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Direct MessagesDate/Time: Sat, 18 May 2024 09:27:28 +0000
Post From: LIFO /FIFO fill matching problem in REPLAY
| [2018-10-13 16:11:04] |
| User884307 - Posts: 173 |
|
Hi, Okay can I take a big step back because I fear the situation is going to go into an alternate scientific viewpoint if not an alternate reality :-// Let me just explain what LIFO is meant to do and of which Sierra Charts does very well indeed (upto version 1810). I have a fear that you have gone way too scientific on the whole thing and made something really simple become a monster with lots of numbers trying to justify something that doesnt have to be...... (AS ABOVE!!) Example of LIFO (and as long as your science of going from A to B derive at the same conclusion then Brilliant, we have LIFO working again!) Assuming Daily and running P/L are zero at start and trading ES front month (not that that really matters), also not relevant how order is filled (i.e. market or limit) I (A)BUY 10 @ 2773.00 ..... the market moves down to 2772.00 at this point the position is showing running P/L -500 I then (B)BUY 10 @ 2772.00 ..... the market moves up a tick to 2772.25 of which I SELL 10 @ this price (B) ... This (B) to (B) LIFO is complete and proved profitable ........ MY DAILY P/L now shows +125 (AS IT IS MEANT TO DO USING LIFO ORDER MATCHING)!!!!!!!! MY RUNNING P/L is now showing a running loss (of -375 at 2772.25) on the original 10 bought back at 2773.00 (A) Lets assume the market now moves up to 2773.50, my running P/L now will be showing +250 and my Daily P/L will already have +125 from the last completed LIFO trade (B)(B) I decide to (A) SELL 10 @ 2773.50 which gives me a profit of +250 on the ORIGINAL trade at 2773.00 we started off with (A). This (A) to (A) LIFO is now complete and also proved profitable I am now FLAT with a total profit on the two trades of +375 The sequence of this LIFO therefore is (A)BUY ------> {(B)BUY ------> (B)SELL .. profit} ------> (A)SELL {profit} ------> FLAT Simply look at version 1810 using LIFO and if you can duplicate that using your "NEW" way of doing things and end up with the correct numbers then happy days I reckon!!! Cheers |