I have briefly read the portfolio guide. For running multiple strategies on same instrument is portfolio an alternative or is it better/preferred? Are there benefits or limitations if I just want to execute multiple strategies on same instrument? What automation mode is portfolio considered?
For those who run AA automation, how do I know at a quick glance if my strategy is being automated properly because the strategy match will always be wrong. I have checked the "strategy automation" window but it does not match the live either. I would like to know that the strategy is automating properly.
I guess I can apply the strategies to non-automating chart and check between them. But, how will I know in real-time if there is a mismatch with a particular strategy?
Portfolio vs AA + AA Questions
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Re: Portfolio vs AA + AA Questions
Got a partial answer from scanning Unger's work-- he sums each strategy and see that the total strategy positions match the broker. If a summary field were added per instrument for this then one could check at a glance that total matches all strategies or that the difference is the discretionary position if open.
Speaking of which, it would be good if you add a check/summary in the monitor to see if AGGREGATED strategy position matches account position. So you have it PER SYMBOL and for ALL STRATEGIES. You should aggregated all accounts and strategy summary. If they are different, we know there might be a problem. NT 8 has a "synchronize all strategies" such that it makes the aggregated position of all strategies match the account position.
Speaking of which, it would be good if you add a check/summary in the monitor to see if AGGREGATED strategy position matches account position. So you have it PER SYMBOL and for ALL STRATEGIES. You should aggregated all accounts and strategy summary. If they are different, we know there might be a problem. NT 8 has a "synchronize all strategies" such that it makes the aggregated position of all strategies match the account position.
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Re: Portfolio vs AA + AA Questions
Other options:
(1) Combine all the strategies into a single master on 1 chart. Downsides is that if you use different time periodicity settings then it would require re-coding all strategies to a single standardized time chart. Stops may have to be recoded too.
(2) Use a global variable or output a position file for each sub-strategy. In a master chart running on a lowest periodicity, you check the output changes for the other strategies to compute your net exposure. This would work for any strategy but execution fidelity is limited to the base time of the master. Certain types of day trading strategies with limit orders would only work converted to market. You could add an ID for each base strategy. In the master strategy, you specify which sub-strategies to trade.
(3) It seems most problems have to do with limit order getting filled for strategy/chart but not at broker. Recode all limit orders into market
(4) It seems most problems have to do with limit order getting filled for strategy/chart. Use "Unfilled Strategy Order Replacement" with set to chart to keep unfilled limit orders synchronized?
(5) Use sub accounts for each strategy.
Not really sure... be good to hear form those running AA mode successfully with many strategies on same symbol what the "rules" are. Or given I have portfolio trader if that might be a better/alternative route?
(1) Combine all the strategies into a single master on 1 chart. Downsides is that if you use different time periodicity settings then it would require re-coding all strategies to a single standardized time chart. Stops may have to be recoded too.
(2) Use a global variable or output a position file for each sub-strategy. In a master chart running on a lowest periodicity, you check the output changes for the other strategies to compute your net exposure. This would work for any strategy but execution fidelity is limited to the base time of the master. Certain types of day trading strategies with limit orders would only work converted to market. You could add an ID for each base strategy. In the master strategy, you specify which sub-strategies to trade.
(3) It seems most problems have to do with limit order getting filled for strategy/chart but not at broker. Recode all limit orders into market
(4) It seems most problems have to do with limit order getting filled for strategy/chart. Use "Unfilled Strategy Order Replacement" with set to chart to keep unfilled limit orders synchronized?
(5) Use sub accounts for each strategy.
Not really sure... be good to hear form those running AA mode successfully with many strategies on same symbol what the "rules" are. Or given I have portfolio trader if that might be a better/alternative route?