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PostPosted: Sun Aug 12, 2007 7:34 pm 
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Joined: Wed Apr 27, 2005 4:41 pm
Posts: 609
Location: Helsinki, Finland
Hi,

is possible to something to the valuation of zero positions in the performance report? The problem arises, when there's a quote with a zero value. OQ then thinks that the position is valued at zero as well. For example a quote might state datetime bid = 0, bidsize = 0, ask = 24.5, asksize = 1. If I happen to have a position at this time, my position is valued at zero, which of course is not true and additionally makes the performance report look strange.

In live trading this will lead to even bigger problems, as the position isn't valued correctly. It could well be that the strategy doesn't behave corretly if the position valuation is totally wrong.

My suggestion is to omit "strange" values. These strange values include 0, 0.01, 10000, 9999, 1000 and 999. At least when it comes to stocks. Typically these values seem to appear around the start and end of the trading day.

BR,
Eelofi


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File comment: Positions valued at zero, can make the performance report unreadable.
Valuation of zero positions in  performance report no 2.gif
Valuation of zero positions in performance report no 2.gif [ 31.79 KiB | Viewed 4585 times ]
File comment: Positions valued at zero, makes the performance at best "choppy".
Valuation of zero positions in  performance report.gif
Valuation of zero positions in performance report.gif [ 29.36 KiB | Viewed 4585 times ]
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PostPosted: Thu Aug 16, 2007 4:25 pm 
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Joined: Sun May 20, 2007 9:09 am
Posts: 351
I also have the same problem. :?:


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PostPosted: Thu Aug 16, 2007 5:52 pm 
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Joined: Wed Apr 27, 2005 4:41 pm
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Location: Helsinki, Finland
Actually the performance report isn't the biggest problem.

As the same is used for position and portfolio valuation, it makes risk management difficult. All of the sudden some of the position are 0 or -something and after that real risk management is impossible.

BR,
Eelofi


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PostPosted: Thu Aug 16, 2007 10:03 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
taken into consideration and will be fixed in the next release. I am not sure about 0.1 100 and other "suggstive" numbers since it's pretty arbitrary, but 0 for sure.

PS. I don't think this is a bug, we just pass everything that comes from a data provider into the system, so that in principle you should blame exchange or your data provider for sending out strange numbers :roll:


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PostPosted: Thu Aug 16, 2007 10:06 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
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I mean this is rather strange. A data provider (which only job is to deliver market data) knows that there are no trades or quotes with zero prices (I can reference a couple of academic books on finance that I studied when I was a PhD :wink: ) and still they send it out.. Whatta :?:


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PostPosted: Thu Aug 16, 2007 10:23 pm 
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Joined: Wed Apr 27, 2005 4:41 pm
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Location: Helsinki, Finland
Zero's are only either side bid or ask, not both.

I guess one solution would be to use the non zero value in valuation. But even this doesn't solve the "strange" prices at 0.1, 999, 1000, 9999 or 10000. Which also create havoc in risk management.

Having a short position valued at 10000 each could give somebody a heart attack... :lol: :lol:


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PostPosted: Thu Aug 16, 2007 10:34 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
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We can think of adding a custom market data filter, but this should go to the underlying framework, since currently it only allows filtering on the Instrument level.


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