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Warning on Broker / Bar statistics account balance after overfill

Posted By rgeisse 2 Years Ago

Warning on Broker / Bar statistics account balance after overfill

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Posted Saturday November 21 2015
I'm currently testing a hedging approach, where each day the effective long/short exposure is hedged by shorting/buying SPY. If the effective exposure changes from long to short due to some new sell any short orders, then an position reversal (overfill) might happen. For me, this is fine as it should work with IB also.

Example output:
A Sell order (43: Market On Open Sell SPY  5/5 - Filled) with a size of 5 was filled on position ID 19 with a size of 2.    SPY    Position Manager    13.03.2002 00:00:00

But after these overfills, I often receive a warning (backtest, not live):
Broker account balance: 194163,095669118  Bar statistics account balance: 194162,095669119  Date: 12.03.2002 00:00:00            13.03.2002 00:00:00

I'm not yet sure if it hurts, but what can I do to avoid this warning?

Ralf



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