Malfunctioning of C2 again

Hi Matthew and Francis,

On July 26 I reported here several cases of malfunctioning and Francis replied that it was caused by the new beta TS8 interface which Matthew supposedly had fixed over the weekend. Now problems are piling up again:

For the system “Rainier” C2 shows 4 fills of limit orders, 3 sales and 1 buy, the execution of those fills in my account by TB were delayed by a long time, for SYMC 5 minutes, from what is shown as the execution time on C2. I have on TB the box “Convert limit orders to market orders when C2 reports a fill” set to 0 seconds - shouldn’t I get filled immediately after C2 reports a fill?

The total resulting negative slippage caused by these delays was about $430. Previously TB/IB has worked just fine with “Rainier”. Is the new software causing the problem? Please fix, if these things continue I would have to stop trading certain systems. - Karl

Hi, Karl,

The trades you had in system Rainier has nothing to do with our new TradeStation interface. Rainier does not use the new TradeStation interface.

As far as the specific trade you mention, SYMC, the system entered a sell limit price of 13.05. This price was just ticked, but not traded through. Not a single C2 AutoTrader was a lucky enough to actually get the fill in their real account. For this reason, we did not recognize that the fill had occurred right away (keep in mind that we are not a real stock market; we can watch for fills on a frequent, periodic basis – but a delayed basis; or we can be told about fills instantly by our AutoTrader’s brokerage accounts). Unless a real-life autotrader fills a limit order (and neither you or various subscribers were lucky enough to get the fill) then we might recognize the fill late – in this case, a few minutes late. When we do recognize it, we convert you to a market order so that you can stay in sync with the system.

While we try to do everything possible to minimize fill-recognition delays,there still are some, specifically when limit orders do not trade through the limit price.

We’ll try to work on continuing to improve the simulation algorithm, but there’s no magic bullet here, and this type of performance, although unfortunate, is not outside expectations.

Hi Matthe and Francis,

I appreciate your paying attention to this problem, however, I still don’t understand what I consider the main point of my question. You say:

"Unless a real-life autotrader fills a limit order (and neither you or various subscribers were lucky enough to get the fill) then we might recognize the fill late – in this case, a few minutes late. When we do recognize it, we convert you to a market order so that you can stay in sync with the system. "

If I see on the system page that a certain order has been filled at a certain time does that not mean C2 has recognized that fill at that time. And if I have set TB that limit orders are converted to market orders immediately when C2 recognizes a fill should I not get filled at the same time? Is my checking of that box in TB completely meaningless?

In addition, if I and other subscribers get filled 5 minutes later than what it shown on C2 and the market has moved substantially during that time than the performance data shown on C2 are very much different than real life results.

As I said in my previous post, if no subscriber fills a limit order because it is “just touched” and does not trade through, then it is theoretically possible that C2 may “recognize” the fill up to several minutes late. If that happens – hopefully rarely, by the way – then the fill data reported by C2 will be adjusted to reflect the actual slippage that real subscribers actually receive in their accounts because of this belatedly recognized fill. It’s not a perfect solution, Karl, but it’s the best we can do when limit orders do not trade through.

Ok, so we have to settle then that the fill times C2 shows on the system page are not the C2 "recognized" fill times. Is that correct?

It also seems that the Friday fill prices for "Rainier" have not been adjusted yet since they differ from the fill prices I received via TB/IB. I also notice that when you click for that system "Show AutoTrade Data" nothing comes up even though I have been auto trading this system for a long time.

Actually, Karl, the prices have already been adjusted and incorporated real AutoTrade data. Several subscribers actually filled at more favorable prices; you filled at a less favorable price.

Karl, I realize I didn’t answer your other question. We use real-life fill prices from reported AutoTrade execution data in order to determine the hypothetical fills you see for AutoTraded systems. (Standard warnings apply here: even though real brokerage executions are used as the basis for these prices, these results must still be considered hypothetical because no single account exactly traded as per displayed results.) For the default hypothetical track record you see when you go to a system page on the site, we use both Gen1 and Gen3 AutoTrading executions to determine fill prices for the system track record.

However, when you click the “Show AutoTrade” button, that shows only data from Gen3 AutoTrading software. If you don’t see the button available it means there are currently no Gen3 AutoTraders of the system.

Matthew, I appreciate your dealing with my questions right away. Please be assured that I do not question the integrity of C2 or imply that anybody wants to manipulate results. The questions regarding limit orders have come up many times and I thought some clarification would be of interest to many here. In this particular case all 4 limit orders had long time delays and suffered substantial slippage so I thought it is a good time to bring it up. Of course, it is possible that in all 4 cases the price was just touched and it took a while for C2 to recognize them as fills and hopefully this will be a rare occasion.

As I have stated on this forum many times before, I very much respect and appreciate what you have created here and look forward to continued and even greater success of C2. - Karl

Thanks, Karl. And now that you have said those nice words, I must sheepishly confess publicly (as I did in a private email to you) that – contrary to what I insisted three forum posts ago – the fill results had not yet been adjusted for Friday’s AutoTrade data, but now I have manually run the adjustment program, and the fills do in fact now incorporate all reported fill data. Sorry.