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Date/Time: Fri, 14 Mar 2025 11:33:16 +0000



Post From: Sub-second order fills not shown when using GetOrderFillEntry

[2022-06-02 10:25:14]
ray42 - Posts: 21
Hi,

I'm trying to print out all the executed fills, but I'm not able to print out the orders that were executed within 1-sec.

  if (sc.SetDefaults){
    sc.GraphName = "PrintFills";
    sc.AllowMultipleEntriesInSameDirection = false;
    sc.SupportReversals = true;
    sc.AllowOppositeEntryWithOpposingPositionOrOrders = true;
    sc.CancelAllOrdersOnEntriesAndReversals = false;
    sc.AllowEntryWithWorkingOrders = false;
    sc.CancelAllWorkingOrdersOnExit = true;
    sc.AllowOnlyOneTradePerBar = false;
    sc.MaintainTradeStatisticsAndTradesData = true;
    sc.AutoLoop = true;
    sc.HideStudy = 1;

    return;
  }

  sc.SupportTradingScaleIn = 0;
  sc.SupportTradingScaleOut = 0;

  int& PriorOrderFillEntrySize = sc.GetPersistentInt(1);

  int CurrentOrderFillEntrySize = sc.GetOrderFillArraySize();
  
  if (CurrentOrderFillEntrySize != PriorOrderFillEntrySize){
    PriorOrderFillEntrySize = CurrentOrderFillEntrySize;
    if (CurrentOrderFillEntrySize > 0){
      s_SCOrderFillData OrderFillData;
      sc.GetOrderFillEntry(CurrentOrderFillEntrySize - 1, OrderFillData);
      SCString OrderFillMessage;
      s_SCPositionData SCPositionData;
      int got_position = sc.GetTradePosition(SCPositionData);
      
      SCString LogMessage;
      LogMessage.Format("[%s] %s [x %u] @ %f [Side: %d]",
                sc.DateTimeToString(OrderFillData.FillDateTime, FLAG_DT_COMPLETE_DATETIME_MS).GetChars(),
                OrderFillData.Symbol.GetChars(),
                static_cast<uint32_t>(OrderFillData.Quantity),
                OrderFillData.FillPrice,
                OrderFillData.BuySell
      );
      sc.AddMessageToLog(LogMessage, 0);
}
}

For example, when I export the fills to .txt I see orders like this:


Fills  2022-06-02 08:24:59.635377  2022-06-02 08:24:59.635250  [Sim]ESM22-CME  Trade simulation fill....
Fills  2022-06-02 08:24:59.635602  2022-06-02 08:24:59.635275  [Sim]ESM22-CME  Trade simulation fill....

But in the logs output, I only see the first filled order.

Am I missing a setting or show can I handle these type of filled orders?

Thank you!