Support Board
Date/Time: Wed, 05 Mar 2025 01:36:10 +0000
ACSIL Trading - Partial Fill
View Count: 868
| [2022-01-04 19:42:03] |
| PS2004 - Posts: 47 |
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Hi! I am working on a trading Study for Sierra Chart, and I have questions related to an Order's partial fill. In Simulation Mode I never came across any situation where a partial fill would occur, but in live situations it usually does, for example with Limit Orders. I think this is a critical point of trading, especially if it is automated. I saw situations where the Study ended up with a lot of Quantities which were filled later than the first part of the Order, and the Study could not set the OCO Orders (like Stop) for them, which is deadly. My main problem is that I tested the Study extensively in Simulation Mode, and this never happened, even if the situation described above was replayed over and over again. If I wanted to check the s_SCTradeOrder Structure Member's FilledQuantity value, in Simulation it always said that it was fully filled. To sum up: Is there a way to get ready for situations like this in ACSIL with Simulation Mode? Because the documentation says Sierra Chart provides a Trade Simulation feature which simulates the acceptance, management and filling of Trade Orders, and tracking of Trade Positions internally in Sierra Chart. This simulates trading as if you were connected to a live trading account here: https://www.sierrachart.com/index.php?page=doc/TradeSimulation.php. But it seems to be very likely that the Simualtion does not work in the same way as real life in this topic.
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| [2022-01-04 20:30:46] |
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We do not understand this clearly: I saw situations where the Study ended up with a lot of Quantities which were filled later than the first part of the Order, and the Study could not set the OCO Orders (like Stop) for them, which is deadly. If you are using Sierra Chart managed Attached Orders partial fills are properly handled. You really should not be managing your own Target and Stop orders to protect the position and instead use Sierra Chart Attached Orders. Otherwise it gets very complicated to manage them. There are differences with live trading: Automated Trading Management: Differences Between Live Automated Trading and Simulated Automated Trading 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 |
| [2022-01-05 16:56:14] |
| User117118 - Posts: 9 |
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I have run into the very same problem as in the post #1. As far as we experienced and understand, the problem is twofold: 1. missing (at least I cannot find) implementation of partial fills in replay/evaluation environment 2. as a subsequence of missing partial fills: I cannot properly test/evaluate my trading system Let me clarify the problem to be solved thorough two examples; Example No1: Service: TradingEvaluator (RealTime) OrderManagement: SC Built-In Tools (No custom code, out-of-the-box OCO orders) Symbol: MNQH22 Entry: LMT Quantity: 3000 Question: If partial fills and related OCO-s are implemented and this environment simulates trading as if you were connected to a live trading account how can a spike of a 10second bar fill 3000 MNQ contracts? It is definitely not the same as being connected to a live account. Notes: Using Replay Mode the problem is the very same (using “Calculate At Every Tick/Trade”) Using Custom code is the very same, too. The example above (see attached pictures) deliberately uses SC built-in tools to avoid and exclude coding errors. Example No2: Service: InteractiveBrokers (RealTime) OrderManagement: SC Built-In Tools (No custom code, out-of-the-box OCO orders) Symbol: MNQ-202203-GLOBEX-USD Entry: LMT Quantity: 200, Partially filled 12 Being connected a live account it is the situation. LMT orders often fill partially Question: Where and exactly what shall I set (Replay, Evaluator, Service, any other) to get exactly the same behavior as if I were in live trading? Any help highly appreciated. |
 Evaluation_3000contr.PNG / V - Attached On 2022-01-05 16:55:10 UTC - Size: 470.42 KB - 181 views RealTime_PartialFill.PNG / V - Attached On 2022-01-05 16:55:20 UTC - Size: 617.7 KB - 180 views |
| [2022-01-12 20:48:35] |
| User117118 - Posts: 9 |
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Dear Support, Any suggestion or guideline about how to configure/set evaluation environment (trading evaluator service and/or replay) to be able to simulate real-time live trading? Please have a look at post #3 attached pic (Evaluation_3000contr.png) |
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