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Direct MessagesDate/Time: Mon, 29 Apr 2024 11:46:27 +0000
LMAX backtest profit/loss calculation
View Count: 1655
| [2015-01-19 12:45:41] |
| Entropy - Posts: 36 |
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I am backtesting on 5 min bars on LMAX data. As far as I have understood 10 lots in SC equals 1 standard lot in LMAX (100 000 currency units). I opened a demo account (just to make sure) on LMAX and 10 lots equals 1 standard contract (100 000 currency units), which I assume is the same as yours. However when I backtest, it doesn't seem to calculate it properly. Below is some of trades executed: Symbol Trade Type Entry DateTime Exit DateTime Avg Entry Price Avg Exit Price Entry Quantity Exit Quantity Max Open Quantity Profit/Loss Cum P/L Runup Drawdown Max Open Profit Max Open Loss Entry Efficiency Exit Efficiency Total Efficiency Commission
[Sim]GBPUSD Short 2014-03-26 03:40:00 2014-03-26 03:55:00 1.65342 1.65330 10 10 10 1.20 1.20 2.65 -1.00 2.65 -1.00 72.60% 60.27% 32.88% 0.00 [Sim]GBPUSD Short 2014-03-26 07:45:00 2014-03-26 08:30:00 1.65217 1.65398 10 10 10 -18.10 -16.90 2.00 -35.60 2.00 -35.60 5.32% 46.54% -48.14% 0.00 [Sim]GBPUSD Long 2014-03-26 08:35:00 2014-03-26 08:40:00 1.65370 1.65389 10 10 10 1.90 -15.00 2.70 -0.80 2.70 -0.80 77.14% 77.14% 54.29% 0.00 [Sim]GBPUSD Long 2014-03-26 08:50:00 2014-03-26 09:10:00 1.65317 1.65357 10 10 10 4.00 -11.00 6.90 -6.15 6.90 -6.15 52.87% 77.78% 30.65% 0.00 [Sim]GBPUSD Long 2014-03-26 09:25:00 2014-03-26 09:40:00 1.65326 1.65311 10 10 10 -1.50 -12.50 1.40 -7.00 1.40 -7.00 16.67% 65.48% -17.86% 0.00 [Sim]GBPUSD Long 2014-03-26 13:05:00 2014-03-26 13:10:00 1.65404 1.65485 10 10 10 8.10 -4.40 10.60 -1.00 10.60 -1.00 91.38% 78.45% 69.83% 0.00 [Sim]GBPUSD Long 2014-03-26 15:25:00 2014-03-26 15:30:00 1.65593 1.65623 10 10 10 3.00 -1.40 5.25 -0.85 5.25 -0.85 86.07% 63.11% 49.18% 0.00 [Sim]GBPUSD Long 2014-03-26 15:35:00 2014-03-26 15:45:00 1.65575 1.65615 10 10 10 4.00 2.60 4.80 -1.00 4.80 -1.00 82.76% 86.21% 68.97% 0.00 [Sim]GBPUSD Long 2014-03-26 16:35:00 2014-03-26 17:05:00 1.65662 1.65630 10 10 10 -3.20 -0.60 1.35 -9.55 1.35 -9.55 12.39% 58.26% -29.36% 0.00 Taking the first trade, the profit/loss is reported as 1.2 pips or 1.20 currency units with 10 lots. If 10 lots in SC equals 100 000 currency units the profit/loss with 10 lots should be 12.0 currency units, not 1.20. I probably have missed something here, so please explain what is wrong. Thanks! Cheers |
| [2015-01-19 23:25:10] |
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We are not quite sure why this is not correct because we do remember making some corrections to the Currency Value per Tick settings for LMAX symbols. We are fixing this now and we are going to be updating all of them according to LMAX specifications. The should all be done by morning. At that time update symbol settings as explained here: https://www.sierrachart.com/index.php?page=doc/doc_GlobalSymbolSettings.php#UpdateSettings Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-01-23 13:50:34] |
| Entropy - Posts: 36 |
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I updated the Global Symbols. Something is still wrong here. That includes manually entered orders as well. Did you look into this?
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| [2015-01-23 16:57:36] |
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Restart Sierra Chart. If you still have a problem, are you referring to the same issue and what is one of the symbols you have a problem with? Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-01-23 16:58:38
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| [2015-01-23 18:41:40] |
| Entropy - Posts: 36 |
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I trade 10 lots, which equals 1 standard lot (100 000 currency units) in LMAX, which means 1 pip equals 10 currency units. The screen shot below shows a trade I made in EUR/AUD. I lost 1.8 pips (-0.00018), but the DPL shows -0.00180, which is wrong. http://www.sierrachart.com/image.php?l=1422037833313.png Attached is a similar trade in LMAX Web Trader, which is correct. I might be wrong, perhaps I haven't understood what you are really measuring with the DPL. Cheers |
 LMAXWebTrader.jpg / V - Attached On 2015-01-23 18:38:47 UTC - Size: 11.64 KB - 394 views |
| [2015-01-23 19:58:39] |
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You are understanding everything correctly. This was our mistake. We had thought that the task to update the currency value per tick for all Forex pairs for LMAX was done but it has not yet been completed. We have now updated EUR/AUD. The easiest thing to do is just restart Sierra Chart to get the updated symbol settings. The other symbols will be updated by Monday morning. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-01-23 20:01:44] |
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In addition to what we said above, we also realize due to the Symbol Settings changes, that you need to follow the procedure here to apply the new settings to the charts: https://www.sierrachart.com/index.php?page=doc/doc_GlobalSymbolSettings.php#UpdateChartSettingsSteps And actually, it is easy enough for you to temporarily change the Currency Value Per Tick in Chart >> Chart Settings >> Advanced Settings 2 to the correct value until we correct it on in our side. For reference, here are the symbol settings that we work from: http://www.lmax.com/doc/LMAX-Instruments.csv Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-01-23 20:07:09
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| [2015-01-24 09:47:27] |
| Entropy - Posts: 36 |
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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
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| LMAXOrderConf.jpg / V - Attached On 2015-01-24 10:20:33 UTC - Size: 45.9 KB - 417 views |
| [2015-01-24 21:11:03] |
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Using AUDUSD as an example, what is the smallest number of currency units which can be traded on LMAX?
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-01-24 21:39:28] |
| Entropy - Posts: 36 |
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On the LMAX Web Trader it's 10 000 currency units, which equals 1 LMAX lot. There are no fractional lots on LMAX Web Trader. I can't imagine FIX would be different. Cheers |
| [2015-01-25 21:48:28] |
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What you say does make sense although the problem with this: In any case you should change it so that 1 SC lot is equal to 1 LMAX lot and so forth.
Is that if we change this, it would mean therefore that when someone enters a quantity of 10 which they are used to, they are going to end up with 10 times the quantity.When the interface to LMAX was programmed, we did need to add support for fractional lots. Possibly this was supported back then but not anymore. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-01-25 21:54:16] |
| Entropy - Posts: 36 |
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I understand. However, the problem with the DPL being calculated wrongly still remains. I don't know if this is related to the fractional contracts or just a matter of changing the Symbol settings. I still haven't been able to correct it 100%. Cheers Date Time Of Last Edit: 2015-01-25 22:08:07
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| [2015-01-26 01:09:04] |
| AndyL - Posts: 119 |
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There still are fractional lots on Lmax. 23.5 on the webplatform is 235K units, for example. In my opinion, the way SC does it (1 = 1000 units) is fine. Date Time Of Last Edit: 2015-01-26 01:11:19
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| [2015-01-26 10:41:49] |
| Entropy - Posts: 36 |
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@AndyL: You are right - I didn't notice since you have to put it in manually if you want fractional lots. I have now also checked MT4 (to make sure), which does support fractional lots. Anyway, the problem with the DPL still remains, it's not calculating correctly. Cheers |
| [2015-01-26 17:28:08] |
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We will work on the Daily Profit/Loss issue for LMAX.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-01-29 09:26:21] |
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This settings for GBPUSD should now be correct. Update the symbol settings following these instructions https://www.sierrachart.com/index.php?page=doc/doc_GlobalSymbolSettings.php#UpdateSettings Apply them to the chart following these instructions https://www.sierrachart.com/index.php?page=doc/doc_GlobalSymbolSettings.php#UpdateChartSettingsSteps Let us know if the calculations are correct and we will update the other settings. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2015-01-29 11:44:42] |
| Entropy - Posts: 36 |
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I will check with the LMAX reports and come back. Cheers |
| [2015-01-29 11:53:30] |
| Carl71 - Posts: 125 |
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I am considering LMAX to trade indicies The German 30 for example has a notional of 1/10 of the eurex future contract What quantity (lots) I must insert in SC to trade it? Please see the attached images Date Time Of Last Edit: 2015-01-29 12:01:31
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| [2015-01-29 17:46:38] |
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In Sierra Chart you would enter a quantity of 10 to equal an LMAX quantity of 1.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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