Does the strategy monitor utilize weighting when placing orders from an intraday strategy? I have a strategy that utilizes weighting, and it doesn't appear to follow it when compared against the same strategy after (backtested).
Rename
No. If you're trading a Daily strategy with market order entries that need the "weighting" treatment you need to do one of the following:
1. Manual - Use the Strategy Window, sort the orders, and place the signals with the highest priority up to your buying limit.
2. Automatic - Program the Strategy to access the Broker Account Equity (or modify it in the script each day) and remove the excess Signals.
Here's an example of how to prune signals -
https://www.wealth-lab.com/Discussion/How-to-limit-signals-sent-to-C2-8377
Here's how to access a broker account in a Strategy -
https://www.wealth-lab.com/Discussion/Access-Accounts-data-from-broker-programmatically-7914
1. Manual - Use the Strategy Window, sort the orders, and place the signals with the highest priority up to your buying limit.
2. Automatic - Program the Strategy to access the Broker Account Equity (or modify it in the script each day) and remove the excess Signals.
Here's an example of how to prune signals -
https://www.wealth-lab.com/Discussion/How-to-limit-signals-sent-to-C2-8377
Here's how to access a broker account in a Strategy -
https://www.wealth-lab.com/Discussion/Access-Accounts-data-from-broker-programmatically-7914
So there's currently no way for the Strategy Monitor to utilize an intraday strategy and place trades intraday by weight (market orders)? Is there a feature request for this already in place?
"This is the way" - the Automatic way above.
There isn't a request for that specifically, but there is a similar one targeted for the WS Publisher -
https://wealth-lab.com/Discussion/Make-WealthSignals-Publisher-WSP-honor-Transaction-Weight-7937
If there were a Trading Option to "Prune Market Signals by Weight" it could solve both. The idea is to:
1. Identify the Cash and/or Buying Power in the destination account
2. Estimate the addition of Cash/BP for Market Exit Signals
3. Remove signals that would exceed the Cash/BP with the estimate from 2.
There isn't a request for that specifically, but there is a similar one targeted for the WS Publisher -
https://wealth-lab.com/Discussion/Make-WealthSignals-Publisher-WSP-honor-Transaction-Weight-7937
If there were a Trading Option to "Prune Market Signals by Weight" it could solve both. The idea is to:
1. Identify the Cash and/or Buying Power in the destination account
2. Estimate the addition of Cash/BP for Market Exit Signals
3. Remove signals that would exceed the Cash/BP with the estimate from 2.
Thanks Cone. What I am trying to do is have a strategy that buys/sells every 10 minutes - high frequency style - but it uses weighting to determine what symbols to buy and then sell at the next bar. Having to manually trim the signals isn't feasible. The pruning idea would be very beneficial if that could run inside the Strategy Monitor.
Do you have an example of removing the excess signals via code as described in the automatic way above?
The Strategy Monitor can execute a strategy in batches as needed to compensate for lagging symbols and to ensure timely operation. For this reason any kind of weighting dependency is not recommended.
QUOTE:Linked in my first response.
Do you have an example of removing the excess signals via code as described in the automatic way above?
I modified the code today as a test to prune out excess signals (by weight) and it still seems the strategy monitor brings in all trades and executes a random set, rather than by the ones left after pruning. When I prune via backtest everything is in order and is working correctly. Is there something else I need to do in Strategy Monitor?
Because the strategy monitor can use several batches to complete one run, this kind of requirement just won’t always work in the SM.
Got it... so... is there anyway to feasibly live trade an intraday strategy that requires weighting?
unfortunately no
Is this something I can submit as a feature request?
Yes by all means, we can consider making this an option
So, as a follow up question... I created a new system that filters to the top 10 stocks in PreExecute and it appears Strategy Monitor also ignores that for trading. Is there anyway to filter to the top X # of stocks for an intraday strategy to run properly in SM?
No, because like I said the SM might execute the run in one, two, three, four separate backtests, each of which is not connected to the other one(s) at all.
We'd need a #FeatureRequest to change this, to force the SM to not break up the runs in this way. But the downside of that is the SM would have to wait until ALL of the data is available, so it might introduce profound lag into the execution.
We'd need a #FeatureRequest to change this, to force the SM to not break up the runs in this way. But the downside of that is the SM would have to wait until ALL of the data is available, so it might introduce profound lag into the execution.
Understood, thanks. I did submit the feature request for weighting around this. Thanks Glitch.
Your Response
Post
Edit Post
Login is required