Support Board
Date/Time: Mon, 21 Apr 2025 14:02:32 +0000
Post From: ACSIL Custom OCO
| [2025-03-10 04:07:51] |
| Gradient - Posts: 121 |
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Thanks. You helped identify an error. So this normalization is specifically for the ES contract. Logic was to divide the Open PnL by the contract value (eg. ES is $50 per point) to get the value per point which would still be in dollar terms and then divide that by the tick size to get the amount of ticks moved. For example, if Open PnL in ES is $500 we would divide this by $50 to get 10 points. We could then divide this 10pts by 0.25 (i.e. ES tick value) to get 40 ticks The error is that this computation doesn't generalize. It only assumes that we are trading one lots. The correction is to: $500 (open pnl) / $50 (point value)= 10 (number of points) 10 (number of points)/ X (the number of lots traded)= Y (points per lot) Y (points per lot) / 0.25 (tick value) = number of ticks for given lot size. I will implement this fix and retest, but checking the logs, the system was trying to generate the orders. (see attached) |
Attachment Deleted.  Custom OCO Troubleshooting.png / V - Attached On 2025-03-10 04:05:54 UTC - Size: 95.18 KB - 22 views |