Observing a mismatch of the side/action of imported trades from IB in a trade history strategy. "Buy" is read as "Cover". Didn't test shorts yet.
Could this please be investigated?
Could this please be investigated?
Rename
Yes, thanks for the report.
It appears that IB changed the format somewhat, but we can adapt to make it more flexible.
It appears that IB changed the format somewhat, but we can adapt to make it more flexible.
IB Provider Build 40 is ready with the trade parser fix.
Hey Cone,
observing another bug if the quantity reaches 4 digits (separated by a comma). Quantity becomes only the first digit, and the execution price becomes the last 3 digits of the quantity. I also dropped you a message on Discord.
observing another bug if the quantity reaches 4 digits (separated by a comma). Quantity becomes only the first digit, and the execution price becomes the last 3 digits of the quantity. I also dropped you a message on Discord.
Okay, thanks. I'll look into that.
(I think only Glitch monitors Discord.)
(I think only Glitch monitors Discord.)
Fixed for the next IB Provider update (47) -
And IB Build 47 is available. How's that for turn-around?
Quantity readout seems to work!
But it looks like all trades in the backtest are shifted by one trading day, the readout of the parser is correct though.
But it looks like all trades in the backtest are shifted by one trading day, the readout of the parser is correct though.
Since the Trade data have a non-zero timestamp, they'll sync to the next trading day for Daily data. If you run with 30-Minute bars, for example, they'll sync correctly.
Thanks for the observation. We'll have to make an adjustment for that!
Thanks for the observation. We'll have to make an adjustment for that!
When running the backtest in <Daily scale, I unfortunately get the "Could not load Backtest Data in this Scale/Range" error.
Then what is the Backtest data and the scale and range?
An image of the Strategy Settings, Symbol/DataSource, Historical Providers, .etc. would be good to know.
An image of the Strategy Settings, Symbol/DataSource, Historical Providers, .etc. would be good to know.
The backtest data is set to SPY, for which I have no <Daily data.
Is this mandatory to map the trade history on the right trading days in the backtest?
Is this mandatory to map the trade history on the right trading days in the backtest?
WL8 comes with the WealthData Provider which can provide daily SPY data.
You’ll at least need to select a symbol and a benchmark symbol for which you can get daily data.
You’ll at least need to select a symbol and a benchmark symbol for which you can get daily data.
<Daily = smaller than Daily :-)
QUOTE:
they'll sync to the next trading day for Daily data. If you run with 30-Minute bars, for example, they'll sync correctly.
Do you have any intraday data? If so you could change the symbol to one for which you have data.
I don't have intraday data for 30+ years, and it feels like a strange solution, because logically there is no need for intraday data here. Both the backtest (trade history) and benchmark data are Daily (intraday timestamps of trade history could be ignored). There is a sync problem as mentioned above. Would appreciate another solution for this (just shift all trades by one trading day if Data Scale is Daily?).
Don't worry. It's solved for Build 88.
Does IB supply trade histories for 30 years back?
Does IB supply trade histories for 30 years back?
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