Trades not included due to insufficient simulated capital or selected PosSizer
Author: wbzhang
Creation Date: 7/7/2011 3:15 PM
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wbzhang

#1
This problem has bothered me for a long time. Most of my strategies use my self-defined PosSizers.
I get above "Trades not included .." error frequently. Sometimes this is because the PosSizer returns a larger number of shares than it should be, but sometimes I feel really hard to understand.

For example, my position sizer return N shares, the trades happened with no problems. But if I return N/2 shares, the trade is not included because of above error. That's very strange, since N/2 shares obviously need less money.

In some cases, I have 100% cash, but trades are not executed successfully. That's also very strange.

Do you know how to track these kind of problems? Specifically, anyway to view these "not included" trades? I tried a lot and cannot think of more ideas.
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Eugene

#2
Try Visual Studio debugger. Set a breakpoint in SizePosition(), step through the code, and quickly you'll see where you're making a mistake.
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