Exported Order Format Question + Sim Execution Bug

Market data, Trading, Technical support, Features requests, etc
latnemele
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Exported Order Format Question + Sim Execution Bug

Post by latnemele » Sun Nov 01, 2020 3:56 pm

I ran into 2 issues with the latest Linux bookmap build on delayed dxfeed CME data:

1) trading bug - I turned on bracketed orders for the /ES:XCME product (4 stoploss, 10 take profit). It worked fine on delayed dxFeed data. An alert on the top left showed that the data was delayed by 36 hours. I left my PC on, the next morning, the data was still updating. An alert on the top left showed that the data was delayed by 49 hours, not sure if that's significant but I want to give you as much debug info as possible.
Image

EDIT: I forgot to mention that in addition to the delayed data alert, I also got a popup saying that there has been a critical bookmap error. I clicked to report it and continued using bookmap without restarting it. Maybe this could have caused the issue.

Then after I tried entering a bracketed order it immediately hit the take profit bracket, even though the price hadn't reached that level. I repeated the same thing 10-15 times. Every time bookmap detected that the profit goal was hit even though in reality the price wasn't anywhere near that.

I removed the trading panel, added it again and reset it's settings then bracket orders worked fine.
I'm a software developer, my intuition tells me that Bookmap wasn't handling the delayed data properly. That's why I mentioned the difference in delay times (36hours vs 49 hours.)

I've exported the order log and the data feed, let me know if you want me to send them to you.

2) order log - here's a link to the log: https://pastebin.com/raw/nu7pWjxk
I don't understand why all the NaN values show up. Could you explain that to me? For example the first order send event in the log:
S,20201101,025231,0.823208559,54,/ES:XCME@DXFEED,1,NaN,NaN,0,1
shows an ES order with size 1, but the price level is NaN, and the order type is NaN what does that mean?

Finally what do the last 2 numbers mean in the order send log? They're not documented here: https://www.bookmap.com/knowledgebase/d ... dersFormat

AndreyR
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Re: Exported Order Format Question + Sim Execution Bug

Post by AndreyR » Mon Nov 02, 2020 11:39 am

Hi latnemele,
1) yes, there is a bug in simulation trading (wrong price level). It is on our buglist already. 
2) 

Code: Select all

S,20201101,025231,0.823208559,54,/ES:XCME@DXFEED,1,NaN,NaN,0,1
[type, date, time HHmmss, subsecond, orderId, alias, isBid, limitPrice, stopPrice, stopTriggered, size]
stopTriggered (1 for triggered, 0 for not-triggered)

If limitPrice and stopPrice are both NaN it means you have sent a Market order.

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