Detailed discussions in this thread https://wealth-lab.com/Discussion/Exit-order-confusion-in-Strategy-Manager-12188
The current trading preference of using live position, if enabled, might try to size and exit the positions in the broker account that are not belong to the same strategy. This poses some difficulties to trade overlapping universes in the same account. For example, trading a trend following strategy and a MR strategy at the same time on Nasdaq100. The current suggestion (see in the above thread) is either not do this in the same account or use fixed dollar amount size and do manual adjustment.
An enhancement is to have a new trading preference option to calculate which positions to exit and what sizes to exit based on order fill/execution information reported by the broker. Since orders are tied to strategies, this way WL will be able to issue the correct exit orders for each strategy.
The current trading preference of using live position, if enabled, might try to size and exit the positions in the broker account that are not belong to the same strategy. This poses some difficulties to trade overlapping universes in the same account. For example, trading a trend following strategy and a MR strategy at the same time on Nasdaq100. The current suggestion (see in the above thread) is either not do this in the same account or use fixed dollar amount size and do manual adjustment.
An enhancement is to have a new trading preference option to calculate which positions to exit and what sizes to exit based on order fill/execution information reported by the broker. Since orders are tied to strategies, this way WL will be able to issue the correct exit orders for each strategy.
Rename
Could the admin help update the title? It's a little confusing since I missed a word "preference" b/w trading and option... I'm unable to edit it. Thanks.
I'm able to generate a csv file similar to the following each day after market close using a script. It shows the live positions per strategy per account as of the time the script is run. Is that possible to take such a file as input to act as live positions for strategies so sell signals could be generated accurately? Not sure about other brokers but with IB this is easy to generate and maintain automatically or manually.
CODE:
date,account,strategy,ticker,shares 2025-02-20,ACCT5,Strategy-A,TTD,52.0 2025-02-20,ACCT5,Strategy-B,PLTR,45.0 2025-02-20,ACCT5,Strategy-B,MAR,15.0 2025-02-20,ACCT5,Strategy-B,ABNB,35.0 2025-02-20,ACCT5,Strategy-B,META,8.0 2025-02-20,ACCT5,Strategy-C,META,6.0 2025-02-20,ACCT5,Strategy-B,DASH,25.0 2025-02-20,ACCT5,manual,IBKR,9.8765 2025-02-20,ACCT5,manual,NVDA,100.0 2025-02-20,ACCT5,Strategy-B,APP,13.0 2025-02-20,ACCT5,manual,VIX,-5.0 2025-02-20,ACCT5,Strategy-B,CTSH,65.0 2025-02-20,ACCT5,Strategy-A,EA,35.0 2025-02-20,ACCT5,Strategy-B,AXON,9.0 2025-02-20,ACCT5,Strategy-C,AXON,8.0 2025-02-20,ACCT5,Strategy-A,DDOG,30.0 2025-02-20,ACCT5,Strategy-B,CRWD,14.0 2025-02-20,ACCT5,Strategy-C,AVGO,22.0 2025-02-20,ACCT5,Strategy-B,COST,6.0 2025-02-20,ACCT5,Strategy-C,TEAM,20.0 2025-02-20,ACCT5,Strategy-A,LULU,12.0 2025-02-21,ACCT5,Strategy-A,TTD,52.0 2025-02-21,ACCT5,Strategy-B,PLTR,45.0 2025-02-21,ACCT5,Strategy-B,MAR,15.0 2025-02-21,ACCT5,Strategy-B,ABNB,35.0 2025-02-21,ACCT5,Strategy-B,META,8.0 2025-02-21,ACCT5,Strategy-C,META,6.0 2025-02-21,ACCT5,Strategy-B,DASH,25.0 2025-02-21,ACCT5,manual,IBKR,9.8765 2025-02-21,ACCT5,manual,NVDA,100.0 2025-02-21,ACCT5,Strategy-B,APP,13.0 2025-02-21,ACCT5,manual,VIX,-5.0 2025-02-21,ACCT5,Strategy-B,CTSH,65.0 2025-02-21,ACCT5,Strategy-B,AXON,9.0 2025-02-21,ACCT5,Strategy-C,AXON,8.0 2025-02-21,ACCT5,Strategy-A,DDOG,30.0 2025-02-21,ACCT5,Strategy-B,CRWD,14.0 2025-02-21,ACCT5,Strategy-C,AVGO,22.0 2025-02-21,ACCT5,Strategy-B,COST,6.0 2025-02-21,ACCT5,Strategy-C,TEAM,20.0 2025-02-21,ACCT5,Strategy-A,LULU,12.0 2025-02-21,ACCT5,Strategy-C,ARM,35.0 2025-02-21,ACCT5,Strategy-A,AMZN,20.0
Those who are able can do this themselves. We have to make solutions that work for a dozen (and more) brokers.
It's a lot easier on an individual level (but the devil is in the details). Just read your file and set the Transaction.Quantity for the exit signal to any size you want. WealthLab won't interfere with that.
It's a lot easier on an individual level (but the devil is in the details). Just read your file and set the Transaction.Quantity for the exit signal to any size you want. WealthLab won't interfere with that.
QUOTE:
Those who are able can do this themselves. We have to make solutions that work for a dozen (and more) brokers.
Since WL is able to track order status and get positions from brokers it integrate so my understanding is that this can be done for most brokers if not all? Just get order fill events (different names on different brokers) and update the 'virtual' positions for strategies and keep it rolling.
QUOTE:
Just read your file, and set the Transaction.Quantity for the exit signal to any size you want. WealthLab won't interfere with that.
That's something I'm going to try. However without framework support I have to convert all my block strategies to code and add code to support this. Any other ways for me to implement this without changing every strategy? And how can I inject such position info in code only for live trading?
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