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LMAX Trading Issue

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[2017-07-07 07:51:12] #1 [Go To First Post]
Fabio - Posts: 117
Good morning, I got an issue between yesterday, the 6th and today, the 7th, with a position I took on USD/JPY (Long order). The position was supposed to be overnight, as I did actually. I got 2 targets in place, one at 113.61 and the other one at 113.65, with the entry at 113.23. Last night both targets was reached without any problem but, this morning, when I opened up my platform I saw that I was still into the position with the main order, which was at 113.23. The price, around 6:45am GMT, was trading about 113.70ish, so above my both targets. On my chart I had only the main order, without any other brackets (I had both stop and targets placed at the time I opened the trade) So, what I did was "flatten" the position through the trade window menu when I suddenly noticed that an order has been placed on my account (because on my Lmax account I was Flat), so I was Flat on Sierra and short on Lmax. So, view that this awkward situation, I close the trade through my Lmax portal and suddenly an order appeared on Sierra (so at this time I was flat on Lmax and Long on sierra). Then I tried to flatten again on Sierra and I found my self short for the second time on Lmax (and Flat on Sierra). I closed the short position through Lmax and again long on Sierra. This time I left the order on it due to the fact that I was flat on my account thought that this issue was a Sierra problem, which it was. So what I did was refresh trade data from service and the "supposed" order on Sierra disappeared. So guys, what the hell is happened? Luckily I had my Lmax portal opened and then this kind of "joke" costs me just a couple of pound plus commission. But what if I did not have the account opened and I trusted just Sierra??? Another weird thing I have is this: In my trading activity log, under trades section, if I set the range date just for today, the 7th of July, I can see one trade on USD/JPY (short) with Avg entry at 113.681 at 2:46:52 GMT with an entry quantity of 213 and an Avg exit price at 113.698 with an exit quantity of 142 and P/L of -24.72GBP without exit date time. Can you just tell me what is this oorder and what is happenning? Thanks, Fabio.

[2017-07-07 13:45:43] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
I got 2 targets in place, one at 113.61 and the other one at 113.65, with the entry at 113.23. Last night both targets was reached without any problem but, this morning, when I opened up my platform I saw that I was still into the position with the main order, which was at 113.23. Do you see the order fills for these targets in the Trade Activity Log? Refer to: Trade Activity Log: Viewing Historical Trade Activity So, what I did was "flatten" the position through the trade window menu when I suddenly noticed that an order has been placed on my account (because on my Lmax account I was Flat), so I was Flat on Sierra and short on Lmax. So, view that this awkward situation, I close the trade through my Lmax portal and suddenly an order appeared on Sierra (so at this time I was flat on Lmax and Long on sierra). Then I tried to flatten again on Sierra and I found my self short for the second time on Lmax (and Flat on Sierra). I closed the short position through Lmax and again long on Sierra. The general reason for the issue is the fact that LMAX does not provide Trade Position data over FIX. And the Position Quantity is calculated from the order fills. So if there is a missing fill, the Position will be wrong. This is all explained in detail here: LMAX Trading Service: How Current Trade Positions Are Determined So what I did was refresh trade data from service and the "supposed" order on Sierra disappeared. So you selected Trade >> Refresh Trade Data From Service? That should not have changed any existing Position calculations. If it did, we need to know the exact time you did this and we need to get the Trade Activity Log from you. Follow the instructions here: Trade Activity Log: Providing Trade Activity Log File to Support So guys, what the hell is happened? Luckily I had my Lmax portal opened and then this kind of "joke" costs me just a couple of pound plus commission. But what if I did not have the account opened and I trusted just Sierra??? We do not know what happened specifically, unless we look at your Trade Activity Log which we have requested. This is no joke. This is the potential risk with fill calculated Positions and that is all disclosed. When using LMAX you cannot fully trust the Trade Position data you see in Sierra Chart without having a full understanding of how it is arrived at. In my trading activity log, under trades section, if I set the range date just for today, the 7th of July, I can see one trade on USD/JPY (short) with Avg entry at 113.681 at 2:46:52 GMT with an entry quantity of 213 and an Avg exit price at 113.698 with an exit quantity of 142 and P/L of -24.72GBP without exit date time. We will have a look once we see the Trade Activity Log from you. 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: 2017-07-07 13:46:02

[2017-07-07 13:53:32] #3 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
There was a connectivity issue yesterday to the LMAX server which may have potentially led to this problem. This is unclear at this time based on your description. This issue lasted a few minutes. After contemplating this issue, one thing we are going to do is have the Sierra Chart client perform a request for historical order fills, any time there is a restoration of the connectivity to the main LMAX FIX server from our server. We are working on the implementation of this now. 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: 2017-07-07 14:03:01

[2017-07-07 14:15:19] #4 [Go To First Post]
Fabio - Posts: 117
Ok, please let me know if you need further information about the issue. Thanks, Fabio.

[2017-07-07 14:27:16] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes do answer the question we asked in post #2 above and provide us the Trade Activity Log file as requested. 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

[2017-07-09 15:55:16] #6 [Go To First Post]
Fabio - Posts: 117
Yes, from the trade activity log under "fill" section I can see that both orders had been filled but for both orders the "Order Action Source" is different and there are no internal order ID, no order type, no price and no quantity (please see the attached 1) About your second answer instead, I could not have any missing fill due to the fact that I had no order placed into my Lmax account. The order I was seeing on the chart was still the rest of the position that was supposed to be closed at target(s) (thing that happened since I can see "filled" into the trade activity log at 2:46:52 (one target) and at 2:47:50 (the second one)). So why there was still a quantity of 36 @ 113.23 when both targets had been filled during the night? And why, when I pressed the flatten button a real order has been placed into the market?(I just pressed flatten, no reverse and also there was no order into my account). About your third question yes, I selected Trade >> Refresh Trade Data From Service and the order from onthe charts disappeared. Then the question is; what can I trust? Both order had been filled at target both on Lmax (since that I had no order in place) and on Sierra (since that from the trade activity I can see filled on both) so actually I had to be definetely flat both on sierra and Lmax, is that correct? So why I had still half order in on the chart?! I am posting to you 3 attached, the first has been mentioned above (attahced 1), the second one is concerned the trade that I don't have (luckily) in my Lmax account but just on Sierra and the 3rd one is the "All" trade activity log about USD/JPY trades. Let me know ok? Thanks, F.


Private File Private File Private File

[2017-07-10 04:20:44] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
For us to properly understand the issue, what we need is the TradeActivityLog.dat file. Here are the instructions again: Trade Activity Log: Providing Trade Activity Log File to Support 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

[2017-07-10 04:23:13] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
When you initiate a new Position, follow the instructions here to set a starting Date for that position: LMAX Trading Service: How Current Trade Positions Are Determined You should not have to change the date again. And be sure to see the post above as well. 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: 2017-07-10 04:23:27

[2017-07-10 08:04:31] #9 [Go To First Post]
Fabio - Posts: 117
Please find attached the file requested, let me know if it is what you are seeking. About the instruction on how the current trade position are determined instead, I am still not fully understand which is the process I have to follows (maybe because English is not my first language): When a trade will be filled (let's say i.e. today on GBP/USD at 9:15 am) I have to type in the Chart >> Chart Settings >> Advanced Settings >> Order Fills Start Date-Time boxes the exact date and the exact time of the execution? I have to do this every time an order will be triggered or just once? This procedure above, allow me to avoid the problem I got? Thanks for your help. Fabio.


Private File

[2017-07-10 20:15:27] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
When a trade will be filled (let's say i.e. today on GBP/USD at 9:15 am) I have to type in the Chart >> Chart Settings >> Advanced Settings >> Order Fills Start Date-Time boxes the exact date and the exact time of the execution? No. Just the date is good enough. Just pick a date, where you began a new Position and did not have any Positions which were overnight on that date. I have to do this every time an order will be triggered or just once? Just once. This procedure above, allow me to avoid the problem I got? At this time we are not sure what the problem is until we look over the Trade Activity Log. Allow a few days for this. 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: 2017-07-10 20:16:59

[2017-07-21 04:41:44] #11 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Using your submitted Trade Activity Log we can easily tell what the reported Position Quantity was at this time: I got 2 targets in place, one at 113.61 and the other one at 113.65, with the entry at 113.23. Last night both targets was reached without any problem but, this morning, when I opened up my platform I saw that I was still into the position with the main order, which was at 113.23. It is reported as 0 as we would expect. This can be easily verified by simply setting the Date Range to Display to the full date range which includes all of the order fills available for the particular Symbol and Trade Account. The result is on the Trade Statistics tab (Open Trades: Open Quantity). In the chart where you saw the nonzero Trade Position, was there a Order Fills Start Date-Time set in Chart >> Chart Settings? In my trading activity log, under trades section, if I set the range date just for today, the 7th of July, I can see one trade on USD/JPY (short) with Avg entry at 113.681 at 2:46:52 GMT with an entry quantity of 213 and an Avg exit price at 113.698 with an exit quantity of 142 and P/L of -24.72GBP without exit date time. Can you just tell me what is this order and what is happenning? This is what we see in this case: Symbol Trade Type Entry DateTime Exit DateTime Avg Entry Price Avg Exit Price Entry Quantity Exit Quantity Profit/Loss (P) Max Open Quantity Running P/L (P) Runup (P) Drawdown (P) Max Open Profit (P) Max Open Loss (P) Entry Efficiency Exit Efficiency Total Efficiency Commission (P) High Price While Open (P) Low Price While Open (P) USDJPY Short 2017-07-07 01:46:52.000 2017-07-07 05:38:56.729 113.610 113.699 35 35 -3.115 35 -0.028 0.000 0.000 0.000 0.000 0.00% 0.00% 0.00% 0.000 113.610 113.610 USDJPY Short 2017-07-07 01:47:50.000 2017-07-07 05:38:56.729 113.650 113.699 36 36 -1.764 36 -0.044 0.000 0.000 0.000 0.000 0.00% 0.00% 0.00% 0.000 113.650 113.650 USDJPY Short 2017-07-07 05:37:49.951 2017-07-07 05:39:08.244 113.700 113.698 71 71 0.142 71 -0.042 0.000 0.000 0.000 0.000 0.00% 0.00% 0.00% 0.000 113.700 113.700 USDJPY Short 2017-07-07 05:39:00.228 113.696 71 0 0.000 71 -0.042 0.000 0.000 0.000 0.000 0.00% 0.00% 0.00% 0.000 113.696 113.696 This is using Fill to Fill Fill Grouping. So what I did was refresh trade data from service and the "supposed" order on Sierra disappeared. Technically, this really is impossible to change the reported Trade Position in a chart. We know how this is designed and we also have run several test to see if there is any rebuilding of the Trade List in a chart with this action, and there is not. So in the end, we really do not have any definite explanation for what you have experienced. We have added some additional logging. And we have instructed you to set an Order Fills Start Date in the chart you trade from. We recommend updating that at least every month. 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: 2017-07-21 04:50:13

[2017-07-21 04:50:47] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The prior post has been updated. 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

[2017-07-21 13:34:32] #13 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The only logical explanation that we can think of is that when the order fills for the 2 Target orders, were inserted after you connected to the LMAX Live Trading-DTC connection, that the Trades list in the chart was not rebuilt. But we do not know of any reason why that would not automatically happen. We have added additional logging to verify this happens. To manually rebuild the Trades list, go to the chart or Trading DOM and select Chart >> Reload and Recalculate. 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: 2017-07-21 13:35:18

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