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John J

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Joined: 8/3/2010
Location: Leduc, AB

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Subject : RE: Model data discrepancies
Posted : 10/4/2018 3:27 PM
Post #45539 - In reply to #45524

Hi Barry

I was too quick with the previous reply. In the example above different strategies were used together with the TP from Credit Magic (unchanged). Regardless of the strategy being used, how are the model data being calculated, and why does it differ from the Equity Trades Report?

Anyhow, below screenshot (Equity Trades Report) is from the long/short version of Credit Magic (see attached). I picked a Baker Hughes (BHGE) trade, opened on 1/19/18 and closed on 1/24/18. According to the report, both the long and the short leg happened to be profitable(?).

BHGE prices from the Option Grid:
1/18/18
C36 - $1.79
C35 - $2.21

1/19/18
C36 - $1.72
C35 - $2.15

1/23/18
C36 - $2.25
C35 - $2.76

1/24/18
C36 - $1.22
C35 - $1.58

Entry prices according to the Equity Trades Report:
1/19/18
C36 - $1.55 (on the low side)
C35 - $1.95 (on the low side)

Exit prices according to the Equity Trades Report:
1/24/18
C36 - $2.22 (seems like this price was taken around the High (Open) of the trading session?)
C35 - $1.42 (seems like this price was taken around the Low (Close) of the trading session?)

This is obviously not realistic given that the TP is set to trade both legs on one order ticket (multi-leg order).








[Edited by John J on 10/4/2018 4:00 PM]

Attached file : Capture.JPG (24KB - 666 downloads)
Attached file : Credit Magic LS.ots (668KB - 374 downloads)

Deleting message 45539 : RE: Model data discrepancies


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