Support Board
Date/Time: Wed, 27 Nov 2024 05:46:05 +0000
Post From: Sierra Chart sim trading exiting positions at impossible prices
| [2023-09-24 14:32:24] |
| User431178 - Posts: 543 |
|
NOT SC Engineering, but... The last line specifies the problem, which is the Bid and Ask values in the SCID file.
Bid and Ask prices stayed high at Bid: 15368.25 Ask: 15371.25, even though the close of the bar was 32 points below the bid, and trade prices went lower by 17 more points in the next 4 milliseconds. Only when the milliseconds changed from 002 to 006 did the Bid and Ask change in the SCID file. this is because of artificial SCID Bid/Ask values
The values in the SCID file are not artifical, they are the last values sent by the exchange, your assumptions are wrong. When you have a large sweep order and/or a cascade of buy/sell stop orders triggered, as in your example, there is no bid/ask update pushed out until all those orders are filled. Ask and Bid are fine up to line 6. But for line 7, there really wasn't any bid at 15368.25. Theoretically, the Bid was 15368. And since the line 8 trade was no higher than the line 7 trade, the Ask on line 7 could be taken to be the price of the previous higher trade, on line 6. And so forth.
There isn't any 'theoretical' bid... (definitely don't want artifical values in the SCID file do we...) The best bid (and best ask) is not known until the the order sequence completes, nor would you be able to participate in the sequence unless your order was already in prior to it beginning. Anyway.... There is a specific option to help with exactly this situation during chart replay. Chart Settings: Always Simulate Bid and Ask Prices During Replay (Chart >> Chart Settings >> Trading menu) Maybe try using that? |