Support Board
Date/Time: Thu, 13 Feb 2025 15:57:21 +0000
Order delay
View Count: 708
| [2020-12-13 01:23:51] |
| User823684 - Posts: 14 |
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I am running into an issue, I think relating to the session times. The session times setting on my chart for all the futures contracts I am using is 14:30 to 21:14:59 (for day session) and 21:15 to 14:29:59 (for evening session). What happens is that during the evening session, using the M10 chart, the bars change from ending on the 0s (:10, :20, :30, etc) to ending on the 5s (:05, :15: :25, etc). I think something about this is causing an issue with the strategy execution. What happens is that there is sometimes a HUGE delay between order and actual trade execution. I attach a list of all the trades submitted to the exchange and you can see sometimes the delay is more than 20 seconds! Any time the trade is executed during the day session (ending in 0), there is no issue with a delay (< 0.5 seconds). When I run a backtest, it shows no delay whether the bar ends on 0 or 5. I attach my live trades and the back test trades for the same period. As you can see in my live trades when the bar ending in 5, huge delay. When bar ending in 0, almost no delay. With the backtest, no delay 5 or 0. Do you know what could be causing the issue in live running? I am not the coder of this strategy. If you could help direct me to a solution, I will pass it along to my programmer. I would like to know a solution other than "change your chart settings so that all bars end on 0". Would like to get actual execution to match backtest as much as technologically possible. |
Private File Attachment Deleted.  TradesList Backtest 12-8.txt - Attached On 2020-12-13 01:21:00 UTC - Size: 7.71 KB - 370 views |
| [2020-12-13 23:55:49] |
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What happens is that during the evening session, using the M10 chart, the bars change from ending on the 0s (:10, :20, :30, etc) to ending on the 5s (:05, :15: :25, etc). Regarding this, refer to:Chart Session Times: Bar Starting Times So long as there are no delays when you manually submit orders, then there really is not anything that we would know to suggest about the problem if the issue is with the automated trading system. 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 |
| [2020-12-14 00:08:39] |
| User823684 - Posts: 14 |
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My programmer said that the trade service log will timestamp when orders were submitted, so I'll soon discover whether the issue is on my side or if the broker just has egregious delays in execution.
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| [2020-12-14 08:42:39] |
| User823684 - Posts: 14 |
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I meant the trade activity log. And I can confirm now that the issue appears to be on my side. Will see if I can debug with my programmer. Cheers.
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| [2020-12-14 11:38:41] |
| User823684 - Posts: 14 |
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Hello, I have an update on the issue and I figured out what's going on, but need a little guidance. So basically what happens is that the strategy does not recognize the bar close until the first tick of the new bar. And unless the market is being traded heavily, the first tick often happens many seconds after the close of the just-completed bar. (Bar is set to M10) The issue for me is, I want to submit a market order on bar close, but the bar close is not recognized until the first tick of the new bar. So essentially my market order isn't sent or executed until somebody else's order in the new bar is filled. I thought maybe if I changed my intraday storage settings to 1 second and the advanced chart settings to Show Columns with No data it might handle the issue, but in watching the 1 second chart, I see that columns with no data are only updated after a new column WITH data occurs. So I think it will have the exact same issue...waiting for someone else to execute an order in the new bar, and only then recognizing the bar close and issuing my order. Any help? Date Time Of Last Edit: 2020-12-14 12:19:40
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| [2020-12-14 12:44:15] |
| User907968 - Posts: 826 |
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ACSIL Programming Concepts: Determining if Last Chart Bar is Closed
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| [2020-12-14 18:45:42] |
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Yes the above linked documentation has the solution to what you want to do: ACSIL Programming Concepts: Determining if Last Chart Bar is Closed (Determining if Last Chart Bar is Closed) 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 |
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