Support Board
Date/Time: Wed, 27 Nov 2024 20:51:08 +0000
DTC Protocol - client side orders
View Count: 513
| [2023-07-06 12:32:36] |
| User5044343 - Posts: 68 |
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Sierra Chart has client side order types ( example: Order Types: Bid Ask Quantity Triggered Stop ). 1. How can I create these via DTC protocol ? ( I created regular orders using dtc but didn't see these order types in the header file - maybe they are available but not documented ). 2. If they can't be created using DTC - is a custom study the only way to go ( using code ) ? 3. If a custom study the only way to go - do you see any problems with a study connecting to a websocket server to listen to order that come from external means ? Current: Signal -> connect to dtc -> order sent to sierra Future: Signal -> Connect to a custom websocket server -> send order to websocket server, Custom study -> listen for order data via custom websocket-> onMessage read order and execute(send order to execute using ascil) |
| [2023-07-06 12:51:06] |
| Sierra_Chart Engineering - Posts: 17198 |
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1. You can certainly create your own order type constants to be used with the DTC protocol, but Sierra Chart it is not designed to use them. So it would not help to do that . 2. You can certainly create your own client-side order types, using ACSIL. Basically you would implement all of the logic and then submit a basic order type: market, limit or stop, when the right conditions are present. 3. The custom study would really need to create a separate thread that is continuously running interacting with the websocket server. And you would want to also use sc.UpdateAlways so the main custom study function can interact with that other thread. 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 |
| [2023-07-06 23:49:09] |
| User5044343 - Posts: 68 |
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1. To clarify on this point - Is there is no way to open "client" side orders via DTC socket at the moment on? 2. Reason for the client side order is so that I can move them around without getting CME upset that I'm cancelling too frequently - but I would prefer they sit in Sierra and wait vs me reacting to a trigger to THEN add an order to Sierra. Based on rate limits from CME, if I don't cancel more than 20k orders during RTH I should be ok. So maybe I will lean towards putting them on the exchange and not worry about the client side orders. https://www.cmegroup.com/globex/files/revisedmep.pdf "Globex firms submitting 20,000 or fewer daily messages during RTH in a particular product group." are excluded from the Globex Messaging Efficiency Program. Based on https://www.cmegroup.com/confluence/display/EPICSANDBOX/Messaging+Controls, 100 messages in a 3 sec window will be ok. I did have a bug once and experienced the Teton message limit threshold - but that was a bug on my side and it was sending mass orders many times a second. This thing will be much calmer. 3. Thanks. Date Time Of Last Edit: 2023-07-06 23:52:51
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| [2023-07-07 14:05:20] |
| Sierra_Chart Engineering - Posts: 17198 |
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1. No this is not supported. 2. Ok. Let us know if you have any other questions. 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 |
| [2023-07-10 23:37:38] |
| User5044343 - Posts: 68 |
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1. This would imply that orders sent via DTC protocol skip a few systems vs orders that are added via ascil or dom? Since the client ones are not available do the orders via DTC socket travel a shorter path ? In case I made the wrong assumption here - can you state which orders would execute faster ( ascil order vs socket order )? Date Time Of Last Edit: 2023-07-11 22:47:53
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| [2023-07-12 09:46:12] |
| Sierra_Chart Engineering - Posts: 17198 |
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1. We really are not understanding this. When an order is sent from Sierra Chart it goes to the connected trading server and that is all we can say. We have no idea what happens to it after that. When you use Teton routing, it then goes directly to the exchange.
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: 2023-07-12 09:46:32
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