Support Board
Date/Time: Sat, 23 Nov 2024 17:23:43 +0000
Strange problem with IB/Sierra Chart
View Count: 3164
| [2013-07-29 13:19:00] |
| moonmist - Posts: 127 |
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Hi, This problem disappeared for several months already. Today, it re-appeared. http://www.sierrachart.com/supportboard/showthread.php?t=41102 In both cases, parents were a BUY limit order. The OCO children orders were a SELL stop and a SELL limit ( target ). One second after execution of the BUY limit order for CLU3, the stop was moved to breakeven minus two, and I was down two ticks again. Almost an exact duplicate !!! Switched to paper-trading account of Interactive Brokers, and did some testing. Everything was fine. PS: Just executed another LIVE BUY limit order with the same attached OCO orders ( same configuration ). No problem this time. Date Time Of Last Edit: 2013-07-29 13:52:27
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| [2013-07-29 17:22:54] |
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Provide the Trade Activity Log for the order in question, by following these steps: http://www.sierrachart.com/index.php?l=doc/doc_TradeActivityLog.php#TradeActivityLogToSupport 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 |
| [2013-07-30 15:58:00] |
| moonmist - Posts: 127 |
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Hi, I cannot make yesterday's problematic trade appear on the "Trade Activity" section. But it does appear, when I select "Trade Activity Log" and then the "Trade" tab: Symbol Trade Type Entry DateTime Exit DateTime Avg Entry Price Avg Exit Price Entry Quantity Exit Quantity Max Open Quantity Profit/Loss Cum P/L Runup Drawdown Max Open Profit Max Open Loss Entry Efficiency Exit Efficiency Total Efficiency Commission CL-201309-NYMEX Long 2013-07-29 08:48:26 2013-07-29 08:48:27 105.11 105.09 1 1 1 -20.00 20.00 10.00 -20.00 10.00 -20.00 33.33% 0.00% -66.67% 0.00 Today, this problem occurred again. This trade does not appear on the "Trade Activity Log" at all, but it does appear on the "Orders and Positions" table of Sierra Chart: Entry Time Last Activity Time Symbol Status Internal Order ID Order Type Buy/Sell Open/Close Order Quantity Price Price 2 Filled Quantity Average Fill Price Parent Internal Order ID Time in Force Good Till DateTime Service Order ID Trade Account Link ID OCO ID LastOrderActionSource 2013-07-30 11:21:34 2013-07-30 11:22:41 CL-201309-NYMEX Filled 8382 Stop Buy Close 1 102.94 0.00 1 103.02 8380 Good till Canceled Good till Canceled 1008 UXXXXX 0 8381 IB order status update 2013-07-30 11:21:34 2013-07-30 11:22:40 CL-201309-NYMEX Filled 8380 Limit Sell Open 1 102.99 0.00 1 102.99 0 Day Day 1006 UXXXXX 8380 0 IB order status update The stop loss order was supposed to move to 102.94 on ten-tick profit. Instead, it was raised to 102.94, when price was at 103.02, resulting in a three-tick loss. Both trades did appear on the "Audit Trail" file of Interactive Brokers. In both cases, the stop loss orders were moved, one or two seconds after execution of the parent orders. Is it possible to show yesterday's trades on the "Orders and Positions" table ? Date Time Of Last Edit: 2013-07-30 16:25:35
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| [2013-07-30 17:45:00] |
| moonmist - Posts: 127 |
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Hi, Finally, I am able to find yesterday's bad trade at the "Trade Activity" section. The following is relevant to the problematic stop loss order: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID Order 2013-07-29 08:48:26.002 CL-201309-NYMEX Auto-sent child from parent fill 8283 Stop 1 Sell 104.96 Order Sent UXXXXX Close 8281 1 Order 2013-07-29 08:48:26.003 CL-201309-NYMEX IB order status update 8281 975 Limit 1 Buy 105.11 Filled 105.11 1 UXXXX Open 1 Order 2013-07-29 08:48:26.005 CL-201309-NYMEX IB order status update 8283 977 Stop 1 Sell 104.96 Open UXXXX Close 8281 1 Order 2013-07-29 08:48:26.006 CL-201309-NYMEX Auto trail order modification (Move to breakeven). Trigger price: 105.209998 8283 977 Stop 1 Sell 104.96 Pending Modify UXXXX Close 8281 1 Order 2013-07-29 08:48:26.007 CL-201309-NYMEX IB order status update 8283 977 Stop 1 Sell 105.16 Open UXXXX Close 8281 1 Fill 2013-07-29 08:48:27.002 CL-201309-NYMEX IB order fill (execution) 8283 977 Stop 1 Sell 105.16 Open 105.09 1 UXXXXX Close 0000e9a5.51f5bb57.01.01 Order 2013-07-29 08:48:27.003 CL-201309-NYMEX IB order status update 8283 977 Stop 1 Sell 105.16 Filled 105.09 1 UXXXXX Close 8281 |
| [2013-07-30 17:58:33] |
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You most definitely can see these orders on the Trade Activity tab of the Trade Activity log. Make sure you have selected All Activity for the trade activity type, the correct Symbol and All Accounts(if you have that setting) at the top of the trade activity log.
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 |
| [2013-07-30 18:04:20] |
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The log indicates this: Trigger price: 105.209998 So this is what triggered the move to breakeven. 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 |
| [2013-07-30 18:10:12] |
| moonmist - Posts: 127 |
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I set a 15-tick stop, moved to breakeven plus 5 ticks ( in this case, 105.16 ) on ten-tick profit ( in this case 105.21 ) Date Time Of Last Edit: 2013-07-30 18:13:50
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| [2013-07-30 18:12:59] |
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The price of 105.21 was received from the data feed.
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 |
| [2013-07-30 18:14:47] |
| moonmist - Posts: 127 |
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But price never moved to 105.21 |
| [2013-07-30 18:21:39] |
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This price must have been received from the data feed. We cannot see another possibility. Open a Time and Sales window by selecting File >> Open Time and Sales Window. When you notice is problem, look at the prices received at the time. 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 |
| [2013-07-30 18:41:36] |
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Another thing to check, is whether the price that triggered the move to break even, occurred within the second before the stop was submitted.
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 |
| [2013-07-30 22:21:17] |
| moonmist - Posts: 127 |
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Hi, I examined the Trade Activity log for today's problematic stop loss order around 2013-07-30 11:22:41. Again there is a line: CL-201309-NYMEX Auto trail order modification (Move to breakeven). Trigger price: XYZ where the price XYZ should not have reached according to the chart. That is two bad ticks from Interactive Brokers within a short period of time. Date Time Of Last Edit: 2013-07-30 22:25:14
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| [2013-07-30 22:26:57] |
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What we need to know is whether you see these apparent invalid prices in the Time and Sales window within 2 seconds of when the move to breakeven action occurs.
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 |
| [2013-07-30 22:44:10] |
| moonmist - Posts: 127 |
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Just opened a Time and Sales window, but it started at 18:42:20 Eastern Time. Not very useful. |
| [2013-07-31 17:34:59] |
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Let us know when you see this again and if you see an unusual price in the Time and Sales window. What we are concerned about, is the origin of the price which is causing the problem. If you do not see it actually charted, then we are not sure why it would affect orders or be listed in the Time and Sales window. So at this point, the whole problem is puzzling.
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 |
| [2013-07-31 18:22:27] |
| moonmist - Posts: 127 |
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Hi, In both cases, the chart looks fine. ( Someone examined the one-tick chart of oil futures in December, and could not find the source of problem either. ) For the second problematic trade, I was watching the TradingDOM carefully, ( because of the first bad one ). What I saw was: Price traded through the entry price ( I used a limit order for entry ), and the stop loss order on the TradingDOM immediately moved, and got filled. It was unlikely that CLU3 could make an over ten-tick round trip within one second. In addition, Sierra Chart can move the stop really fast. Oil futures market was relatively calm, when the two problematic trades were executed. There were occasions that price jumped wildly up and down, and Sierra Chart still managed to move the stop fast enough to lock in some profit. ( This was the main reason I decided against moving the stop loss manually. ) I have disabled the auto-trailing stop feature for the LIVE account. I did months ( maybe over a year ) of testing using the paper-trading account of Interactive Brokers. This problem has never occurred. I do not have another data feed that can work with Sierra Chart. Otherwise, I may be able to find out whether this problem is specific to IB or common to all data feeds. I plan to do some automated trading within the next few weeks. If this problem is specific to IB, I really need to find another more reliable data feed. Date Time Of Last Edit: 2013-07-31 21:04:57
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