Strategy Monitor produces less orders than the number of Alerts
Author: mikesblack
Creation Date: 5/16/2016 1:44 PM
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mikesblack

#1
As I run one of my strategies on two of my accounts today I am showing 24 orders per account while the system produces 29 orders. The orders are buy at limit.

In addition, I needed to " run now" many times prior to the trades registering on my orders page at Fidelity. I was able to get some help from one of Fidelity's reps who is familiar with Weathlab today.

Is there something I might need to do differently to make sure I am having the auto trade feature work as expected?

TIA Mike
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Eugene

#2
Your question is missing some crucial elements such as the script, data loading range, and position sizing. Without knowing them it's hard to make suggestions.

1. Make sure they all are identical
2. Check out this important note in the User Guide > Strategy Monitor > Characteristics of the Strategy Monitor > Operational difference between the Strategy Monitor and Backtester
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mikesblack

#3
QUOTE:
script, data loading range, and position sizing
Can you explain further? What are you suggesting I need? I'll read the link. Thanks

I checked the user guide, but was unable to locate "Characteristics of the Strategy Monitor" in my users guide.
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Cone

#4
Characteristics of the Strategy Monitor is in the title chapter for Strategy Monitor.

Generally, if you use Portfolio Simulation sizing in the S. Monitor (not recommended), I'd actually expect more Alerts in the S. Monitor since more hypothetical Positions are likely to become active. Anyway, as Eugene suggested, there's practically no clues to be able to suggest a likely scenario here. Apart from "script, data loading range, and position sizing", check the selected interval and preferred values (if applicable).
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mikesblack

#5
I have set raw positions to $11800 and 1500 bars using daily data. I am usually getting 30 alerts to show from the system. I was successful the past two days.
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mikesblack

#6
I just ran the StrategyMonitor just now. After verifying if the orders were sent on Fidelity.Com it is clear the run didn't work. Do you know if trades can only be put in in the morning, as I had success just before the opens.? Also, have a look at the image. There is an obvious inconsistency of alerts from account... 137 to the output on the screen is from account ...183. Perhaps you may have an explanation ?
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mikesblack

#7
Update. I selected all alerts and "placed order". Seems it worked for both accounts despite the image I just posted.
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Eugene

#8
QUOTE:
There is an obvious inconsistency of alerts from account... 137 to the output on the screen is from account ...183.

Just the opposite: it's correct. 68 alerts in each of the 2 strategies gives perfectly 136 alerts. I just re-read and understood that you're concerned with a different thing:

Have you noticed that "Show Alerts for All Strategies" is enabled?
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Cone

#9
QUOTE:
Do you know if trades can only be put in in the morning
Maybe, maybe not. You can only put in orders up to your buying power. 136 Alerts * $11,800 = $1.6M. If you have $1.6M of buying power, then you can add all the Alerts before the open.

If you don't, you need to use the Quotes tool. Select the Alerts and click "Monitor in Quotes Windows" and allow the Alerts to trigger from there.
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mikesblack

#10
When I select alerts and click "monitor in quotes window" I am only seeing account ... 183, but am not seeing account ''' 137. How can I work around this?
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Cone

#11
You shouldn't have to work around it. If you select all of the Alerts, they will all be passed to the Quotes tool.

If "Show Alerts for All Strategies" is not selected, then you need to click on the Strategy in the upper pane to show its Alerts and then pass them to Quotes.
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mikesblack

#12
Robert. When you describe "click on the strategy in the upper pane to show alerts", where will I find this ? Can you describe this procedure to me once again? Also, are you saying that I can override the limited number of alerts that Fidelity seems to place running this system? e.g using 6 percent is roughly $ 12000.00 per position. Looking over the system over the years, I have not seen more than 15 positions filled at one time, even through the markets large down days during 10/ 2008.
Thanks.
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Cone

#13
The Strategy Monitor is divided into two panes:

The upper pane has the Strategies that you're monitoring. When you click on one of them, it is selected. If the selected Strategy has Alerts, they'll be shown in the Alerts pane...

The lower pane is the Alerts pane. It shows the Alerts (if any) for the Strategy selected in the upper pane.

The Alerts pane has a toolbar attached to the top of it. On the right side of this toolbar, next to the "Help" button, you'll see Show Alerts for all Strategies. If it is enabled, it shows the Alerts for all the Strategies in the upper pane, even if they are not selected/highlighted.
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Eugene

#14
QUOTE:
Also, are you saying that I can override the limited number of alerts that Fidelity seems to place running this system? e.g using 6 percent is roughly $ 12000.00 per position. Looking over the system over the years, I have not seen more than 15 positions filled at one time, even through the markets large down days during 10/ 2008.

Fidelity doesn't have to do with this. What you experience is expected in general: I'm using 100% Equity position sizing and strategy doesn't seem to use all capital and/or there are trades not included due to insufficient capital.
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mikesblack

#15
Robert and Eugene, Thank you for your comments. Robert, I am familiar with what you have written; however as mentioned when I select one of my accounts up above in the Strategies Monitor the lower pane populates the other account. Despite this, both accounts have been receiving alerts as desired. Why am I showing two of the same account even after selecting a particular account with the different account number?
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Eugene

#16
Scroll down the lower view and make sure it collects alerts for both accounts. Uncheck the button to get alerts for the highlighted account only. There's no error.
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mikesblack

#17
I think I understand now. Another issue I have is when implementing my strategy I had 50 alerts; however when implementing it through the Strategy Monitor, I only came up with 45 signals per account. What could be causing this disparity?
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Eugene

#18
See Cone's post #4 above.