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Direct MessagesDate/Time: Mon, 16 Sep 2024 19:19:02 +0000
Post From: Market Replay vs. Live Simulation issue
| [2024-07-11 18:01:12] |
| User414533 - Posts: 106 |
|
No, this is not a manual order. It's automated. The algo has been extensively tested live and in market replay. I'm just trying to run it continually in Live Demo/Simulation for various reasons. I'd like to make sure I've got everything set up correctly in Sierra Chart to eliminate any potential data delays. There is no lag in market replay because the "market" is inside my own machine. VERY little lag in live trading as well (on another server). Maybe I could ask the question a different way. Is the Denali data feed for Simulation the exact same feed/quality for live trading? If it is, then I might be having a server issue... You state there is a "Lag". So is the order getting filled, just not as fast as you were expecting?
In that screenshot, showing price breaking above the blue line. If that "fairly quick" price surge had been received by Sierra Chart, a limit order in the opposite direction would have been eventually sent to be filled. The limit order was NEVER sent. So I am assuming it was never seen/received by SC. And as you can see by the screenshot, this wasn't just a wick on a candle, it was several seconds, and hundreds of orders transacting above that blue line. So the break was clear. And just to provide further confirmation that the first signal was missed, the eventual limit order filled was a long. The ONLY way that could ever happen with the logic of my algo, is for the first signal (the break above the blue line) to be missed. Sorry for getting deep into my algo stuff. But I'm certain this wasn't my code. Either I have overlooked a setting on SC, or there's a different data feed for live vs simulated trading, or my "big fancy" new server is overloaded and I have to rethink my architecture; ie. spend more money :(. |