Support Board
Date/Time: Fri, 07 Feb 2025 06:59:20 +0000
limit orders being filled incorrectly
View Count: 861
| [2020-05-15 02:24:22] |
| User701453 - Posts: 176 |
|
Limit entry orders are being filled above or below the limit entry price which is the previous close bar.The error doesn't happen all the time and happens on long and short trades. It happens in live sim and replay chart mode Code snippet below of how i fill an order entry price variable ShortOrderEntryPrice = sc.Close[sc.Index-1] + Limit_Offset.GetInt()* sc.TickSize;
NewOrder.OrderType = SCT_ORDERTYPE_LIMIT; NewOrder.Price1 = ShortOrderEntryPrice; EntryOrderPrice = NewOrder.Price1; Screen shot attached of trade activity log orderactionsource column. Also attached is screen shot of incorrect order entry fill on chart. Any suggestions on how to correct this? |
 SC_incorrect limit fill on chart.PNG / V - Attached On 2020-05-15 02:21:56 UTC - Size: 70.29 KB - 276 views SC_incorrect limit fill.PNG / V - Attached On 2020-05-15 02:22:04 UTC - Size: 5.61 KB - 242 views |
| [2020-05-17 12:32:42] |
| |
|
This is likely due to invalid bid ask data from the Data Feed you are using. We have no control over that. In this case you are using Transact for data. Refer to: Trade Simulation: How Orders are Filled If that is the problem we recommend this data feed: Denali Exchange Data Feed Also update to the current version of Sierra Chart: Software Download: Fast Update 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 |
| [2020-05-19 23:27:33] |
| User701453 - Posts: 176 |
|
Spoke with my broker and it is a TransAct issue and they are working on it. So until the issue is resolved, I have added in a function to check the bid ask spread. If its over a tick limit set by an input variable,the order is not created until the spread falls within the requirements. Which is usually within a few tick movements. Date Time Of Last Edit: 2020-05-19 23:32:09
|
| [2020-05-20 00:19:51] |
| |
|
The next release of Sierra Chart will also implement a patch for this as well.
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 |
| [2020-05-22 04:39:15] |
| User90125 - Posts: 715 |
|
Was this patch added to new release 2109? Just asking again, because I see the same issue on the Transact feed after I upgraded. Perhaps I should rollback until you confirm that the issue is fully patched and resolved? Date Time Of Last Edit: 2020-05-22 04:40:03
|
| [2020-05-22 06:11:41] |
| |
|
Are you using market depth data from Transact? Or is it just level 1 data? The patch only involved the level 1 data.
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: 2020-05-22 06:11:51
|
| [2020-05-22 08:57:32] |
| User701453 - Posts: 176 |
|
Im still seeing the same issue also. I`m using the best bid and ask data from Transact. |
| [2020-05-22 09:24:57] |
| User90125 - Posts: 715 |
|
Are you using market depth data from Transact?
Correct. I see 10 bid + 10 ask from TA. Which, of course, implies the best bid/ask (top of book) as well. In the LIVE data feed in v2109. Verified on the Quoteboard with the bid, ask and bid/ask spread fields, plus the ChartDom as well. |
| [2020-05-24 20:15:45] |
| User701453 - Posts: 176 |
|
Having to roll back the 2109 version to 2092. Most of my custom strats and studies are not working correctly. Bars and charts are not being colored, lines not being drawn. Trade alerts and signals dont work because the freaking studies don't work anymore. Studies and strats show in the "Studies to Graph", with no error warnings. The incorrect limit order fills are bad enough, but this is 1000% worse. Will stay on version 2092 until SC can figure out how to get the limit fill issues repaired and keep current custom studies working with future SC releases. |
| [2020-05-24 23:17:21] |
| |
|
In regards to the bid and ask price issue, refer to: Notice: Transact Data Feed Invalid Bid/Ask data In response to post #9 we think the problem you are having with custom studies is what is documented here: Notice: Study Exceptions in New Versions and Code Efficiency Otherwise, you definitely should not be having a problem if you are not using the old persistent variable structure. In any case rebuild your studies on the version you are having difficulty with and then whatever compatibility issues there are will be identified during the rebuild/recompile. 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: 2020-05-24 23:19:37
|
To post a message in this thread, you need to log in with your Sierra Chart account: