Support Board
Date/Time: Wed, 27 Nov 2024 15:48:17 +0000
Simulation accuracy
View Count: 1912
| [2014-07-23 14:47:55] |
| todds - Posts: 64 |
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I regularly get 1-5 ticks of positive slippage when trading in sim, which is the opposite of what would happen with live trading. Do you have any plans to improve the accuracy of simulator trading? |
| [2014-07-23 16:52:31] |
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We have insufficient information to answer the question. What is the order type? What is the Intraday Data Storage Time Unit set to? What is the symbol of the chart? What Data or Trading service are you using? Are you running a Replay or Bar Based back test? Refer to the documentation here about how orders are filled: https://www.sierrachart.com/index.php?page=doc/doc_TradeSimulation.php#HowOrdersAreFilled At this time, trade simulation is as accurate as it can 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: 2014-07-23 16:54:45
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| [2014-07-23 16:55:03] |
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The prior post has been revised.
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 |
| [2014-07-23 17:10:23] |
| todds - Posts: 64 |
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The positive (in my favor) slippage usually happens with stop orders. For example, today I had a sell stop order in crude oil at 102.65. Price quickly broke down through 102.65. The sim sell stop order filled at 102.70, 5 ticks in my favor. It is unlikely that I would get 5 ticks of positive slippage if it were a live trade. It would be more likely that the order would be filled at 102.65 or lower, resulting in negative slippage. This happens quite often in sim, making it difficult to get a good read on performance over an aggregate of trades. I have had experience with other platforms that more accurately simulate what would happen with real money (for example, gaps or violent moves in price result in negative slippage) Otherwise I have been very happy with SC. |
| [2014-07-23 17:19:42] |
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If this is with real-time data and not a replay, then the problem is inaccurate Bid and Ask data from OEC. This is easy to confirm. This is explained in the documentation here: https://www.sierrachart.com/index.php?page=doc/doc_TradeSimulation.php#OrdersDoNotFill At this time, there is no doubt this is the source of the problem assuming this is with real-time 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: 2014-07-23 17:20:52
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| [2014-07-23 17:22:26] |
| todds - Posts: 64 |
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One other note, when I get slippage in sim it is almost always in my favor, rarely against. I wish this were the case with live trading! |
| [2014-07-23 17:25:52] |
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Does this occur with real-time data and not a replay?
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 |
| [2014-07-23 17:31:20] |
| todds - Posts: 64 |
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It is in real time. I am using the SC data feed. The tick size and price display format seem to be set up correctly.
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| [2014-07-23 18:00:26] |
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Yes, we do see you are using the Sierra Chart data feed. Do you see a [M] after the symbol on the chart? The bid and ask data definitely should 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 |
| [2014-07-23 18:07:37] |
| todds - Posts: 64 |
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yes [M] is present.
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| [2014-07-23 18:32:41] |
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At the time you notice an incorrect fill, check the bid and ask prices in Window >> Current Quote Window. There is no reason why those would be incorrect. Also, you will see the Bid and Ask prices in the Order Action Source field with the fill in the Trade >> Trade Activity Log. Copy and paste the fill line here so we can see it. 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: 2014-07-23 18:33:38
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| [2014-07-23 19:40:17] |
| todds - Posts: 64 |
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Two trades had slippage in my favor today. Trade #1 was +5 ticks: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID Order 2014-07-23 07:32:40.000 [Sim]GCLU4 Trade simulation fill. Bid: 102.70 Ask: 102.71 5330 5330 Stop 1 Sell 102.65 Filled 102.70 1 Sim Close 5328 Trade #2 was +1 tick: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID Order 2014-07-23 07:40:18.000 [Sim]GCLU4 Trade simulation fill. Bid: 102.57 Ask: 102.58 5336 5336 Stop 1 Sell 102.56 Filled 102.57 1 Sim Close 5334 Slippages usually occur during times of higher activity. While the logs show that the bid and ask prices were correct at the time of the trade, it is my experience that slippage usually goes against the trader during times of high activity when trading live, rarely in the traders favor. |
| [2014-07-23 23:24:49] |
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We have been thinking about why this might occur. What do you have Global Settings >>Data/Trade Service Settings >> Number of Time and Sales Records set to? 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 |
| [2014-07-24 01:21:26] |
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We have done a complete code review and we suspect the problem has to do with the number of time and sales records being too low being that you notice the problem when the market is very active.
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: 2014-07-24 01:53:41
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| [2014-07-24 13:07:36] |
| todds - Posts: 64 |
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It is set at 2000
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| [2014-07-24 13:09:13] |
| todds - Posts: 64 |
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Active includes times when the market jumps or gaps several ticks
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| [2014-07-24 16:14:46] |
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Increase the number of Time and Sales records to 8000 and let us know if you if you still see the problem after you do this.
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 |
| [2014-07-24 16:50:37] |
| todds - Posts: 64 |
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will do, thanks
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| [2014-07-28 14:24:32] |
| todds - Posts: 64 |
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I increased Time and Sales Record to 8000 but got positive slippage on this trade this morning: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID Order 2014-07-28 06:59:34.000 [Sim]GCLU4 Trade simulation fill. Bid: 101.29 Ask: 101.30 5381 5381 Stop 1 Buy 101.32 Filled 101.30 1 Sim Close 5379 |
| [2014-07-28 17:55:02] |
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At the time you notice this problem go to Window >> Current Quote Window. Let us know at that time what the Last trade price is and the bid and ask price. It will be best if you provide us a screenshot of that window by using Edit >>Screen Images >> Upload Chart with Overlays and paste the link here. 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 |
| [2014-07-28 18:24:26] |
| todds - Posts: 64 |
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I am not sure what you are asking me to do. How do I get the current quote window for a trade that happened in the past? Replay?
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| [2014-07-28 18:27:19] |
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You cannot. You have to wait for it to occur again.
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 |
| [2014-07-28 18:59:55] |
| todds - Posts: 64 |
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I don't see how this is going to be possible. Price action in oil moves too quickly to get a screen shot of the actual event. Besides, I do not think this is the answer. You can see from the trade above that the bid and ask matched the fill. |
| [2014-07-28 19:01:44] |
| todds - Posts: 64 |
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but my buy stop was 2 ticks above the fill. The fill is happening before the stop is getting hit.
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| [2014-07-28 20:29:15] |
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We are going to be adding to the Order Action Source the last trade price as well. This will help us figure out the problem. This will be out in the next release coming out in one or two more days. 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 |
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