Bug when using Account.Equity

jobenb
09 Oct 2013, 12:29

RE:

jobenb said:

Hi

 

I have a method like so:

 

private int GetVolume()
        {
            return (int)((Account.Equity * 100) * 0.01);
        }

that is called in:

 

 protected override void OnBar()
        {
            if (Trade.IsExecuting)
                return;

            int volume = GetVolume();

 

This result in the robot taking only one trade when backtesting, however if I change the OnBar() to the following it works:

 protected override void OnBar()
        {
            if (Trade.IsExecuting)
                return;

            int volume = 10000;

 

Do you know why? I think it is a bug. I look forward to hear from you.

 

 

It works meaning that it takes more than just one trade. Seems that something gets locked by calling Account.Equity in OnBar()????

Spotware
11 Oct 2013, 12:52

If you like send us the complete code to engage@spotware.com so that we can investigate this.

jobenb
12 Oct 2013, 05:08

RE:

Spotware said:

If you like send us the complete code to engage@spotware.com so that we can investigate this.

Hi

Here is the code. I find cAlgo to be a lot of buggy and with quite a few memory leaks. Please fix it.

// -------------------------------------------------------------------------------
//
//    BrokenRobot version 1 
//
// -------------------------------------------------------------------------------

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

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC)]
    public class BrokenRobot : Robot
    {
        [Parameter("Source")]
        public DataSeries Source { get; set; }

        [Parameter("SlippagePips", DefaultValue = 1, MinValue = 0)]
        public int SlippagePips { get; set; }

        [Parameter("Slow Moving Average Period", DefaultValue = 100, MinValue = 2)]
        public int SlowMovingAveragePeriod { get; set; }

        [Parameter("Fast Moving Average Period", DefaultValue = 20, MinValue = 1)]
        public int FastMovingAveragePeriod { get; set; }

        [Parameter("Slow Moving Average Type")]
        public MovingAverageType SlowMovingAverageType { get; set; }

        [Parameter("Fast Moving Average Type")]
        public MovingAverageType FastMovingAverageType { get; set; }

        private MovingAverage _slowMovingAverage;
        private MovingAverage _fastMovingAverage;
        private Position _position;


        protected override void OnPositionOpened(Position openedPosition)
        {
            _position = openedPosition;
        }

        protected override void OnStart()
        {
            _slowMovingAverage = Indicators.MovingAverage(Source, SlowMovingAveragePeriod, SlowMovingAverageType);
            _fastMovingAverage = Indicators.MovingAverage(Source, FastMovingAveragePeriod, FastMovingAverageType);
        }

        protected override void OnPositionClosed(Position position)
        {
            _position = null;
        }

        protected override void OnTick()
        {

        }

        protected override void OnBar()
        {
            if (Trade.IsExecuting)
                return;

            // This does not work
            int volume = GetVolume();

            // This works
            //int volume = 10000;

            int lastSlowIndex = _slowMovingAverage.Result.Count - 2;
            int prevSlowIndex = _slowMovingAverage.Result.Count - 3;

            int lastFastIndex = _fastMovingAverage.Result.Count - 2;
            int prevFastIndex = _fastMovingAverage.Result.Count - 3;

            double currentSlowMa = _slowMovingAverage.Result[lastSlowIndex];
            double currentFastMa = _fastMovingAverage.Result[lastFastIndex];

            double previousSlowMa = _slowMovingAverage.Result[prevSlowIndex];
            double previousFastMa = _fastMovingAverage.Result[prevFastIndex];

            bool isLongPositionLastOpened = _position != null && _position.TradeType == TradeType.Buy;
            bool isShortPositionLastOpened = _position != null && _position.TradeType == TradeType.Sell;

            if (currentFastMa > currentSlowMa && previousFastMa <= previousSlowMa && !isLongPositionLastOpened)
            {
                Trade.Send(new MarketOrderRequest(TradeType.Buy, volume) 
                {
                    Label = "r1",
                    SlippagePips = SlippagePips
                });

                Trade.ModifyPosition(_position, Symbol.Bid - 20 * Symbol.PointSize, Symbol.Bid + 20 * Symbol.PointSize);
            }

            if (currentFastMa < currentSlowMa && previousFastMa >= previousSlowMa && !isShortPositionLastOpened)
            {
                Trade.Send(new MarketOrderRequest(TradeType.Sell, volume) 
                {
                    Label = "r1",
                    SlippagePips = SlippagePips
                });

                Trade.ModifyPosition(_position, Symbol.Bid + 20 * Symbol.PointSize, Symbol.Bid - 20 * Symbol.PointSize);
            }
        }

        private int GetVolume()
        {
            return (int)((Account.Equity * 100) * 0.01);
        }
    }
}

jobenb
12 Oct 2013, 05:13

RE: RE:

jobenb said:

Spotware said:

If you like send us the complete code to engage@spotware.com so that we can investigate this.

Hi

Here is the code. I find cAlgo to be a lot of buggy and with quite a few memory leaks. Please fix it.

 

// -------------------------------------------------------------------------------
//
//    BrokenRobot version 1 
//
// -------------------------------------------------------------------------------

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

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC)]
    public class BrokenRobot : Robot
    {
        [Parameter("Source")]
        public DataSeries Source { get; set; }

        [Parameter("SlippagePips", DefaultValue = 1, MinValue = 0)]
        public int SlippagePips { get; set; }

        [Parameter("Slow Moving Average Period", DefaultValue = 100, MinValue = 2)]
        public int SlowMovingAveragePeriod { get; set; }

        [Parameter("Fast Moving Average Period", DefaultValue = 20, MinValue = 1)]
        public int FastMovingAveragePeriod { get; set; }

        [Parameter("Slow Moving Average Type")]
        public MovingAverageType SlowMovingAverageType { get; set; }

        [Parameter("Fast Moving Average Type")]
        public MovingAverageType FastMovingAverageType { get; set; }

        private MovingAverage _slowMovingAverage;
        private MovingAverage _fastMovingAverage;
        private Position _position;


        protected override void OnPositionOpened(Position openedPosition)
        {
            _position = openedPosition;
        }

        protected override void OnStart()
        {
            _slowMovingAverage = Indicators.MovingAverage(Source, SlowMovingAveragePeriod, SlowMovingAverageType);
            _fastMovingAverage = Indicators.MovingAverage(Source, FastMovingAveragePeriod, FastMovingAverageType);
        }

        protected override void OnPositionClosed(Position position)
        {
            _position = null;
        }

        protected override void OnTick()
        {

        }

        protected override void OnBar()
        {
            if (Trade.IsExecuting)
                return;

            // This does not work
            int volume = GetVolume();

            // This works
            //int volume = 10000;

            int lastSlowIndex = _slowMovingAverage.Result.Count - 2;
            int prevSlowIndex = _slowMovingAverage.Result.Count - 3;

            int lastFastIndex = _fastMovingAverage.Result.Count - 2;
            int prevFastIndex = _fastMovingAverage.Result.Count - 3;

            double currentSlowMa = _slowMovingAverage.Result[lastSlowIndex];
            double currentFastMa = _fastMovingAverage.Result[lastFastIndex];

            double previousSlowMa = _slowMovingAverage.Result[prevSlowIndex];
            double previousFastMa = _fastMovingAverage.Result[prevFastIndex];

            bool isLongPositionLastOpened = _position != null && _position.TradeType == TradeType.Buy;
            bool isShortPositionLastOpened = _position != null && _position.TradeType == TradeType.Sell;

            if (currentFastMa > currentSlowMa && previousFastMa <= previousSlowMa && !isLongPositionLastOpened)
            {
                Trade.Send(new MarketOrderRequest(TradeType.Buy, volume) 
                {
                    Label = "r1",
                    SlippagePips = SlippagePips
                });

                Trade.ModifyPosition(_position, Symbol.Bid - 20 * Symbol.PointSize, Symbol.Bid + 20 * Symbol.PointSize);
            }

            if (currentFastMa < currentSlowMa && previousFastMa >= previousSlowMa && !isShortPositionLastOpened)
            {
                Trade.Send(new MarketOrderRequest(TradeType.Sell, volume) 
                {
                    Label = "r1",
                    SlippagePips = SlippagePips
                });

                Trade.ModifyPosition(_position, Symbol.Bid + 20 * Symbol.PointSize, Symbol.Bid - 20 * Symbol.PointSize);
            }
        }

        private int GetVolume()
        {
            return (int)((Account.Equity * 100) * 0.01);
        }
    }
}

Also using Account.Balance instead of Account.Equity produces a similar outcome. To me it seems as a thread locking issue.

Spotware
14 Oct 2013, 10:28

Volume needs to be rounded to 1000.

private int GetVolume()
{
    return ((int)(Account.Equity * 0.001) * 1000);
}

jobenb
14 Oct 2013, 14:46

RE:

Spotware said:

Volume needs to be rounded to 1000.

private int GetVolume()
{
    return ((int)(Account.Equity * 0.001) * 1000);
}

 

Excellent! Thank you! :-)