- ago
I’m currently working on strategies like dip-buyers. Much money are frozen waiting the order to be executed. I want this process to be optimized. One of the ideas is to set the order size according to how many orders are sent at a time. So, if my capital is 10000 and I send 10 order each can be 1000, but if I send 2 orders each can be as much as 5000. I don’t send order for every ticker on every candle as I have some filters, applied for the ticker on the certain candle.

So, the main idea is to know how many orders are sent or a going to be sent at the exact moment. I’m trying to find an optimal way of doing this. Much appreciate if you help me with that.

My current ideas about implementing it:

As filter is a Boolean statement, I can override it as a Boolean timeseries, where single Boolean value is filters[idx], than I can save all the timeseries for every symbol-filter combination to global collection. And I can look at this data in Execute() to learn how many signals are going to be on this candle. This way looks too difficult and time-consuming.

Maybe I can do something like this? - After all signals are generated I can look at the collection and according to this information to override Quantity properties? I’m not asking about new features, but about the way I can operate within current functionality.
0
127
Solved
13 Answers

Reply

Bookmark

Sort
- ago
#1
QUOTE:
One of the ideas is to set the order size according to how many orders are sent at a time.

Which reminds me that we've got the "Equal Exposure (Spread Equity Equally)" PosSizer in the PowerPack:
https://www.wealth-lab.com/extension/detail/PowerPack

But the Wealth-Lab solution for your case is the Quotes window. Have you explored? It's designed with Strategies in mind which generate a lot of Limit/Stop orders than your buying power could allow to execute at a time.
0
Best Answer
- ago
#2
Thanks Eugene, I'll look closer to both of your suggestions.

Quotes window - yes, I've explored one. I would like a bit more control over the proces, e.g. number of signals can vary a lot, so I'll use not the whole strategy capital in one cases and will decrese execution liklihood in other cases.

And using Quotes window logic does not let the orders to be executed sometimes because sometimes the price moves too fast)).
0
- ago
#3
QUOTE:
Which reminds me that we've got the "Equal Exposure (Spread Equity Equally)" PosSizer in the PowerPack


Thanks! It looks like that's it).
1
- ago
#4
I can use "Equal Exposure (Spread Equity Equally)" PosSizer only for backtesting (but not for live trading), can't I.
0
- ago
#5
My impression is that you should be able to use it for live trading. Is your experience different?
0
- ago
#6
I'm almost sure I saw some other pos sizers before, but I can only see "Fixed value" and "Shares/contracts" options now. I'm talking about strategies setting, Strategy Monitor window.
0
- ago
#7
Yes that's right, for live trading only Fixed Quantity and Fixed Size are currently supported. The other options are too dependent on factors like backtest starting date that it makes little sense to allow them for live trading. In a future release, we'll tie in some new options that will allow you to size trading position based on your actual account value.

For now, my technique is to use Fixed Size and just make sure I set the correct size every day before I get started.
0
- ago
#8
Thanks, Glitch.

Could you please read my initial post. What is the best option for live trading for me now, I think setting fixed size is not an option as the size depends on a number of signals generated by the strategy.

Maybe the best option is to wait for the "Equal Exposure (Spread Equity Equally)" PosSizer implementation?) Or is it something of a distant future?
0
- ago
#9
There’s no good option for this right now in live trading. To achieve this we’d need to make a change to allow PositionSizers to work in live trading.
1
- ago
#10
QUOTE:
I'm almost sure I saw some other pos sizers before, but I can only see "Fixed value" and "Shares/contracts" options now. I'm talking about strategies setting, Strategy Monitor window.

Speaking of the Strategy Monitor, it's true. It was decided that the PosSizer support should be pulled out. However, you can still choose the Advanced PosSizer option with streaming Strategy charts.
0
- ago
#11
QUOTE:
It was decided that the PosSizer support should be pulled out.


Do you mean it's the reason why it's not there or it's about why it will not be there? I mean - is it a decision that was made after Glitch's previous comment?
0
- ago
#12
I got distracted while preparing the answer, leaving the browser open and posted when your conversation with Dion has happened. "Pulled out" is just a different way of saying that the Adv.PosSizer option isn't supported currently in said context.
1
- ago
#13
I had an idea, we could add a new Trading Preference to allow the remaining position size methods. This way more advanced users could activate them if desired. And, I wouldn’t want to make that part of Expert Mode because I don’t want people to be forced into Expert Mode just to access functionality.
2

Reply

Bookmark

Sort