Incorrect position metrics using MMExitPosition within MM script

Incorrect position metrics using MMExitPosition within MM script

Dave Walton
2013-07-23 05:13:03

I'm getting very different values in OnClosePosition than I get when I look at the trade information after the simulation is done. The values are off by quite a bit and it is wreaking havoc on calculations. It becomes obvious when I simply add a trade metric to show the profit from within OnClosePosition; it is very different than the default Profit metric in the table of trades.

Here is the code for reference.

MMExitPosition pos = Functions.GetPositionDetails();
Functions.AddTradeMetric("pos.Profit", pos.Profit);

The value for the metric above is very different from the Profit metric, sometimes not even close. Please advise what is going on.

Dave Walton
2013-07-23 17:22:54

Upon further investigation, it appears that the values in OnClosePosition are the values at the time the exit signal is received, but not necessarily the time when the position is actually closed (depending on simulation settings). So the difference seems to be that my system sell setting is to sell on the close tomorrow. So the profit shown in OnClosePosition is not correct because the position is not sold until tomorrow.

So I believe I need to add the trade metrics in OnEndPeriod using:
Portfolio.GetClosedPositions(Divers.CurrentDate);

Will this always give me the final profit per position?

QuantShare
2013-07-23 19:18:32

Best Answer

Your understanding is correct.
You can use the "GetClosedPositions" function to retrieve positions and calculate the profit for each trade.

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