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ES discrepancy. help explain or debug #105

Open spickering-git opened 6 years ago

spickering-git commented 6 years ago

@alexveden can you please help explain or debug. account ES_SmartCampaign_V5_RelStr_Concept is running campaign ES_SmartCampaign_V5_RelStr_Concept

account SmartCampaign_Diversified_Str_Concept_NO_GC is running campaign SmartCampaign_Diversified_Str_Topselect

For ES they are both running ` '!NEW_US_ES_Longside_Active_Weekly_Calendar_putspread_AlpV1Exp_AtvPsv_ES_ContFut_Long_Strategy_DSP_LowPass__Bullish_Dec_15_Nov_14_2017':{'tag': 'ES_groupN1','product': 'ES'},

'!NEW_US_ES_Longside_Active_Weekly_Calendar_putspread_AlpV1Exp_AtvPsv_ES_ContFut_Long_Strategy_DSP_LPBP_Combination__Bullish_Dec_15_Nov_14_2017':{'tag': 'ES_groupN1','product': 'ES'},

'!NEW_US_ES_Longside_Active_Weekly_Calendar_putspread_AlpV1Exp_AtvPsv_ES_ContFut_Long_Strategy_DSP_LowPass__Bullish_2_Dec_15_Nov_14_2017':{'tag': 'ES_groupN1','product': 'ES'},

'!NEW_US_ES_Longside_Active_Weekly_Calendar_putspread_AlpV1Exp_AtvPsv_ES_ContFut_Long_Strategy_DSP_BandPass__Bullish_2_Dec_15_Nov_14_2017':{'tag': 'ES_groupN1','product': 'ES'},

'ES_ContFut_Long_Strategy_DSP_LPBP_Combination__Bullish_Dec_15_custom_Longside_Active_Risk_Restriction_hedged': { 'tag': 'ES_groupN1','product': 'ES', 'alphas':{ 'ES_ContFut_Long_Strategy_DSP_LPBP_CombinationBullish_Dec_15_custom':1.0, '!NEW_US_ES_Longside_Active_Risk_Restriction_AlpV1Exp_AtvPsv_ES_ContFut_Long_Strategy_DSP_LPBP_CombinationBullish_Dec_15_Nov_14_2017':1.0 } },

'ES_ContFut_Short_Strategy_DSP_LPBP_Combination__Bearish_Dec_15_custom_Shortside_Active_Risk_Restriction_hedged': { 'tag': 'ES_groupN1','product': 'ES', 'alphas':{ 'ES_ContFut_Short_Strategy_DSP_LPBP_CombinationBearish_Dec_15_custom':1.0, '!NEW_US_ES_Shortside_Active_Risk_Restriction_AlpV1Exp_AtvPsv_ES_ContFut_Short_Strategy_DSP_LPBP_CombinationBearish_Dec_15_Nov_14_2017':1.0 } },

'ES_ContFut_Short_Strategy_DSP_LPBP_CombinationBearish_2_Dec_15_custom_Shortside_Active_Risk_Restriction_hedged': { 'tag': 'ES_groupN1','product': 'ES', 'alphas':{ 'ES_ContFut_Short_Strategy_DSP_LPBP_CombinationBearish_2_Dec_15_custom':1.0, '!NEW_US_ES_Shortside_Active_Risk_Restriction_AlpV1Exp_AtvPsv_ES_ContFut_Short_Strategy_DSP_LPBP_Combination__Bearish_2_Dec_15_Nov_14_2017':1.0 } },
` Account ES_SmartCampaign_V5_RelStr_Concept is holding F.EPH18 | 1 C.US.EW4G1828150 | 4 P.US.EW3G1825600 | 0 P.US.EW2H1825600 | 2 P.US.EW1H1826750 | -5 P.US.EW4G1825600 | 4 image

Account SmartCampaign_Diversified_Str_Concept_NO_GC is holding F.EPH18 | 1 C.US.EW4G1828150 | 5 P.US.EW3G1825600 | 0 P.US.EW2H1825600 | 2 P.US.EW1H1826750 | -6 P.US.EW4G1825600 | 4 image has an unprotected leg

alexveden commented 6 years ago

In case if these accounts use the same alpha set, and they have different risk parameters or/and amount of money. Probably it might be the rounding issue. You should analyse raw positions of the smart campaign (without account money management adjustments and rounding) and understand which raw value of the position each leg uses. For example, it would be possible to see raw position of leg A < 0.5 and leg B > 0.5, and the rounding of these numbers will produce position of A = 0, and B = 1 (theoretically).

If @nikolas-joyce can allow tracking a couple of hours of time, I can investigate this issue.