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Date/Time: Mon, 28 Nov 2022 02:31:36 +0000


[Programming Help] - DTC - POSITION_UPDATE AveragePrice is zero With Open Position

View Count: 2064

[2020-07-13 19:17:04]
User667559 - Posts: 27
This is on live market, AMP + Denali data feed

Sending to Sierra:
{ Type: 305, TradeAccount: 'XXXXXX', RequestID: 124 }

{
Type: 306,
RequestID: 129,
TotalNumberMessages: 1,
MessageNumber: 1,
Symbol: 'MESU20_FUT_CME',
Exchange: '',
PositionIdentifier: '',
TradeAccount: 'XXXXXXX',
Quantity: 1,
AveragePrice: 0,
NoPositions: 0,
Unsolicited: 0,
MarginRequirement: 0,
EntryDateTime: 1594666676,
OpenProfitLoss: 0,
HighPriceDuringPosition: 0,
LowPriceDuringPosition: 0
}


Why is AveragePrice 0??

This should have a value, this works perfectly fine in DEMO, but it completely breaks my system on live.
It should give my average position price. Is this a racing error and should I delay my position request after a fill?
I'm discovering my average price by requesting open positions after I get filled so I don't have to calculate them myself.

Is this a valid approach? It worked fine in demo....
Edit: this also worked fine when I use the Sierra Futures Data provider for practicing with a live server. Just not with actuall money.
Date Time Of Last Edit: 2020-07-13 19:19:07
[2020-07-16 10:49:07]
User667559 - Posts: 27
I need help on this. I need the average price of my position, but it seems TT is not giving it.
I made an attempt on calculating this myself but it's a nightmare when you get into partially filled orders, multi-lot orders and when processing orders that make your open position smaller by for example one lot when you have multiple, which order is then removed etc. I don't want to re-invent the wheel here.

Plz plz plz give the AveragePrice for an POSITION_UPDATE as documented here:
https://dtcprotocol.org/index.php?page=doc/DTCMessages_TradingRelatedMessages.php#Messages-POSITION_UPDATE
Date Time Of Last Edit: 2020-07-19 13:29:35
[2020-07-16 16:35:34]
User667559 - Posts: 27
This is what AMP stated:

"prices you get are on your statment
the average price is on platform
we do not deal with that only actual fills
you will need to go to sierra forum about average price"
[2020-07-16 18:57:13]
Sierra Chart Engineering - Posts: 104293
You are using the Sierra Chart Order Routing service which is using Trading Technologies. Sierra Chart does not utilize any Position Average Price data from TT because it is not going to be what users expect.

Refer to:
https://www.sierrachart.com/index.php?page=doc/SierraChartOrderRoutingServiceWithData.php#UnsupportedPositionAndAccountBalanceFields
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2020-07-16 18:57:24
[2020-07-17 08:29:01]
User667559 - Posts: 27
So, what do you suggest to get the AveragePrice of my position via DTC then?
Sierra has it internally since it is showing on my DOM...

Can't Sierra just forward the calculated price in the DTC message or allow a separate DTC message to get the price Sierra calculated?
As you might understand by now, I'm really in need of obtaining this value :)


Assuming you refer to this:
The following Trade >> Trade Positions Window fields are not supported with this service.

Average Price: Use the Average Price on the Trade Window for this value instead. This value is not used from TT because their calculation method is inconsistent with how Sierra Chart calculates Position Average Price. There are several calculation methods Sierra Chart supports for this value.

[2020-07-19 13:10:49]
User667559 - Posts: 27
Could you be so nice to inject the AveragePrice Sierra has internally into the POSITION_UPDATE message when it comes from TT?
That would be highly appreciated and a life saver for my application :)
[2020-07-24 20:22:53]
DTC Engineering - Posts: 320
We know what you are asking but that is not easily accomplished. This problem will be resolved and the Position Average Price will be provided with the upcoming direct CME order routing that Sierra Chart will be offering later in the year.
Date Time Of Last Edit: 2020-07-24 20:23:08
[2020-07-27 10:14:49]
User667559 - Posts: 27
Does the direct CME order routing require a switch in one of my memberships? Or will it automagically start to work?
[2020-08-05 06:27:25]
DTC Engineering - Posts: 320
No and No. We cannot provide any further details now.
[2020-11-05 17:19:12]
User667559 - Posts: 27
Is there any outlook on this? I'm actually still waiting for this to be fixed! :)

In july, you stated:
"This problem will be resolved and the Position Average Price will be provided with the upcoming direct CME order routing that Sierra Chart will be offering later in the year."
[2020-11-12 03:15:13]
DTC Engineering - Posts: 320
We are getting closer to offering this:
"This problem will be resolved and the Position Average Price will be provided with the upcoming direct CME order routing that Sierra Chart will be offering later in the year."

[2020-12-07 08:29:36]
User667559 - Posts: 27
Is there an ETA on this?
[2020-12-07 20:20:54]
Sierra Chart Engineering - Posts: 104293
We expect in March 2021.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing

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