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Position size display bug

Posted By andreas_clenow 3 Years Ago
Posted Wednesday December 17 2014
I just realized there's an odd bug in how the position size is displayed in the system results. At least I'd call it a bug, since it's highly misleading.

Look at the attached screenshot of the Position List tab in the system results. This particular model has a rebalancing mechanism and therefore keeps modifying position size. Sorry for the blurred areas, but this is part of a live trading account.

A reasonable assumption would be that the column Shares should show currently held shares. It appears as if it actually shows initial shares from the first transaction only. Not the net held shares.

The number of shares shown in that column here is 7,838. The actual number of share should be 4,684. It would much more sense for that number to be displayed in the Shares column.
Posted Wednesday December 17 2014
What would you expect it to show for the position size of a closed position?

Posted Thursday December 18 2014
Hm.. For a closed position, it's not as straight forward.

* Initial size.
* Size before closing trade.
* Maximum open size.
* Turnover (sum of all buys).

I can easily see how any of them may cause confusion for some people in some situation. For open positions, clearly the currently open number of shares/contracts would make the most sense. Therefore, I'd vote for having closed positions show last known number of shares before position closure, as this would be constant logic.

Posted Thursday December 25 2014
Most positions will be closed in the simulation results.  So this screen displays the max size of the position, which seems most consistent.  It has basically the same meaning if there are partial fills or if the system scales in or out of positions.

I don't want the number to have an entirely different meaning for positions that are still open.  What would you think of displaying both the max size and the current size for open positions?  What do you think the best way to display both in a single cell would be?

Posted Tuesday December 30 2014
It's not an entirely easy question, as you rightly point out. Two fields would probably be the best, one with max size and the other current size. If you only have one field, I'd say that last known position would make most sense. I.e. current for open positions and size before the closing trade on others. That'd preserve consistency between closed and open positions, I would think.

Of course, if you'd implement a portfolio inspection plugin, the problem is already solved. Smile

Posted Tuesday December 30 2014
What would you think of displaying positions which are open but at sizes less than their max size like this?

4684 / 7838

Or possibly:

7838 (4684)

Posted Wednesday January 07 2015
Seems like a good idea. Better to use () to reduce risks of misunderstanding. The slash could look like a divisor.

Sorry for late reply. Seems like the forum email subscription doesn't work...


Posted Monday April 20 2015
FYI, this was fixed in build 54.  Also, forum email subscriptions should be working now too.

I decided to use a slash as the separator.  To me it says the size is X out of the max size Y, and I thought it was easier to understand the column heading as "Size (Current / Max)".


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