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trendmanagement / Tmqr-framework-2

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anomolies in the campaign reports for V1 futures plus risk reversals #58

Open nikolas-joyce opened 7 years ago

nikolas-joyce commented 7 years ago

i a cannot explain why i am seeing -1 in the position record for the V2 hedge legs in the following position reports. https://10.0.1.2:8888/notebooks/campaign_management/Campaign_Bidirectional_ZN_ContFut_DSP%20for%20production_Sep7.ipynb

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i believe these should only take on positive values as outlined in the campaign_exposure list? image

thx

alexveden commented 7 years ago

Can you check if hedge direction is properly set in alpha deployment notebook?

Like: https://10.0.1.2:8889/notebooks/alphas/Alpha%20V1%20Risk%20Reversal%20Hedge-ES-Multi%20V2%20Indexes.ipynb

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