In the Order and Position Tracking window I can see a nonlinear change in the Open P/L compared to the Strategy Open P/L. For an example, ZS shows 0 for the strategy open P/L and -2.90 (brokerage) for the open P/L. As the price changes, the strategy open P/L shows +50 and the open P/L shows +51.23 where it should be +50 minus the brokerage. It works in reverse as the strategy open P/L shows a loss, for example -37.5, the open P/L shows -43.52. So there's a growth factor on the open P/L rather than a negative offset equal to the value of the brokerage.
The big point value, min move and price scale are consistent between the ASCII data and the live data.
This appears to be the case for all the the commodities I'm trading. Any idea what's going on here?
Strategy open P/L & Open P/L not correlated correctly
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Re: Strategy open P/L & Open P/L not correlated correctly
Maybe difference is the slippage and transactions costs which are set in the strategy settings.
Also calculation of the P&L can be done on ask and bid instead of last traded price, and this can also give some difference.
Also calculation of the P&L can be done on ask and bid instead of last traded price, and this can also give some difference.
Re: Strategy open P/L & Open P/L not correlated correctly
I'm not sure this is what he wants to hear. Please correct me if I'm wrong, but we are talking about Soybeans. So tick value is $12.50 and full point value is $50. This means if he has a position for one contract for $2.90 exe-fee there are following P/L-steps only no matter what it is bid/ask/last price related :Maybe difference is the slippage and transactions costs which are set in the strategy settings.
Also calculation of the P&L can be done on ask and bid instead of last traded price, and this can also give some difference.
loss in $: -2.90 / -15.40 / -27.90 / -40.40 / -52.90 / -65.40 / -77.90 etc.
profit in $: 9.60 / 22.10 / 34.60 / 47.10 / 59.60 / 72.10 / 84.60 etc.
As the strategy shows the correct P/L compared to the correct tick value I call it a correct symbol setting/setup. So there must be a reason in the fee calculation .... Are brokerage fees calculated half- or roundturn in MC ? Is the brokerage fee also impacted (by mistake) by the symbol setup/setting ?
Re: Strategy open P/L & Open P/L not correlated correctly
I don't think it's a slippage calculation issue or adding the exit brokerage because if the strategy is showing a profit the open p/l is showing a larger profit, and increasingly larger with respect to each tick not larger by a fixed value. When the strategy is showing a loss it is open p/l is showing a larger loss and increasingly larger with respect to each tick. for an example Soybeans shows the following:
Strat P/L____Open P/L___Difference
-$37.5______-$43.45____-$6.02
-$25.0______-$29.98____-$4.98
-$12.5______-$16.44____-$3.44
$0_________-$2.90_____-$2.90
$50.0_______$51.23_____$1.23
$62.0_______$64.75_____$2.75
The difference should always be -$2.90 which is the brokerage. I am observing this behavior on all instruments.
Strat P/L____Open P/L___Difference
-$37.5______-$43.45____-$6.02
-$25.0______-$29.98____-$4.98
-$12.5______-$16.44____-$3.44
$0_________-$2.90_____-$2.90
$50.0_______$51.23_____$1.23
$62.0_______$64.75_____$2.75
The difference should always be -$2.90 which is the brokerage. I am observing this behavior on all instruments.