Support Board
Date/Time: Mon, 13 Jan 2025 17:21:33 +0000
sc.FlattenAndCancelAllOrders during Replay mode
View Count: 860
| [2017-04-29 02:34:37] |
| User553714 - Posts: 184 |
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Hi, Can you use sc.FlattenAndCancelAllOrders() during replay mode, it's hard to believe that you can't? I have done a fair bit of testing on this and sc.FlattenAndCancelAllOrders() does not seem to function correctly during reply? It works fine during an AutoTradeSystem backtesting but seems to produces strange behaviour when used in replay mode. What seems to be happening is that in Replay mode sc.FlattenandcancelAllOrders executes in "real time" even though the GlobalSimulation variable is set to true instead of executing at the current Replay Index. This means that the lastExitTrade Index always returns as the current Replay index so as the chart advances LastExitTradeIndex = Index (current replay Index). See extract of log below which I think demonstrates what I am explaining, the current replay index/time is 2017-04-27 00:17 but Flatten executes at 2017-04-29 12:26:20.410 (system time)? Order 2017-04-27 00:17:31.012 [Sim]CL-201706-NYMEX Order 2017-04-27 00:17:31.013 [Sim]CL-201706-NYMEX Order 2017-04-27 00:17:31.014 [Sim]CL-201706-NYMEX Order 2017-04-29 12:26:20.410 [Sim]CL-201706-NYMEX Order 2017-04-29 12:26:20.411 [Sim]CL-201706-NYMEX Order 2017-04-29 12:26:20.412 [Sim]CL-201706-NYMEX Fill 2017-04-29 12:26:20.413 [Sim]CL-201706-NYMEX I hope I am not missing something simple but I can't seem to work this one out. Any help will be appreciated. Thanks. |
| [2017-05-01 23:19:22] |
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We cannot debug what you are doing. This is completely outside the scope of our support. We ran a test of the sc.FlattenAndCancelAllOrders() function. And it does work properly: ActivityType Symbol DateTime OrderActionSource InternalOrderID OrderStatus ServiceOrderID OrderType PositionQuantity Quantity BuySell Price Price2 FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID FillExecutionServiceID HighDuringPosition LowDuringPosition
Order [Sim]GCM17 2017-04-26 15:14:30.000 Replay 60.0X: GCM17 3 Min #1 | User order entry | Last: 1268.6 88 Order Sent Market 4 Buy Sim1 Open Order [Sim]GCM17 2017-04-26 15:14:30.001 Simulated order accepted 88 Open 88 Market 4 Buy Sim1 Open Order [Sim]GCM17 2017-04-26 15:14:30.002 Trade simulation fill. Bid: 1268.2 Ask: 1268.3 Last: 1268.2 88 Filled 88 Market 4 Buy 1268.3 4 Sim1 Open Fill [Sim]GCM17 2017-04-26 15:14:30.003 Trade simulation fill. Bid: 1268.2 Ask: 1268.3 Last: 1268.2 88 Filled 88 Market 4 4 Buy 1268.3 4 Sim1 Open 88.1 1268.3 1268.3 Order [Sim]GCM17 2017-04-26 15:14:37.000 Auto-trade: Replay 60.0X: GCM17 3 Min #1 | Trading Test 2 | Source: ACSIL Flatten & Cancel | Bar start date-time: 2017-04-26 15:12:00.000. Flatten&Cancel | Last: 1268.2. Current Position quantity: 4 89 Order Sent Market 4 4 Sell Sim1 Close Order [Sim]GCM17 2017-04-26 15:14:37.001 Simulated order accepted 89 Open 89 Market 4 4 Sell Sim1 Close Order [Sim]GCM17 2017-04-26 15:14:37.002 Trade simulation fill. Bid: 1268.2 Ask: 1268.3 Last: 1268.2 89 Filled 89 Market 4 4 Sell 1268.2 4 Sim1 Close Fill [Sim]GCM17 2017-04-26 15:14:37.003 Trade simulation fill. Bid: 1268.2 Ask: 1268.3 Last: 1268.2 89 Filled 89 Market 4 Sell 1268.2 4 Sim1 Close 89.2 1268.2 1268.2 The times do match up with the replay time in the chart. Refer to: 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: 2017-05-01 23:19:58
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| [2017-05-03 01:04:54] |
| User553714 - Posts: 184 |
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Hi, Thanks for checking on this; for the benefit of others, having spent days on this, what eventually fixed the issue was creating a new chartbook and re-apply my custom studies. It seems that the study settings saved in the old chartbook had somehow become corrupted? This was causing some very strange behaviour like user inputs returning with the wrong values and the Flatten&Cancel issue I described in my initial post. Regards.
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| [2017-05-03 03:41:59] |
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This makes no sense to us. We do not see how that would have been the cause.
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 |
| [2017-05-03 06:36:31] |
| User553714 - Posts: 184 |
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Hi, Your comment is concerning to me. Having done another two or so hours of testing since your reply I still can't produce the error in the new chartbook and there is no odd messages/results in extensive log files I write too which write on every Index if required. Is it possible that an ACSIL request to flattenAndCancel during Replay when no position exists is causing issues? FYI; see two log files that I have attached which shows an order flattened in the old chartbook and two orders (incl attached orders) flattened in the new chartbook. In the old chartbook I have placed a blank line where the Replay BarTime skips to the end of the LastChartBar instead of the current replay bar. I really don't want you wasting your time on this as I appreciate how busy you always are; from my end the strange behaviour seems to be resolved and I will keep monitoring the issue and reply back if anything else becomes more apparent like some silly error I might be making. Thanks |
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