Support Board
Date/Time: Wed, 27 Nov 2024 06:28:07 +0000
Wrong Price Values on DTC Protocol after migration to Teton Order Routing
View Count: 361
| [2023-09-14 09:41:57] |
| User230940 - Posts: 121 |
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Hello, I am a AMP User. Yesterday i switched my OrderRouting from CQG to Teton. I developed my own tool to extract my Order Data via DTC Protocol. Which works great since several month. Since the switch the Order Price Values are wrong. The Price for ES500 comes as: "Price":453075 "HighPriceDuringPosition":453125.01012813323, See the ES example here: {"Type":304,"RequestID":1694683368,"TotalNumberMessages":10,"MessageNumber":10,"BuySell":2,"Price":453075,"DateTime":1694683243,"Quantity":1,"OpenClose":2,"NoOrderFills":0,"HighPriceDuringPosition":453125.01012813323,"LowPriceDuringPosition":453100.01012757444,"PositionQuantity":0,"SubAccountIdentifier":0,"Symbol":"ESZ23_FUT_CME","Exchange":"","ServerOrderID":"9783","UniqueExecutionID":"9783.1","TradeAccount":"Sim1","InfoText":"final","Username":"","ExchangeOrderID":"","SenderSubID":""} For WTI Oel it is the same: "Price":8918 {"Type":304,"RequestID":1694683977,"TotalNumberMessages":10,"MessageNumber":2,"BuySell":1,"Price":8918,"DateTime":1694677781,"Quantity":1,"OpenClose":2,"NoOrderFills":0,"HighPriceDuringPosition":8918.000229850417,"LowPriceDuringPosition":8915.99980255961,"PositionQuantity":0,"SubAccountIdentifier":0,"Symbol":"CLV23_FUT_CME","Exchange":"","ServerOrderID":"9764","UniqueExecutionID":"9764.1","TradeAccount":"Sim1","InfoText":"Trade simulation fill. Bid: 89.17 Ask: 89.18 Last: 89.18","Username":"","ExchangeOrderID":"","SenderSubID":""} I believe you put in the "," instead of "." as delimiter. On JSON only "." are allowed as delimiter. Thanks for your feedback regards |
| [2023-09-16 04:27:22] |
| Sierra_Chart Engineering - Posts: 17190 |
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What you are seeing is the native price format from the exchange. You need to use the Display Price Multiplier found in the security definition message to adjust the prices.
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: 2023-09-16 04:27:35
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| [2023-09-17 14:58:52] |
| User230940 - Posts: 121 |
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HI, thanks, but i need a bit more info. I have to use the Price Multiplier in my Application for the correct value? Why is it different from CQG Order Routing or Evaluation Mode? Thanks regards |
| [2023-09-19 17:22:48] |
| Sierra_Chart Engineering - Posts: 17190 |
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You need to request the security definition data: Symbol Discovery and Security Definitions Messages: SECURITY_DEFINITION_RESPONSE [s_SecurityDefinitionResponse structure] Server >> Client And multiply the values by this particular field: DisplayPriceMultiplier Teton order routing uses the native price format from the exchange and does not change prices at the server level for safety reasons. 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: 2023-09-19 17:23:01
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| [2023-09-20 09:01:42] |
| User230940 - Posts: 121 |
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Hi, thanks for the details. I will check it out. Thanks Carsten |
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