Broker-Auto-Trade-Preferences-Market-On-Open-Portfolio-Sync

Does this include auto position sizing to match same.options in backtesting?

I don't understand the question, can you give an example?

When backtesting there are numerous position sizing options such as % of equity, (by checking account value after syncing) or the position sizers in the power pack extension that are not available for live trading.

Well I'm glad you mentioned that, because I think we should include that in the portfolio sync options, I'm going to start working on this now.

Thanks! Very excited for this feature! 😊

QUOTE:
Well I'm glad you mentioned that, because I think we should include that in the portfolio sync options, I'm going to start working on this now.

Does this mean I'be able to use Advanced Pos Sizer - Spread Equity Equally when live trading?

Yes but there are some caveats. The Strategy Monitor, in an effort to publish signals as quickly as possibly, can sometimes run the strategy in multiple batches. This means that Advanced Position Sizers that rely on information from the overall backtest, like cash levels and positions from other symbols, might produce inconsistent results. It should work fine for basic Percent of Equity position sizing though.

Maybe we can consider a future feature that forces the SM to wait until all updates are complete before running the strategy, at the potential cost of timelier execution?

You could have that listed as an option check box in the future...

"Force strategy monitor to wait until data updates are complete prior to execution"

As you said, that should only be needed for specific position size options and be at the user's discretion then?

I don't think it's a good idea to wait for "all updates" because some symbols might not update.

The S. Monitor is very fast now, with Streaming it can finish 500 symbols in around 10 seconds. Maybe the option should be wait 15? 20? seconds (user selectable?) for updates to complete before sizing and generating signals.

Totally agreed with Cone. SM's speed of operation should prevail the fancy PosSizers. Reliability and speed is more important.

QUOTE:
Yes but there are some caveats. The Strategy Monitor, in an effort to publish signals as quickly as possibly, can sometimes run the strategy in multiple batches. This means that Advanced Position Sizers that rely on information from the overall backtest, like cash levels and positions from other symbols, might produce inconsistent results. It should work fine for basic Percent of Equity position sizing though.

Maybe we can consider a future feature that forces the SM to wait until all updates are complete before running the strategy, at the potential cost of timelier execution?

I see, you are right.

Something like "wait for n% of symbols" could be a good option for relevant pos sizers, I guess. So you could set something like "wait for 75% symbols and then go", 25% loosers will get nothing or will get default pos sizer, remaining equity or something. It can be a setting for an exact strategy instead of overall setting as some strategy can be more sensitive to execution time, for others executing all symbols is more important.

The thing is equity doesn't change that quickly. Some brokers only calculate and send an update once or twice per minute. When I think about it in those terms, the whole idea to try to pinpoint Equity to size a trade by flooring to a share (which could be hundreds of dollars from the size calculated) just seems ludicrous.

That is where margin comes into play if equity and size of position is off just a little bit, it will eventually catch up unless you are trading tons back and forth per minute on maybe a forex or crypto which, I'd think is a small majority.

This is the only way you can automate an Algo to trade like you backtest. Otherwise what is the point to have percent of equity or all the power pack position size options if we can't try to live trade with them at a users own discretion? Manually having to adjust position size as a percent of equity daily/hourly can be quite cumbersome over time.

QUOTE:
This is the only way you can automate an Algo to trade like you backtest. Otherwise what is the point to have percent of equity or all the power pack position size options if we can't try to live trade with them at a users own discretion? Manually having to adjust position size as a percent of equity daily/hourly can be quite cumbersome over time.

Absolutely!

QUOTE:
The thing is equity doesn't change that quickly. Some brokers only calculate and send an update once or twice per minute. When I think about it in those terms, the whole idea to try to pinpoint Equity to size a trade by flooring to a share (which could be hundreds of dollars from the size calculated) just seems ludicrous.

If you send 101 orders but you have money only for 100 of them it will not lead to no orders executed, it will lead to 1 order not executed. So I don't see problem with this. It's up to trader to understand that things like use 100% equity as a position size can lead to non execution sometimes, but you can easily use 99%, 95% or something.

I'm not disagreeing with the idea that we should be able to trade using live account equity - and this is already in test for Build 18.

The part I disagree with is to delay trading for 45 seconds or more in an attempt to pinpoint account equity that is constantly changing with every trade in the middle of the day. It's a bad idea to delay getting trades to market to size them with 1 share more or less because ticks in 10 other positions changed the intra-minute value of equity.

Q: Which moment in time is exactly the right time to calculate equity sizing?
A: Imho, at the end of the interval - or whatever was last reported by the broker at that time.

@Cone, absolutely, no excuse for 45 sec delay!))