ModifyPosition API 3.0 Backtesting

PanagiotisCharalampous
16 Jul 2018, 14:48

Hi Daniele,

The entry price of a position does not change if you close a part of it. If for example you open a EURUSD position of €10k at 1.10, when you close €5k it doesn't change the fact that the remaining €5k have been entered at 1.10.

Best Regards,

Panagiotis

protradefx
26 Jul 2018, 21:36 ( Updated at: 21 Dec 2023, 09:20 )

ModifyPosition API 3.01 Backtesting

Hi,

I have moved to 3.01 and still i guess there are some issues with change in position volume (ModifyPosition API). Here is my understanding so far after some tests, please confirm to better understand the logic behind.

1. EntryPrice on a positionis is actually the vwap of the position. EntryPrice is updated every time there is a change in volume (positive/negative). 
2. If I decrease the volume of an open position when the position NetProfit > 0 I should expect a positive pnl (ex for buy position is pnl = (Symbol.BidPrice - EntryPrice) * Volume) and negatie otherwise

Please see below, there are many (Sell) position  closed with a negaive pnl even though the delta pips is negative (therefore I shoud expect a positive pnl). Buy Position are ok instead.

PanagiotisCharalampous
27 Jul 2018, 09:51

Hi Daniele.

1. Entry price is increased only when you increase the size of the positions, thus adding new new deals to the position at different entry prices. When you close deals, entry price is not affected.
2. True.
3. From a first sight at the screenshot, there seems to be an issue. Can you please send me a cBot and backtesting parameters so that I can reproduce and investigate?

Best Regards,

Panagiotis

protradefx
30 Jul 2018, 23:11

Hi,

probably the issue is now under investigation (https://ctrader.com/forum/whats-new/13492?page=1#8) by the way here is the bug I was referring too.

using System;
using System.Linq;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using cAlgo.Indicators;

namespace cAlgo
{

    //this is an example on how margin is calculated, Precondition for testing is open at leas one position
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class Test_PosiionSize : Robot
    {
        protected override void OnStart()
        {

        }


        protected override void OnBar()
        {
            var pos = this.Positions.Find("root");

            //take profit
            if (pos != null && pos.Pips > 5)
            {
                double vol_released = this.Symbol.NormalizeVolumeInUnits(pos.VolumeInUnits * 0.1);
                if (vol_released > this.Symbol.VolumeInUnitsMin)
                {
                    TradeResult tr = pos.ModifyVolume(pos.VolumeInUnits - vol_released);
                    var last = this.History[this.History.Count - 1];
                    if (last.NetProfit < 0)
                    {
                        Print("##error: last closed position should have a positive pnl: {0}", last.NetProfit);
                        this.Stop();
                    }
                }
            }


            if (this.Positions.Count == 0)
            {
                this.ExecuteMarketOrder(TradeType.Sell, this.Symbol, this.Symbol.VolumeInUnitsMin, "root");
            }
            else
            {
                if (pos.Pips < 0)
                {
                    double vol_delta = this.Symbol.NormalizeVolumeInUnits(this.Account.FreeMargin * 0.01 * this.Account.PreciseLeverage);
                    if (vol_delta > this.Symbol.VolumeInUnitsMin)
                    {
                        TradeResult tr = pos.ModifyVolume(pos.VolumeInUnits + vol_delta);
                    }

                }

            }

        }

    }

}

PanagiotisCharalampous
23 Aug 2018, 15:03

Hi Daniele,

We have released an update today that should have fixed this issue.

Best Regards,

Panagiotis