Support Board
Date/Time: Fri, 27 Dec 2024 01:03:59 +0000
issue with s_SCPositionData::MaximumOpenPositionLoss
View Count: 933
| [2016-03-21 10:57:55] |
| T29_Dev1 - Posts: 22 |
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Parameter MaximumOpenPositionLoss contains an incorrect value (I think so) after partial closing order. I printed out MaximumOpenPositionLoss and MaximumOpenPositionProfit values (deleted repeated strings): //Buy 4 lots MaximumOpenPositionLoss 0.000000, MaximumOpenPositionProfit 0.000000 MaximumOpenPositionLoss -50.000000, MaximumOpenPositionProfit 50.000000 MaximumOpenPositionLoss -50.000000, MaximumOpenPositionProfit 100.000000 MaximumOpenPositionLoss -50.000000, MaximumOpenPositionProfit 150.000000 MaximumOpenPositionLoss -50.000000, MaximumOpenPositionProfit 250.000000 MaximumOpenPositionLoss -50.000000, MaximumOpenPositionProfit 300.000000 MaximumOpenPositionLoss -50.000000, MaximumOpenPositionProfit 350.000000 //Sell 1 lot MaximumOpenPositionLoss 0.000000, MaximumOpenPositionProfit 0.000000 MaximumOpenPositionLoss -225.000000, MaximumOpenPositionProfit 225.000000 MaximumOpenPositionLoss -225.000000, MaximumOpenPositionProfit 300.000000 MaximumOpenPositionLoss -225.000000, MaximumOpenPositionProfit 337.500000 MaximumOpenPositionLoss -225.000000, MaximumOpenPositionProfit 375.000000 MaximumOpenPositionLoss -225.000000, MaximumOpenPositionProfit 412.500000 notice that after selling MaximumOpenPositionLoss = -MaximumOpenPositionProfit, and if the price goes to fill price of order, MaximumOpenPositionLoss can decrease to zero. |
| [2016-03-21 19:10:11] |
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We see no evidence that MaximumOpenPositionLoss is decreasing to zero with what you showed and as the documentation says, MaximumOpenPositionLoss/Profit are reset on a fill. Refer to the documentation here: https://www.sierrachart.com/index.php?page=doc/doc_ACSILTrading.html#s_SCPositionData Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-03-21 19:10:33
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| [2016-03-21 19:11:35] |
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However, we will see if there is a problem causing these two values to be the same without regard to the sign: MaximumOpenPositionLoss -50.000000, MaximumOpenPositionProfit 50.000000 Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-03-21 19:45:20] |
| T29_Dev1 - Posts: 22 |
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Thanks for your answer, just noticed that I read description for s_ACSTradeStatistics::MaximumOpenPositionLoss and didn't see a comment about reset, my mistake. about "MaximumOpenPositionLoss -50.000000, MaximumOpenPositionProfit 50.000000" - I think it was too big speed of replay and there should be something like "MaximumOpenPositionLoss 0.000000, MaximumOpenPositionProfit 50.000000" before it. I can't understand why after partial closing MaximumOpenPositionLoss = -MaximumOpenPositionProfit, and then it can be decreased this is a log when MaximumOpenPositionLoss is decreasing: //buy 4 lots //... MaximumOpenPositionLoss -50.000000, MaximumOpenPositionProfit 1200.000000 MaximumOpenPositionLoss -50.000000, MaximumOpenPositionProfit 1300.000000 // sell 1 lot MaximumOpenPositionLoss 0.000000, MaximumOpenPositionProfit 0.000000 MaximumOpenPositionLoss -900.000000, MaximumOpenPositionProfit 975.000000 MaximumOpenPositionLoss -900.000000, MaximumOpenPositionProfit 1012.500000 MaximumOpenPositionLoss -900.000000, MaximumOpenPositionProfit 1050.000000 MaximumOpenPositionLoss -862.500000, MaximumOpenPositionProfit 1050.000000 MaximumOpenPositionLoss -825.000000, MaximumOpenPositionProfit 1050.000000 MaximumOpenPositionLoss -787.500000, MaximumOpenPositionProfit 1050.000000 MaximumOpenPositionLoss -750.000000, MaximumOpenPositionProfit 1050.000000 MaximumOpenPositionLoss -712.500000, MaximumOpenPositionProfit 1050.000000 |
| [2016-03-21 22:46:03] |
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When you notice the Maximum Open Position Loss decrease, is there a change in position quantity during that time? We assume this is occurring during simulated trading? Does it occur during a back test? Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-03-22 20:44:32
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| [2016-03-22 14:04:04] |
| T29_Dev1 - Posts: 22 |
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When you notice the Maximum Open Position Loss decrease, is there a change in position quantity during that time? no, position quantity is not changed. I tested it on replay chart, and I got the same results for Standard Replay and Accurate Trading System Back Test Mode. |
| [2016-03-23 04:55:34] |
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We will have to do some testing. Please allow one week.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-03-31 03:50:48] |
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We think we see the reason for this and we are making some changes to prevent it. This will be out in the next release. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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