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Statistical Performance Over Time - Trade Statistics & s_ACSTradeStatistics

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[2019-06-07 16:20:45] #1 [Go To First Post]
User796776 - Posts: 95
I am able to use sc.GetTradeStatisticsForSymbol to get both a period, and a daily statistical summary. These are useful snapshots, but I am not able to leverage the statistics to measure and track performance over time. In order to track performance over time, I need to capture the s_ACSTradeStatistics structure after each Flat to Flat trade is processed and write it out in a table format. I am willing to do this in ACSIL by processing the order fill entries and reproducing the statistics in s_ACSTradeStatistics if necessary. Before developing this, I wanted to ask: 1. Is there a way to iterate through the trades and obtain the s_ACSTradeStatistics structure after each Flat to Flat trade is processed? 2. If not, does sc.GetTradeStatisticsForSymbol contain the statistics algorithms necessary to populate s_ACSTradeStatistics and could this be released as an example in the \ACS_Source folder to allow enhancements like statistical performance over time to be added?

[2019-06-08 23:18:24] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This may not really answer your question, however: What we are going to do is add new flat to flat trade statistics to s_ACSTradeStatistics and any other new fields you see on the Trade Statistics tab of the Trade Activity Log and we will also add a new function to obtain flat to flat trades. With all the work that has been done regarding Trade Statistics and Trade Activity, all of this is now easily possible. but I am not able to leverage the statistics to measure and track performance over time. You can because the trades statistics do cover a period of time for as much order fills that are loaded into the chart. 1. Is there a way to iterate through the trades and obtain the s_ACSTradeStatistics structure after each Flat to Flat trade is processed? We can add this capability. 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: 2019-06-08 23:25:59

[2019-06-10 19:32:32] #3 [Go To First Post]
User796776 - Posts: 95
Excellent news on the flat to flat changes to s_ACSTradeStatistics and Flat to Flat iteration capability. As a follow-up, is there a function, similar to sc.GetOrderForSymbolAndAccountByIndex, to allow iteration of all Trade Activity entries? Using sc.GetOrderFillEntry to get filled orders, I have tried to use the FillData.InternalOrderID to call sc.GetOrderByOrderID to get the original order information so I could reconstruct the original order with child orders but this doesn't work as SCTRADING_ORDER_ERROR is returned for (non-active) historical orders. The order details are present in the Trade Activity log, but need a method to retrieve them.

[2019-06-10 21:38:50] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
As a follow-up, is there a function, similar to sc.GetOrderForSymbolAndAccountByIndex, to allow iteration of all Trade Activity entries? No, we thought about this but the implementation is complicated. 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

[2019-06-10 21:38:50] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
As a follow-up, is there a function, similar to sc.GetOrderForSymbolAndAccountByIndex, to allow iteration of all Trade Activity entries? No, we thought about this but the implementation is complicated. 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

[2019-06-10 23:08:20] #6 [Go To First Post]
User796776 - Posts: 95
Ok, to make sure I am not missing anything; I see my options as: 1. Capture/store s_SCTradeOrder at order instantiation, or 2. Use the trade activity window to manually copy the activity to the clipboard and paste it into another app to process Is there a different approach I should consider? Date Time Of Last Edit: 2019-06-10 23:08:56

[2019-06-17 20:36:34] #7 [Go To First Post]
User796776 - Posts: 95
Checking for an update on post #2... the ability iterate through the trades and obtain the s_ACSTradeStatistics structure after each Flat to Flat trade is processed Any insight on when this functionality will be added? Date Time Of Last Edit: 2019-06-17 23:53:30

[2019-06-20 04:47:20] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
These new ACSIL functions are available in the latest prerelease: int (SCDLLCALL* GetFlatToFlatTradeListSize)(); int (SCDLLCALL* GetFlatToFlatTradeListEntry)(unsigned int TradeIndex, s_ACSTrade& TradeEntry); 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: 2019-06-20 04:47:31

[2019-06-20 20:32:25] #9 [Go To First Post]
User796776 - Posts: 95
Tested with v1938 and GetFlatToFlatTradeListSize() only seems to return 0.

[2019-06-20 21:33:34] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We had to activate the maintenance of the Flat to Flat list for charts. That was not done. This will be out in about a day. 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: 2019-06-20 21:33:47

[2019-06-24 21:37:53] #11 [Go To First Post]
User796776 - Posts: 95
Tested with v1939 and GetFlatToFlatTradeListEntry returns the s_ACSTrade for the Flat2Flat position. At this point I have the Flat2Flat summary (s_ACSTrade) but I also need the detail stats found in s_ACSTradeStatistics calculated from all the trades comprising the Flat2Flat trade. Something like int (SCDLLCALL* GetFlatToFlatTradeListEntry)(unsigned int TradeIndex, s_ACSTrade& TradeEntry, s_ACSTradeStatistics& TradeStats); Would this be possible?

[2019-06-26 19:04:25] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Additional flat to flat related statistics will be added to s_ACSTradeStatistics. Not sure how soon we can get to it though. 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

[2020-01-24 08:18:07] #13 [Go To First Post]
Sierra_Chart Engineering - Posts: 13988
In regards to post #12, there is this new function: sc.GetTradeStatisticsForSymbolV2 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, use the Teton service: Sierra Chart Teton Futures Order Routing

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