Automatic Alert Scaling via WealthSignals Suggestion
Author: DartboardTrader
Creation Date: 2/26/2013 12:09 PM
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DartboardTrader

#1
WealthSignals alerts do -not- scale to the latest closing WS Trading system account equity.

This is an inconvenience, since it requires locking down the portfolio simulation parameters, so the trade alert position sizes are accurate to the destination system account equity.

Further, changing/testing portfolio backtest parameters potentially creates a set of alerts that may not match the current destination system account position sizes.
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DartboardTrader

#2
I find myself matching orders to position sizes each morning. Other system developers also appear to be encountering this.

As of today, WLP treats each position as a separate entity in the ActivePositions list.

A means to match an open position to a closing order is important. Each trade could be assigned a unique, reproducible ID based on the inputs which created the position (one suggestion for this unique identifier may be a concatenation of the EntrySignal and Date/Time of the bar which the order was created/submitted.) This unique, reproducible ID would be submitted with all orders, as long as developers keep the SignalName reproducibly unique). To 'hide' the SignalName and date/time, an encrypted or signed version of the value/string might be submitted via the WealthSignals interface. WealthSignals would match the above suggested identifier to what exists in the WS Trading system account and then warn the developer when the position sizes mis-match (or a potential partial-fill occurred). Then, a mapping of positions to orders can be displayed to the system developer, to verify whether any positions still require a closing order.

This would allow system developers to focus less on order vs position synchronization, since the order initiating the position will be matched to the respective closing order for that position.