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Sierra vs. Ninja : why I chose .....
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Sierra vs. Ninja : why I chose .....

  #91 (permalink)
 Vendor: www.sierrachart.com 
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josh View Post
I have not yet had a problem but I have only executed a few trades on Sierra this past week, only traded Monday and Tuesday, so I don't yet have a large enough sample. I am not quite clear; you said that the difference between the two prices remains the same, yet you said that you only change the stop price, not the limit price...? Wouldn't the difference remain unchanged only if you changed both? Maybe I am misunderstanding. From what I understand from NT, they also only change the stop price, and this is, to my knowledge, what caused the problem. At any rate, I will let you know if I encounter any issues with this, and thank you for being ready to make adjustments.

OK, we have a better idea of what's going on. We will do some testing on Monday and if the order type is changed to a Stop-Limit from a Stop, then we will update the order type to indicate that it is actually a stop-Limit, in which case when you do modify that order, we will also adjust the limit price to maintain the identical difference it had to the original Stop price. We currently do not do this just for a Stop order because the order is believed to be just a stop.

We have already added support for this and this will be out on Monday. When it comes to issues like this, we do not wait until a "next major release". These kinds of things are promptly taken care of in a matter of hours or days. We also don't have major releases. We gradually do development and have a new release ready every few days.


Last edited by SierraChart; September 30th, 2012 at 01:26 AM.
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  #92 (permalink)
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SierraChart View Post
OK, we have a better idea of what's going on. We will do some testing on Monday and if the order type is changed to a Stop-Limit from a Stop, then we will update the order type to indicate that it is actually a stop-Limit, in which case when you do modify that order, we will also adjust the limit price to maintain the identical difference it had to the original Stop price. We currently do not do this just for a Stop order because the order is believed to be just a stop.

We have already added support for this and this will be out on Monday. When it comes to issues like this, we do not wait until a "next major release". These kinds of things are promptly taken care of in a matter of hours or days. We also don't have major releases. We gradually do development and have a new release ready every few days.

Thanks for looking at this; it may not be a problem yet, but it's at least worth looking into. I admire your quick turnaround and the general correctness of the quickly changed/written code, and I know a lot of others do too.

Just for reference, here is the official CME notification of the banding changes that took place 9/16:

CME Globex Notices: September 04, 2012

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  #93 (permalink)
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josh View Post
Yes, you are correct. However, the CME does not have a "stop market" order, they have a "stop with protection" (see page 11 and 12 here. For ES it is 12 ticks. Non-reviewable range is 24 ticks, and the limit given to the stop is half of that. What it means is that you cannot get slipped more than this amount (12 ES ticks) on a stop. I suppose that in the case of a catastrophe and you were slipped more than the non-reviewable range, your trade would be reviewed and you would not be at fault, but I really don't know how it would work for sure.

@josh, thank you for posting this, guess it's a good idea to start reading those CME Globex notices . I was unaware of this, thinking the stop market orders in most trading platforms were actually stop market orders. This should be much more clearly documented in trading platform support and from brokers, that the CME does not support stop market orders and they will be converted to stop limit orders.

In a catastrophic situation, this means that if the market is not able to fill you within the stop limit protected range, it will move away without you, with your order remaining on the book as a limit order, leaving you holding the losing position.

The Non Reviewable Range is 100 ticks on CL, the protection point is 50 ticks, and banding is 75 ticks. No trade will be reviewed unless outside of the NRR, and for a trade review, you need to call the GCC (CME Global Command Center) within 8 minutes of a problem, otherwise the trade will not be reviewed. You also need to be a registered contact in order to be able to call the GCC, and authorized by your FCM to do so.

http://www.cmegroup.com/globex/trading-cme-group-products/gcc-support.html

Order Types for Futures and Options - Electronic Platform Information Console - Confluence

GCC Product Reference Sheet - Electronic Platform Information Console - Confluence


Last edited by Futures Operator; October 1st, 2012 at 02:47 AM.
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  #94 (permalink)
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SierraChart View Post
In about a week we will be adding a percentage setting for order lines on a chart to control the horizontal positioning.

While changing this, please consider making the order information lines/text display/color background have transparency, so they do not completely cover up price candles on the chart they overlap with.

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  #95 (permalink)
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In the case of when using TT, if a Stop order is converted to a Stop-Limit, the order type will change in the Trade Orders List and on the chart. Here is an example of a stop order we submitted that got converted to a Stop-Limit on the TT development environment:

http://www.sierrachart.com/userimages/upload_2/1349052313674.png



The vertical line that you see indicates where the limit price is. So automatically there was a 3 point Limit added. So hopefully this is not going to confuse people going forward but actually there is a Stop-Limit order working instead of a pure Stop order.

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  #96 (permalink)
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Futures Operator View Post
While changing this, please consider making the order information lines/text display/color background have transparency, so they do not completely cover up price candles on the chart they overlap with.

Could you please ask us on our Support Board about this. It helps us keep the requests organized.

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  #97 (permalink)
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Is there any way possible (in SC, and in general) to modify the stop limit range to something greater than the CME protection point?

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  #98 (permalink)
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josh View Post
Plus, it is great to see the charts update at 40ms again in SC, along with an overall general feel of quickness and agility present in SC that NT just cannot match. At market close, when we get the flood of volume, SC hums along pretty steadily with a 40K burst in 60 seconds. It lagged very slightly when 130K traded at the close on Friday. But NT always lags a little bit, regardless.

@josh, can you elaborate on what exactly lagged slightly in SC at the close, ie DOM/charts/interface etc, how you determined it to be lagging/what you compared it to?

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  #99 (permalink)
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Futures Operator View Post
Is there any way possible (in SC, and in general) to modify the stop limit range to something greater than the CME protection point?

Yes. Use a Stop-Limit order.


For the documentation for this for the ChartDOM/Trade DOM, refer to step 6 here:
Sierra Chart - Chart Trading and the Chart DOM (TM)

Or did you want to modify the limit offset after the order submission? We can support that as well.

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  #100 (permalink)
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SierraChart View Post
Yes. Use a Stop-Limit order.

I mean, can the stop limit offset in SC be greater than what the CME specifies as the maximum stop limit offset/protection point? ie CME site says for a Stop with Protection, the protection range is 12 ticks on ES, outside of this the Stop Limit will remain on the book as unfilled. What happens if SC is set to use Stop Limit Offset of 20 ticks, is the order accepted, or modified, or rejected?

Compared to your TT example, what happens on Rithmic to orders submitted as type Stop: Stop, are they converted to Stop Limits automatically as well? In this case, is the Stop Limit offset specified in Sierra used, or is the CME protection range used for the limit offset? Would you only want to set the Stop Limit Offset if you want it set smaller than the CME Offset?

This area seems critical for risk management, and it would be helpful for traders if you could try to make all this more clear in the documentation/platform, and also if the order type listed as Stop: Stop was disabled on markets where it is not supported, ie CME. In these instances, I think it would make sense if Stop Limit was used from the beginning to avoid unnecessary conversions, and the user should be aware if they need to configure the Stop Limit Offset setting or not also.

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