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Is anyone using the Trade statistics in Sierra, and has anyone had an issue with unmatched fills? My P&L doesn't match what I see on the T4 DOM, and then all the other stats are off as well. I was thinking the unmatched fills may be the issue.
Can you help answer these questions from other members on NexusFi?
If you have unmatched fills, then the trades with unmatched fills are garbage. Those trades do affect the stats. To fix, you can enter in fills that are missing (Trade Activity Log >> Edit >> Insert Trade Activity Entry).
Note: The CTS interface is lousy in terms of reporting fills after the fact (i.e. you can not request fills before the current day). So if you are not always connected when trades are executed (stop or target hit overnight) you could have fills that you have to enter yourself.
Always connected, private and dedicated fiber line(uninterrupted)
No, always flat before end of day, typically before 15:00 CST cash close.
GC trades are usually finished by 10:30 CST(London close)
I mention this because I thought disconnecting and reconnecting data feed at the end of day would update the unmatched fills and correct them as historical fills, before they were absent from the server with the start of a new day.
Aslan - what is the proper way to enter those fills, I found it a bit confusing. Have you done this yourself?
I have looked into this, and perhaps I am doing something wrong, or not seeing this properly(always likely) but when I open the Trade activity log, and compare that line to line, fill to fill with my filled trade report from T4, the correct fills, times and prices are in the Trade Activity Log. The unmatched fills in the Trades tab in Sierra show the entry price with no exit price logged; yet those exits do exist, in the Trade Activity Log. It seems that if I could Edit in the trades log and enter those exit prices, all would be fine. Unfortunately, editing is not an option in the trades log.
Editing may not be allowed, but delete and insert are.
I do not use CTS, so your millage may vary with the following.
The "trades" are generated using the fills in the trade activity log. It starts from flat, and tries to figure out trades based on the fills and the buy/sell/qty. There is also an Open/Close field. Some services do not provide info on if a fill is opening or closing (is the Open/Close column filled in?). This field may be the issue.
Also, I know SC is about to replace the current CTS interface with a new FIX based interface. Perhaps that will help.
I also read a post on the Sierra support board where a user was having an unmatched fills issue, and was also using T4 DOM for order entry. The reply from Sierra was (paraphrasing) - we don't support the T4 DOM - which I understand.
What I don't understand, however, is why would it make a difference whether or not I was using the T4 or Sierra for order entry? Both ultimately would send orders to the T4 server for execution, and the fills would report from the T4 server. Am I not seeing something here?
Using the native T4 interface should not be an issue, if CTS sends the fill report to all connected clients (which it likely does). But if SC is not running and does not see the fill report, then you are SOL because when you start up SC the next day, CTS does not report historical fills.
very good suggestion, I did see that the Close field was blank, and that is what I tried to edit, by selecting Close from the drop down box, but it didn't appear to change the results in the Trade Statistics, and the Trades tab still showed those as unmatched. Perhaps my edit attempt was wrong and delete and insert are the way to go. I just am hesitant to start deleting things if there is a better workaround.
