A little clumsy worded, but here is what I am trying to figure out.
I have a symbol in a trade with a diminimus number of shares so I believe either another exit (limit or stop) failed to exit all the shares.
Until I know what strategy was responsible, its a little hard to track down.
I know if I run backtests for each strategy that could have traded the symbol is a way to find it.
My question is this: Is there a way to have WL8 advise me which strategy its associated with (I am assuming its still under strategy control)? Or if my manual way to find out is the best method?
I have a symbol in a trade with a diminimus number of shares so I believe either another exit (limit or stop) failed to exit all the shares.
Until I know what strategy was responsible, its a little hard to track down.
I know if I run backtests for each strategy that could have traded the symbol is a way to find it.
My question is this: Is there a way to have WL8 advise me which strategy its associated with (I am assuming its still under strategy control)? Or if my manual way to find out is the best method?
Rename
Sounds like a feature request for the Order Manager Log to file. Count my vote in
Hmm, can you clarify?
In the Signals for a MetaStrategy there is a column indicating which component Strategy is responsible for the signal.
Are you saying you'd like this information carried over into the Order Manager?
For non-MetaStrategies, the Order Manager already creates a new Signal Block for each Strategy.
In the Signals for a MetaStrategy there is a column indicating which component Strategy is responsible for the signal.
Are you saying you'd like this information carried over into the Order Manager?
For non-MetaStrategies, the Order Manager already creates a new Signal Block for each Strategy.
I see it in OM out to the right under source.
The tracing it backwards challenge comes when they are shown in accounts. But I also know that there could be more than one strategy that fired so you could have a source of multiple strategies in theory.
I typically use either Meta or if i'm looking for something that happened triggered by SM, then I look at strategies one at a time looking at signals and positions to trace it back.
The root of it for me was simply wondering if there is a better way for me to be looking, it's not labor intensive, just takes a little brain power and a couple minutes to do. It's a little subjective because the position has to be less than the equity you are allocating for the strategy.
One other curious note is that the "Exit Orphan Positions at Market" flag is checked, and that does not trigger a close in this case which leads me to believe that it thinks it's under strategy management rather than an orphan.
What I suspect happened is that a limit order was partially filled on the entry side, a second order fired and filled from a different strategy. Second order closed for its number of shares, and then that left the partial fill but now disassociated.
All that is a big guess and a lot of assumptions, and I am usually on the wrong side of assuming. :)
The tracing it backwards challenge comes when they are shown in accounts. But I also know that there could be more than one strategy that fired so you could have a source of multiple strategies in theory.
I typically use either Meta or if i'm looking for something that happened triggered by SM, then I look at strategies one at a time looking at signals and positions to trace it back.
The root of it for me was simply wondering if there is a better way for me to be looking, it's not labor intensive, just takes a little brain power and a couple minutes to do. It's a little subjective because the position has to be less than the equity you are allocating for the strategy.
One other curious note is that the "Exit Orphan Positions at Market" flag is checked, and that does not trigger a close in this case which leads me to believe that it thinks it's under strategy management rather than an orphan.
What I suspect happened is that a limit order was partially filled on the entry side, a second order fired and filled from a different strategy. Second order closed for its number of shares, and then that left the partial fill but now disassociated.
All that is a big guess and a lot of assumptions, and I am usually on the wrong side of assuming. :)
Has this been resolved? I would like to see a file w/ all open positions and which strategy generated the order.
Thank you.
Thank you.
Funny you mention this, I was thinking about this exact thing a few hours ago while I was at the gym.
I plan to resolve it by maintaining a "Strategy Position List" that you'll be able to view and edit. It will automatically record fills and maintain the positions to the best of its ability.
A new Trading Threshold will allow you to stop an exit if the position doesn't exist in this new internal Strategy Position List.
I plan to resolve it by maintaining a "Strategy Position List" that you'll be able to view and edit. It will automatically record fills and maintain the positions to the best of its ability.
A new Trading Threshold will allow you to stop an exit if the position doesn't exist in this new internal Strategy Position List.
If im thinking this through correctly.
That should also allow strategy level entry management across multiple strategies that use the same symbol.
That should also allow strategy level entry management across multiple strategies that use the same symbol.
Yep
Thank you!!!!!!
I'll target this for Build 150 since Build 149 was just now released.
Your Response
Post
Edit Post
Login is required