Luke’s Progress Journal

[Nick Radge]

Use “Export Displayed Reports” and ensure you use the filters to get the right trades for the right day.

If you still have troubles, book a time with me and we’ll run over it with TeamViewer

[CAIHuang]

I had a false start with the initial account balance of my paper trading account and my TWS account balance etc. So I reset the paper trading account and have now sussed it out with help from share trade tracker.

One minor issue though. I spoke with Nick a few weeks back about TWS and from memory to close a trade I right click on the position in my portfolio tab and then click ‘close’. I did this yesterday before the US market open and I checked my TWS this morning and it seems the position is still open. The position still appears to be showing in my portfolio although there is not data in the bid and ask columns yet every other trade has data displayed in those columns. The trade summary tab also only shows one trade for last nights session which was a buy order, the sell is not shown.
Not sure what the deal is.

Note: WST was the position I closed before last nights session.

[ScottMcNab]

often looks confusing …if in doubt right click the portfolio tab and click “clear zero position rows”

[CAIHuang]

I just did it. Still showing WST as a position. But i definitely close it last night.
I right clicked then pressed ‘close’. I take it that’s how you would close a single position?
Unless I need to click ‘transmit’ as well, which I didn’t last night. Still very new to TWS.

[CAIHuang]

It would be the fact that I didn’t click transmit. What an idiot!
Saw the order pop up to sell once i clicked ‘close’ assumed that the order would be in the system after clicking close.

[JulianCohen]

Luke Aram wrote:

It would be the fact that I didn’t click transmit. What an idiot!
Saw the order pop up to sell once i clicked ‘close’ assumed that the order would be in the system after clicking close.

A good way to learn is to cock it up
As long as you only make the same mistake once!

Glad you sorted it out

[CAIHuang]

So on Friday night I got a fill on my paper trading account for a US equity. The fill was at the very low of the day. Although I didn’t get the fill on my amibroker system when back testing or performing explorations.
Has this happened to other ppl quite often?
Is it anything to worry about?
When trading my paper account and running my amibroker system and back testing side by side is it expected that results will diverge slightly with positions that fill in the paper account but don’t in the amibroker simulated account?

[LeeDanello]

The paper account is only for testing executions. I’ve had some fills on my paper account at prices that didnt even trade ie sells below the low of the day.

Maybe include this in your code

Said Bitar wrote:

I used to have the same problem it is the way the limit order calculated so it is fracture of cent lower than the low of the day.
this is why it is showing not filled in AB.

try this
ATRVal = Prec(ATR(10)* 0.75,2);

There might be another bit of code posted by Said. I’m sure Trent or maybe Julian might be able to locate it.

https://edu.thechartist.com.au/Forum/amibroker-coding-and-afl/263-amibroker-not-picking-up-trades.html

[CAIHuang]

How are people tracking their deviation from their simulated systems?

I am getting variances with just about every buy and fill which I guess is expected? Not a huge variance though.

For a total of 9 closed trades the net % profit difference is:
operating code comparison – 1.7%
monte carlo code comparison – 1.37%

I guess compounding those variances over a year would add up to quite a bit of a performance difference. Is this in the realm of what others are experiencing? Every trade has suffered adversely from slippage with the greatest differential being 0.54%

Cheers

[Nick Radge]

Much of the issue is the sim account I’m assuming.

The ONLY time you should get variances on fills is if its the exact low of the day on the entry limit.

[CAIHuang]

Definitely more reassuring if it’s just the sim.

Cheers

[JulianCohen]

I found the Sim to be very unreliable for anything except checking that your systems, API and execution models work. Fills are not reliable at all.

Best way to check that sort of thing is probably to test with 10% of your equity and go live for a wee while.

[CAIHuang]

Yeh it is a bit annoying but it’s only sim I guess. Still wanting to iron out any cracks and hoping positions aren’t missed.

My amibroker system had a fill for GPN @ 91.205 last night. The low of the sessions was 91.16 yet my sim account didn’t pick any up. That has been the only trade that my sim account has completely missed from the amibroker account. But thought I should have had a fill for that trade. It’s not like the fill was at the low of the day.

[Nick Radge]

Check time and sales in TWS. It may have been an off market trade or other.

[CAIHuang]

Hey Nick,

It didn’t activate the trade in TWS for paper account but it did for my system in Amibroker. Was just a bit confused as in the past the TWS paper account has picked up a trade that the Amibroker system didn’t. But I guess that’s just the issue with the IB paper account and nothing to really stress over.

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