price While Open Low Price While Open Max Open Quantity Max Closed Quantity FlatToFlat Profit/Loss (C) FlatToFlat Max Open Profit (C) FlatToFlat Max Open Loss (C) Max Open Loss (C) Entry Efficiency Exit Efficiency Total Efficiency Note Open Position Quantity Close Position Quantity [Sim]F.US.ENQU19 Long 2019-06-21 15:09:59.284 BP 2019-06-21 15:24:58.296 EP 7773.25 7771.25 1 -44.30 -328.60 105.00 4.30 7778.50 7771.25 1 1 -44.30 F 105.00 -40.00 -40.00 100.0% -3.0% -30.6% SimpleBracket.twconfig 1 0 Date Time Of Last Edit: 2019-06-30 13:24:16
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 Jun21Exit.jpg / V - Attached On 2019-06-30 13:10:19 UTC - Size: 96.18 KB - 443 views 5secChartJun21.JPG / V - Attached On 2019-06-30 13:10:57 UTC - Size: 110.53 KB - 395 views |
| [2019-07-02 03:07:41] |
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We need you to provide all of the lines for that particular Stop order following the instructions here: Trade Activity Log: Providing Trade Activity Log Data Lines to Support These are the lines from the Trade Activity tab. Not the Trades tab. 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: 2019-07-02 03:08:13
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| [2019-07-02 11:29:46] |
| Vicki S - Posts: 4 |
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I'm so sorry. I didn't notice the tab you wanted. I have attached an Excel file with the stop order and fill activity. The same info is also shown below: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID HighDuringPosition LowDuringPosition Note AccountBalance Order 2019-06-21 15:09:59.285 [Sim]F.US.ENQU19 Updating move to breakeven stop reference price on parent modification/fill to 7773.25 40 Stop Sell 7756.75 Pending Child-Client Sim1 Close 38 Order 2019-06-21 15:09:59.286 [Sim]F.US.ENQU19 Updating move to breakeven stop reference price on parent modification/fill to 7773.25 40 Stop Sell 7756.75 Pending Child-Client Sim1 Close 38 Order 2019-06-21 15:09:59.287 [Sim]F.US.ENQU19 Auto-sent child from parent fill 39 Limit 1 Sell 7782.75 Order Sent Sim1 Close 38 1 Order 2019-06-21 15:09:59.288 [Sim]F.US.ENQU19 Auto-sent child from parent fill 40 Stop 1 Sell 7756.75 Order Sent Sim1 Close 38 1 Order 2019-06-21 15:09:59.289 [Sim]F.US.ENQU19 Simulated order accepted 39 39 Limit 1 Sell 7782.75 Open Sim1 Close 38 1 Order 2019-06-21 15:09:59.290 [Sim]F.US.ENQU19 Simulated order accepted 40 40 Stop 1 Sell 7756.75 Open Sim1 Close 38 1 Order 2019-06-21 15:24:58.288 [Sim]F.US.ENQU19 Initiating: F.US.ENQU19 5 Min #3 | Canceling non-market orders during Flatten 39 39 Limit 1 Sell 7782.75 Open Sim1 Close 38 Order 2019-06-21 15:24:58.289 [Sim]F.US.ENQU19 F.US.ENQU19 5 Min #3 | Canceling non-market orders during Flatten 39 39 Limit 1 Sell 7782.75 Pending Cancel Sim1 Close 38 1 Order 2019-06-21 15:24:58.290 [Sim]F.US.ENQU19 Simulated order canceled 39 39 Limit 1 Sell 7782.75 Canceled Sim1 Close 38 1 Order 2019-06-21 15:24:58.291 [Sim]F.US.ENQU19 F.US.ENQU19 5 Min #3 | Canceling non-market orders during Flatten 40 40 Stop 1 Sell 7756.75 Pending Cancel Sim1 Close 38 1 Order 2019-06-21 15:24:58.292 [Sim]F.US.ENQU19 Simulated order canceled 40 40 Stop 1 Sell 7756.75 Canceled Sim1 Close 38 1 Order 2019-06-21 15:24:58.293 [Sim]F.US.ENQU19 Auto-trade: F.US.ENQU19 5 Min #3 | QT Trade Assist (Amethyst) | Source: ACSIL Flatten & Cancel | Bar start date-time: 2019-06-21 15:20:00.000. Flatten&Cancel | Last: 7771.5. Current Position quantity: 1 41 Market 1 Sell Order Sent Sim1 Close 1 SimpleBracket.twconfig Order 2019-06-21 15:24:58.294 [Sim]F.US.ENQU19 Simulated order accepted 41 41 Market 1 Sell Open Sim1 Close 1 SimpleBracket.twconfig Order 2019-06-21 15:24:58.295 [Sim]F.US.ENQU19 Trade simulation fill. Bid: 7771.25 Ask: 7771.75 Last: 7771.50 41 41 Market 1 Sell Filled 7771.25 1 Sim1 Close 1 SimpleBracket.twconfig Fill 2019-06-21 15:24:58.296 [Sim]F.US.ENQU19 Trade simulation fill. Bid: 7771.25 Ask: 7771.75 Last: 7771.50 41 41 Market 1 Sell Filled 7771.25 1 Sim1 Close 41.1 7778.50 7771.50 SimpleBracket.twconfig |
Private File |
| [2019-07-02 11:43:09] |
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The stop order had a price of 7756.75 and never filled.: Order 2019-06-21 15:09:59.290 [Sim]F.US.ENQU19 Simulated order accepted 40 40 Stop 1 Sell 7756.75 Open Sim1 Close 38 1 It was this market order which closed the position: Fill 2019-06-21 15:24:58.296 [Sim]F.US.ENQU19 Trade simulation fill. Bid: 7771.25 Ask: 7771.75 Last: 7771.50 41 41 Market 1 Sell Filled 7771.25 1 Sim1 Close 41.1 7778.50 7771.50 SimpleBracket.twconfig So as you can see, there was no such thing as any slippage here. As we said that is not even technically possible. If you have any questions about the trading activity contact the automated trading system provider. Also as a matter of policy we charge for these analysis, and we did not do that here. Next time will be charging 50 USD per hour. 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: 2019-07-02 11:44:51
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