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[Programming Help] - Sierra Chart issue with Order Routing Service

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[2020-04-21 08:03:24] #1 [Go To First Post]
Rparm - Posts: 5
Please note, I posted a previous message earlier today, I have deleted that message after finding a solution to the bulk of the issue after finding some documentation on it. However I was unable to find any documentation for the following, I am using two instances of Sierra Charts to test an identical simple Automated Trading System, which was developed to compare fills on different brokers. Both System are run on VPS, and are trading the same product on the CME (Treasury 10 Year Note). Order Fills are near identical. The running instances are as follows: #1. Sierra Charts, using IQfeed Data, and Interactive Brokers #2. Sierra Charts, using Denali Price Feed, and AMP Futures The problem is, Instance #1 is submitting Orders correctly, and canceling Orders correctly (there were 22 cancellations in the attached Log) Instance #2 is submitting Orders correctly, but is canceling order unnecessarily there were 4200+ cancellations. Even though orders are canceled the ATS's logic makes it submit new orders immediately, so the actual Order Fills are almost the same with instance #1, but with all these Order Cancellations it is impossible to maintain a good FIFO position. Simply search the attached "Instance 2 Log" and you will see 4200+ lines which read: " ...Auto-trade canceled order: ZNM20_FUT_CBOT [CV][M]... " It appears the ATS is canceling the Order, is it normal for an ATS to behave this differently on an identical Price Feed and SC using the same settings (I have yet to see even 1 tick difference between IQfeed and the Denali Feed). I just don't understand why the system is canceling orders on Instance #2


Instance 1.txt - Attached On 2020-04-21 08:02:25 UTC - Size: 78.29 KB - 202 views Instance 2.txt - Attached On 2020-04-21 08:02:53 UTC - Size: 17.62 MB - 263 views

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