Support Board
Date/Time: Fri, 28 Feb 2025 22:17:31 +0000
[Programming Help] - Limit Chase Orders Inconsistent
View Count: 2003
| [2018-05-10 18:23:10] |
| User104854 - Posts: 457 |
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I use a spreadsheet for automated entries and it seems that the limit chase function isn't consistent or perhaps I'm not understanding it. As an example, say I have a buy entry where the order is triggered when the ask is 2704.75 (on the ES, 0.25 per tick) and the bid is 2704.50. My buy entry price in cell J22 is 2704.50 for a limit order with a max chase of 0.25. It is my understanding that when these orders are triggered it should place a limit order at 2704.50 and stay there as long as the bid is there and the ask is only 1 tick above. If I am not filled and the bid moves to 2704.75 then it will chase the bid up to that price and wait for a fill. Most of the time this is exactly how it executes, however, sometimes when the order is triggered it places the limit order right on the ask. In this example it was filled at 2704.75 even though my price was 2704.50. I'm using the close of a range bar to trigger the entry and under cell J22 I'm simply putting =C4 which is the high of the bar that just closed. If I wanted an immediate fill at the ask I wouldn't use this function. Can you help? |
| [2018-05-10 18:33:30] |
| User104854 - Posts: 457 |
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Could it be the speed of the spreadsheet and it's using the high of the previous bar just before my entry bar closes and is therefore not using the price that I'm giving (in this case C4)? In this case the previous bar was higher than the trigger bar so maybe for a split second it's taking that value and putting my order at the ask.
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| [2018-05-10 19:17:44] |
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How the Limit Chase order works is documented here: http://www.sierrachart.com/index.php?page=doc/OrderTypes.html#LimitChase There can be price movements which you do not see due to them occurring very quickly, which do move that order. 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 |
| [2018-05-10 19:36:58] |
| User104854 - Posts: 457 |
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I've read that but it isn't very clear. What price movements specifically move the price? It says that it has something to do with the last trade price but I've had many instances where the order is placed on the bid at the price that I specify and when orders hit the ask, making the last trade price 1 tick higher than my order, the price does NOT move. Only when the ask is lifted to a higher price does the chase order follow. This is precisely how I want it to execute each time. It does this most of the time but it is not consistent. It doesn't make any sense that it would just execute an order immediately on the ask when triggered. This is a big part of my execution and I'd appreciate if you can further clarify and adjust the feature. Regardless of what you say it should work consistently and it does not. Can you take a look and fix it? |
| [2018-05-10 19:48:17] |
| User104854 - Posts: 457 |
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Alternatively if I strictly use limit orders and have it set at the price that I want is there a feature within Sierra Chart or the spreadsheet study (besides limit chase orders) that will move the price up for me 1 tick the way that I want? Basically I'd be creating my own version of a limit chase order. I'd prefer not to but I'd know each time exactly how it executes. Thanks.
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| [2018-05-10 21:10:17] |
| User104854 - Posts: 457 |
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I figured out a way to develop what I want on my own and it works. It still seems like there should be a clearer explanation of how limit chase orders work but for now I'm good in the hood. Thanks.
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| [2021-09-05 07:07:59] |
| User155017 - Posts: 41 |
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Hi I would also like to have limit chasing bid or ask at a given tick distance, or chasing the midpoint. Did you use a custom c++ code or you managed it from the spreadsheet? |
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