Bug in V7.4 Paper trding Order Filling

[TradingDay]

In V7.4 paper trading (both real time and tick replay), sometimes limit even market order is filled too far from the ask/bid price (most in trading favorite deriction). In V7.3 there was no such problem.

[JayF]

Thanks TradingDay for the report. Do you have any examples of this problem? A screenshot of the incorrect order filling would be a great help in finding this. In case you were not already aware the eSignal Snapshot tool is a great way to capture screenshots.

[TradingDay]

Re: Reply to post 'Bug in V7.4 Paper trding Order Filling'

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Hi, JayF,

This morning test is attached. Short order filled as 21.5799 at
10:35:12, where the market bid is 21.47.

Thanks your reply and help.

TradingDay.

[email protected] wrote:

Hello TradingDay,

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[JayF]

Your attachment seems to be missing.

I see your post was emailed into the forum. I don't believe attachments can be emailed into a post. Could you click on the link below the message "This thread is located at:" in the email you receive and post your attachment to the thread? If not, could you give the symbol you were paper trading?

Thanks.

[tradingday2003]

Hi, JayF,

Many thanks.

This morning, 10:35:12, my BRCM short limit order entry filled as 21.5799 while the market bid was 21.47, the tick OHLC were 21.5, 21.5, 21.45, 21.46.

Thanks alot.

TradingDay

[TradingDay]

Hi, JayF,

Attached is log of Jul. 24 paper trading. Both limit and market order might filled too far from the market.

Same might be in Tick Replay. And sometimes the trading date and time may be filled wrong in tick replay.

Tradingday

[JayF]

Thank you for the log. This will help track down the issue. We appreciate you help.

[radly212]

I am also having a similar problem. I buy or sell three E-mini contracts and when I step out of one of them the average price of the other two is increased or decreased by .50. When they are closed it gives a false profit/loss reading. I have deleted the DAT file and let eSignal build it again but the same occurs. In one case I shorted at 986.25 and covered one at 985.25. The average of the remaining two jumped to 986.75. I covered another at 985.25 and the average of the remaining jumped to 988.25, two full points above the actual entry price.

I have also attempted to place a stop order and have been filled at once at my “last fill” price. I have been able to correct that issue by making sure each time that I re-highlight the word “stop” in the “order type” window before hitting “buy or sell”.

Today’s paper trade DAT file is attached.

[@lpha]

I have experienced the same with papertrading mode this weekend while testing some things.

[Table32]

Yes, I've found this with stocks too. Closing half a position causes the average price of the remaining stock to decrease apprently by whatever the profit was on the half you just closed.
eg, buy 1000 at $50.50, sell 500 at $50.75, and the purchase price of the other half goes down to $50.25.

T32.