How does Paper Broker determine Fill Price?

[mmshannon]

Hello All!

I am new to eSignal, and to trading as well. I am currently using the paper trade broker to simulate some aspects of trading. I get fill prices during the day that I dont believe are realistic (I really wish they were!) - fill prices that don't appear to be an option from the Time and Sales Book at the time the order was 'filled'.

Does someone know how the paper broker determines it can 'fill' your 'order' and ultimately the fill price?

Thanks,
Matt S.

[eSignal_AveryH]

Hi Mark,
Thank you for the inquiry for paper trading, the eSignal paper trading uses the same concept as any front end trading platform minus some of the features. Orders place at market will be filled at the last traded price.

Limit orders are placed in the Open Order tab until the specified price is met.

You can check all order placed in the broker window. I have included a link to the Paper Trading here. http://kb.esignalcentral.com/article...ticle=1262&p=1

Please let me know if I can answer any other question for you.

AveryH
eSignal Support

[mmshannon]

Avery,

Thanks for your quick response and your URL.

I have attached an image of my 'trade log' from yesterday. I went through the trades for FNM and found 6 instances (highlighted in image) of an ‘execution’ at a price that was not available at that time of day:

Line 34 L:27.47 H:27.84 Fill:27.32 Delta:+.15 min per share
Line 36 L:27.40 H:27.60 Fill:27.83 Delta:+.23 min per share
Line 38 L:27.33 H:27.54 Fill:27.58 Delta:+.04 min per share
Line 40 L:27.46 H:27.90 Fill:27.40 Delta:+.06 min per share
Line 48 L:28.48 H:28.82 Fill:28.37 Delta:+.11 min per share
Line 50 L:28.17 H:28.42 Fill:28.65 Delta:+.23 min per share

I notice one thing right away - the error (if it is an error) are always skips one transaction (see line numbers). I know that this is a paper trading module, and that accuracy of the 'real thing' take precedence. However, as a training tool, this 'error' is really throwing the numbers out of whack to the positive. I'm not doing as well as the results show...

Could you validate what I am saying here, and if there is an issue let me know if it can be addressed? Conversely, if I have made a newbie mistake (quiet possible!) please let me know.

Regards,
Matt S.

[mmshannon]

Hello All!

Here is another 'trade' from today with problematic fill prices:

GILD 9:47:08 filled @ 48.85
H&L from T&S: 48.51 - 48.58
Delta: .27

I have other examples - but will hold them back to be more brief. I will comment that the 'error' appears to continue to skip transactions. I estimate this is introducing approximately a -+25% error to the value of a round trip depending on what side of the trade the 'error' occurs.

Is anyone else experiencing this discrepancy in pricing either in real-time trades or back testing? Can eSignal weigh in on what I am seeing?

Thanks for any information!

Regards,
Matt S.

[eSignal_AveryH]

My Matt,
Thank you for your post. Can you give me more information on when this is happening. What type of orders are you doing? Limit? Market? Are you testing short sells? Or going long? This information should help in trying to reproduce the erroneous
trades for the Engineers.

Thank you
AveryH
eSignal Support

[mmshannon]

Hello Avery,

I am doing both market and limit, short and long. The behavior is across all order types. I think I learned today that is it related to the volume of data coming in on a stock - volume goes up, amount of data coming in on that stock goes up, and the paper broker starts to lag - a little at first, then a lot. Is the Paper Broker running in the background like a service?

I have a listing of the trades made today corrected for the available fill prices as seen in the T&S. It is a handwritten doc. Is there a way to email a scan of this or PM you?

Regards,
Matt S.

[eSignal_AveryH]

Hello Matt,
Thanks for the information, I'm still doing research with the Product Manager and will post once I have more answers.

AveryH

[mmshannon]

Thanks Avery. Please let me know how I can help.

In the meantime, I have found what appears to be a very good, fast, and accurate *discretionary* paper trade application called Ninja Trader. I know its not new - but at least new to me...

It piggy-backs of the eSignal feeds and suffers from none of the lag the eSignal Paper Broker does. The downside I think is its lack of integration directly with eSignal and EFS. It does have its own automation layer - but I dont want to live in 2 worlds.

I eagerly wait for improvements on the eSignal Paper Broker. Ultimately, it will provide me with a complete, single environment.

My thanks to everyone so far for their help!!

Regards,
Matt S.

[demarcog]

Matt,

I've been using the Paper Broker for some time and the last time I checked the fills were accurate.

After reading your post I looked at the Time and Sales for FNM for the days in question which BTW may be a more reliable way of determining accurate fills as you can see the bids, offers and trades at the time the trade is placed.

If you looked at time and sales at the time you can see that the discrepency is even larger.

I checked a few of the trades and there were .40-.50 differences between the trade reported by the paper trade broker and where the market was actually trading.

I'm actually shocked to see that and really hope this can be corrected as this is a real problem for me.

Glen