Support Board
Date/Time: Wed, 04 Dec 2024 18:53:58 +0000
Post From: Reimplementation of Trades and Trade Statistics and Period Trade Stats Tabs/Calculations
| [2018-09-23 23:50:00] |
| |
|
In an upcoming release which will be out we expect this week, there has been a significant reimplementation/reworking of the Trades List and Trade Statistics calculation component which is used by the Trade Activity Log and also used by Charts/Trading DOMs that are in chart trading mode. We will be documenting the changes here. The concept of the "Unmatched Fill" is being removed. Overall, based upon the confusion which arises with these Trades and the related support request, and the fact that this can be the result of invalid Position Quantity data from an external service, makes supporting this not really sensible. Removal of this does not mean that the resulting order fill matches are going to now be correct. Not necessarily. There is no right or wrong with us removing this. We just know that overall it is cleaner for us to remove it and going to be less questions. And we can more easily shift the responsibility to users explaining through the documentation how the orders are matched, and if there is an issue that it is the result of missing order fills or an incorrect starting date-time for matching order fills. And also explain that external trading services have often limited order fill history. If there is missing order fills which is commonly the case and not controllable from our side unless you are using the CTS low cost connection model, LMAX or BitMex, order fill matches will still not be correct. We are also working on a new solution involving TT which will maintain long-term order fill history. The Open/Close field is no longer used when matching order fills. Order fills are just naturally matched according to Date-Time using a first in first out logic. This results in complete and consistent fill matching to create Trades. Last in first out order fill matching is being removed. In order for the code to be easy to understand and maintainable, and for support to be easier, we need to remove this. Under no conditions is this going to come back. First of all various incremental and running calculations which are performed at the core level of the Trades list now rather than add draw time have no straightforward implementation when using LIFO. We need to keep the design straightforward and simple. We will certainly support that mode, when it comes to Position Average Price calculations for the current open position. This will be done at some near-term point in time. Update: This has now been added in version 1824 through this new setting: Chart >> Chart Settings >> Advanced Settings 3 >> Open Position Average Price. There are several choices. Flat to Flat order fill grouping has been removed and instead there are new fields added to the Trades tab of the Trade Activity Log which provide the same information and you can now incrementally see how the flat to flat values are arrived at because you can see the individual order fill matches. The Flat to Flat mode will never be added back and the implementation of it was terribly confusing and had problems and there is no doubt, there were some inaccuracies with it. For example, the Maximum Open Position Profit and Loss and Runup and Drawdown fields were not accurate with that mode previously. Complete reimplementation of how highest high and lowest low during position are being set within the Trades list to minimize any issues or inaccuracies with those. This does not mean that those values are necessarily going to be correct always because there can be still external causes for inaccurate values. Update 2018-11-12: Part of this redevelopment is that Sierra Chart now uses a very reliable method to calculate the Open Position Average Price using several different calculation methods. For further information: http://www.sierrachart.com/index.php?page=doc/TradeStatusWindows.html#HowAveragePriceForPositionsIsCalculatedAndUsed A reverse iteration of the order fills is used. 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: 2018-11-12 20:14:08
|