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Sierra Chart DOM and Position Average Price: a step in the wrong direction?
There is something that happened to me with Sierra Chart that I thought I should share with all other Sierra Chart users (and future potential users) , so I thought this would be the right place, on the best trading forum ever – futures.io (formerly BMT).
I have been using Sierra Chart for some time now and despite its not easy learning curve I have been finding it very good, with some very good features and overall good quality. I especially like (liked?) the DOM…
However, three days ago, when starting the platform I got a message indicating that Version 929 was available so I did all the procedure and upgraded it.
After doing the upgrade, I found something that I thought should be a bug or a wrong setting because the Position Average Price on the DOM was getting wrong, as after the first partial scale out from a position built with two scale in portions, the Position Average Price “jumped” to the price of the last entry instead of staying in the same average price. After all, the Position real Average Price doesn't change just because we scale out part of the position!!!
Thus, for the very first time since I’m using SC, I contacted SC Support in order to ask if it was a problem with the platform or if I was doing anything wrong.
Here is my message:
“ DOM's average price problem
________________________________________
Hello,
I often use scale in and scale out strategies on my trading.
However, after very recently upgrading for 929 version, the DOM’s average price is not working well anymore.
When I build a position with two entries at different prices (scale in) the position average price shown in the DOM is correct.
But when I scale out half of this same position, the average price immediately changes for the price of the last entry, instead of staying with the same average price.
With the previous version I had installed (I believe it was version 914?) I didn’t have this issue, it always worked perfectly.
Is it a setting I should do (I can’t find it anywhere…) or is it a small problem on this version that will be corrected?
I would really appreciate some help as this is very important for my strategies.
Thanks.
Rui”
After my message SC Support posted the following reply:
Re: DOM,s average price problem
________________________________________
We cannot possibly make everyone happy. This was a recent change in order to provide a very accurate average price based upon the order fills which make up the current Trade Position. This is something that was requested from some users and is an improvement. This is not going to change. We went through a very considerable effort to implement this and it is documented here:
This is how it is now and is not going to change.
__________________
Cheers
Sierra Chart Support - Engineering Level
Ok, I don’t want to comment on the “impoliteness” of the answer…
However, can this change be considered as an “improvement”? Certainly not for me, I want to have the real (correct) average price of my positions when I scale in and out, especially in fast markets…
But ok, I can accept that people are different and different people have different ways to trade and see things differently. Thus, after the “requests of some users”, it sounds positive that SC development team made the effort to make them “happy”. And I appreciate that they "went through a very considerable effort to implement this" but what about all the others that didn't ask for this change? Shouldn't it at least have been made with the option to chose one way or the other?
Well, I must say that the correct average price calculation on SC DOM was one of the characteristics that made me decide to change from NT to SC. I have now downgraded the platform back to Version 919 while I decide what to do in the future, but I am aware that it will be a short term solution, as I can't keep this version forever. I must confess that I'm feeling disappointed because I was really getting along with SC the way it was...
I would like to hear some comments from other users about this issue.
Thanks.
Can you help answer these questions from other members on NexusFi?
The problem of what is the 'correct' way of calculate the avg has been going for a long time, years. You can use the same SC for years too I have seen someone still using SC version in 2 digits. Just keep gathering more petitioners and ask for option to switch to diff calculation method. And ignore their grumpy reply it doesn't bother me at all.
After the situation above described, I decided to contact SC Support again and tried to explain my problem with more detail. I also asked them to consider to implement an option in SC software in order to allow traders to chose the best way to have the Position average price calculated according to each trading style.
And this time I had a very nice reply, with good news.
Here is my message to SC Support:
"Dear SC Support Group
First of all, and despite being a relatively recent user of SC Platform, I want to say that in my opinion SC is a great trading software, with very good features, performance and reliability. You have been doing a very good work with it.
Since the upgrade for version 921 you have implemented a change in the average price calculation and from that version on, the average price is calculated solely upon the order fills which make up the current open Trade Position, thus ignoring the parts that were previously closed.
That was when my problem started. At first I thought it was some setting I was missing, but you have explained that it was a recent change and it would stay that way. And I really understand and appreciate that you went through a considerable effort to implement this change after the requests of some users.
After your clarification, I tried the best I could to adjust myself to the mentioned change but it gets really impossible to trade with the DOM showing the average price that way, as my trading style is short term / high frequency and I really need to have the Position average price calculated since the first partial entry. Also, the way it is now, the Position average price shows different from the average price shown on the broker’s platform (IB), which I use side by side.
So, I went back and installed version 919 and I am doing fine with it for now, it works perfectly. I will keep this version for as long as it works, although it’s a shame that I won’t be able to use the new features of the newer versions. And I’m also a bit worried because I don´t know for how long I can run version 919 without problems…
Thus, I am contacting you to ask if you could please consider the possibility to try and implement in one of the future versions of SC software an option that would allow the users to chose between the Position average price new way of calculation or the way it was before version 921.
I imagine that it might be complicated to implement this change, otherwise you would probably have done it already.
However, if by any chance you could do it, it would be very appreciated. And not just from me, I know there are many traders out there thinking the same way. And of course it would also be advantageous for your company as it would serve the different trading styles of different traders, gathering more clients.
I apologize for this message being so long.
Thank you in advance."
And here is their reply:
" Re: Average Price Calculation after Version 921
________________________________________
No worries. Thank you for your persistence on this. We had not realized clearly how some traders need to have this method to track their position average price. We just had a discussion on this now and we see how to implement it relatively easily. It should be out in a week or 2. There will be an option for this.
This will only affect the average price displayed on a chart or Trade DOM, it's not going to be used in the Open PL calculations because otherwise that will be inaccurate.
__________________
Cheers Sierra Chart Support - Engineering Level"
So, it seems we have good news. I thought it could only be fair to write this post here to spread the word.
Well done, SC Support. Recognizing when we are in the wrong way is very important. I’m looking forward to this upgrade.
Thank you for being persistent about this; I am not particularly bothered by the change but I also wondered why it was not simply an option. Also note that you can set FIFO or LIFO so that your scale-out will remove from the average calculation either your most recent add or the very first contracts opened, of course, neither is what you are looking to do One of the very nice things about SC is that it is generally very configurable, so this will be very good. I will probably go back to this method.
However, there is no "correct" way to calculate an average price. What you want to see as an average open price depends on how you are factoring in your closed P/L. For example, if I get long 100 and 102, my cost basis is 101. If I exit half at 105, what are my closed and open P/L? Well, if I consider that I closed the first, my closed profit is 5 and my open profit is 3. If I consider that I closed the second, my closed profit is 3 and my open profit is 5. If I consider an average, as you suggest, my closed profit is 4, and my open profit is 4. There really is no right or wrong, just different ways to look at it, and I am glad that SC will re-incorporate the third method as an option!
I completely agree with you, there is no “correct” way to calculate an average price because it depends on each individual opinion. I didn't express myself correctly when I wrote that (sorry, English is not my language). What I meant was that I wanted the average price calculated every time there is a portion added to the Position but just taking in account the current quantity of the Position and keeping the average price at the same level after partial exits – exactly the way it is calculated prior version 921.
And I also completely agree with you on what you described on your example, the “correct” average price should take into account all the partial profits and losses (and by the way, the broker commissions too). That, for me, would be the perfect and “real” average price. But I don’t know about any trading software that have this feature available.
When I first started testing SC I rapidly noticed how the average price was calculated and I liked it, as this way we can always have a good idea of the Position average price (NT doesn't have this calculation mode as it always includes all portions quantity since the first entry, causing a distortion on the average price), even when the market is fast and we have to manage several partial entries & exits.
Since then I got used to have the Position average price showing in the DOM and charts that way and I felt really disappointed when they changed it. Fortunately it seems that they are available to re-incorporate this feature again.
Glad to see that they responded to your request and are changing things so quickly. Did they already make the changes?
If I may, however. The NFA regulates futures as FIFO. So I think SC's insistence that this is "the right way" to calculate P&L is not misguided. Its just not how you want to calculate P&L. Unless I am misunderstanding something.
As far as I know they didn’t make the changes yet. I’m still running 919 version and waiting patiently for them to do it.
Regarding the average price calculation mode, I believe that what you mention about NFA requests (FIFO) is probably regarding the tax accounts or some other specific rules.
The issue mentioned in this thread is just related to track in real time (on the DOM) the average price of an open position with multiple partial entries and / or exits.
I think that the Position Average Price issue with SC is finished.
As there has been a month since SC Support said they would implement an option for the different ways of calculating the Position Average Price, today I asked in their Forum if there were any news about it and I got the following reply:
"In version 943 you will find Global Settings >> Chart Trade Settings >> Position Line >>Use Flat to Flat Average Price for a Position Line"
Version 943 was released yesterday so I was right on time. I tested it and it is working well.
After all, it seems that SC Support Group is trying to make everyone happy. Well, I'm happy.
