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Date/Time: Wed, 15 May 2024 22:31:13 +0000

Post From: LMAX backtest profit/loss calculation

[2015-01-24 09:47:27] Link To Thread - Link To Post [Go To First Post]
Entropy - Posts: 36
I have been comparing LMAX order data with SC and it seems like there are discrepancies. You state in the documentation that 1 SC lot is equal to 0.1 LMAX lot. Well, looking through the trade confirmations from LMAX, 1 LMAX lot is equal to 10 000 currency units or in other words there is no 0.1 LMAX lot (1000 currency units). 1 LMAX lot is 10 000 currency units (confirmed by the LMAX Web Trader). 10 LMAX lots is 1 standard lot or 100 000 currency units. Perhaps LMAX has changed this recently. In any case you should change it so that 1 SC lot is equal to 1 LMAX lot and so forth. Attached is a trade confirmation from LMAX. I have used 10 SC lots which shows as 1 LMAX lot. It should be 10 SC lots equals 10 LMAX lots (100 000 currency units). In LMAX Web Trader 1 lot equals 10 000 currency units. I assume it should be the same for the FIX implementation, although I might be wrong. I would be grateful if you could confirm this. I have a feeling this is related to the issue with the DPL. Cheers Date Time Of Last Edit: 2015-01-24 10:26:22


LMAXOrderConf.jpg / V - Attached On 2015-01-24 10:20:33 UTC - Size: 45.9 KB - 420 views