Support Board
Date/Time: Mon, 17 Mar 2025 11:37:02 +0000
Bid/Ask Quantity Triggered Condition on Market Replay
View Count: 487
| [2022-08-29 16:32:46] |
| User900285 - Posts: 98 |
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Hello, This post is related to an issue with the order type 'Bid/Ask Quantity Triggered Stop' and also with the existing study 'Trading: Bid/Ask Quantity Triggered Stop Order'. This order type/client side condition works exactly as intended during live markets. When the chart is replaying with historical market depth on a Standard Replay or Calculate Same as Real time, this order type is triggering orders incorrectly. If I look in the current quote window for the chart, the historical Bid x Ask Quantities are updating correctly. Now I just referenced this documentation: Trade Simulation: Method 1 - Recorded Actual Bid and Ask Prices While the chart is replaying when I select Edit > Edit/Download Data - Intraday chart I can see that the Open is 0 and the Number of trades is 1. My intraday storage time unit is set to 1 tick. Let me know if there would be any steps to take. |
| [2022-08-31 11:32:17] |
| Sierra_Chart Engineering - Posts: 18805 |
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the historical Bid x Ask Quantities are updating correctly. We always see 1 x 1. Is that what you see?
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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-08-31 11:32:25
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| [2022-08-31 13:39:09] |
| Sierra_Chart Engineering - Posts: 18805 |
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This will be resolved in the next release. The Bid quantity and Ask quantity were always at 1 during a replay in the data used to trigger this type of Stop order.
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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-09-01 15:15:24] |
| User900285 - Posts: 98 |
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Upon testing this in Version 2431 the issue is still present. I have not redownloaded any data. This is only occurring during a chart replay, a Standard Replay with historical market depth. In the current quote window for the replaying chart the Bid x Ask are updating, but considerably slower than the speed they are updating on the chart. If I look closely it seems those fields only get updated when there is a trade that goes through. That is not good because this order type relies on the accuracy of the bid/ask quantity updates. I can try a different replay method, but with the other replay methods (when replaying more than 1 chart) it uses the processing steps in seconds. I am not sure if that is going to be precise when testing this order type during a back test. Date Time Of Last Edit: 2022-09-01 15:16:15
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| [2022-09-01 15:22:06] |
| Sierra_Chart Engineering - Posts: 18805 |
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What is the problem you are having exactly? Yes this is true and we cannot do better than this: If I look closely it seems those fields only get updated when there is a trade that goes through.
These order types should really be considered unsupported during a replay. We will update the documentation in this regard. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-09-01 15:22:32
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| [2022-09-01 17:45:04] |
| User900285 - Posts: 98 |
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Thank you for the information. I have provided a description of the issue I am experiencing. The issue can be seen when observing how the bid/ask quantity triggered stop order type triggers during a chart replay. For example you are trading the symbol ESU22 and in the trade window you programmed a bracket order. For the attached stop, the order type is bid ask quantity triggered stop order and the quantity for trigger is set to a value of 20. The stop offset can be set 8 ticks away for this example. If the parent position is long, this stop order will be a sell stop. The bid quantity at the price of our attached stop will need to drop to 20 or below for the stop to be triggered. Before doing this test it would be best to set the replay speed slower to around 0.5 or slow enough that you can perceive the changing bid quantities. The chart also needs to be replaying the historical market depth. 1. Enter into a parent long position. 2. Drag the attached stop to a price closer to where the market is trading, but not so close that it would trigger immediately. What you can observe with this test is when the bid price is 1 tick above the stop price and the bid price momentarily drops to the stop price, the stop order is triggered. Even if the bid quantity at the stop price has not gone below the threshold it will trigger the stop. |
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