OmniTrader Forum : OmniTrader Technical Support : ATM PortSim taking multiple concurrent positions

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OmniTrader Upgrade Forums OmniTrader Technical Support ATM PortSim taking multiple concurrent positions		Last Activity 4/11/2024 9:21 PM 2 replies, 595 viewings

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Location: Olathe, KS

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Subject : ATM PortSim taking multiple concurrent positions
Posted : 3/10/2023 11:10 AM
Post #48807

I am testing an ATM Method using multiple versions of a strategy with a Debit Spread Tradeplan. Each strategy is assigned to a different market state. All market states are identical (no criteria) and ATM is set for concurrent market states, top-down selection process. The best performing strategy version is placed in the top market state and worst performing in the bottom state.

The problem is that some symbols are being allocated twice, once for each market state strategy. This is typically on consecutive days depending on how the strategies fire. Here is an example:

The second thing I've encountered is only one half of the spread showing as filled. I have no clue why this might happen. I thought it might be a glitch related to bumping up against available equity, but allocation was not even close to that at any point.

I've just started to live trade this method to a GXPaper account to see how it works and I had a position in ENPH from yesterday. Today ATM selected this symbol again under a different strategy as described above. However, AutoTrade did not (could not, I presume) take the additional position. You can see the fresh AT trade signal even though I am already in ENPH.

So this is not an issue for live trading but clearly can skew PortSim results. Any ideas on how to address these issues? Is this a bug we can get fixed?

[Edited by SJ on 3/10/2023 11:22 AM]

Attached file : Double order.png (48KB - 288 downloads)

Attached file : Repeat ATM Trade.png (2KB - 290 downloads)

Attached file : Double order and Missing Leg.png (31KB - 260 downloads)

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Subject : RE: ATM PortSim taking multiple concurrent positio
Posted : 3/10/2023 3:57 PM
Post #48808 - In reply to #48807

OK, so I decided to see if I could work around this by ditching concurrent market states. I combined three strategies into one market state. This means I can't designate different allocations to each one, but wanted to review the results anyway. Well, to my surprise, it is still happening. Just a single market state, 3 strats. I found multiple double entries like this one:

[Edited by SJ on 3/10/2023 4:00 PM]

Attached file : Double order not concurrent.png (36KB - 267 downloads)

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Barry Cohen

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Subject : RE: ATM PortSim taking multiple concurrent positio
Posted : 3/16/2023 4:52 PM
Post #48813 - In reply to #48808

It should not allow multiple trades on the same symbol to be taken at the same time, so there's definitely at least one bug there. OT will certainly not allow it in live trading, so AutoTrade will not allow that to happen as you witnessed.

It looks like ATM received some enhancements since the last time we had a method using options, which has been some time ago. I will report it, but in the meantime here's a work around that should work better. In each market state of your ATM method, select this Use Portfolio Simulation setting instead of the other 2 settings.

Attached file : PortSimSetting.jpg (17KB - 252 downloads)

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