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OptionTrader
Options and Port Sim
Last Activity 7/5/2018 1:02 PM
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Mel

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Subject : Options and Port Sim
Posted : 7/12/2016 12:05 PM
Post #37244

When I upgraded to OT 3E, the Port Sim changed, and no longer seemed to compute the value of an option trade correctly, forgetting to multiple the gain by 100 for each contract. I waited to see if Option trader 4 fixes that, but it does not.

This makes all the calculations not work right. Unless there is a new way of configuring things, I think there is a bug.

Mel
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Barry Cohen

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Subject : RE: Options and Port Sim
Posted : 7/12/2016 12:45 PM
Post #37245 - In reply to #37244

That was broken before & fixed in 3E. For example, before 3E, Port Sim would display a trade size for an option trade 1200 for the quantity. Now it displays 12 (12 contracts).
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Mel

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Subject : RE: Options and Port Sim
Posted : 7/12/2016 2:08 PM
Post #37246 - In reply to #37244

Doesn't look right to me. My largest trade, according to PS, netted $24 dollars - see the attached PS image.

In the Trades image, that was ABMD, in which I bought 2 contracts for $3.45 each, sold them for 15.31 each. That's 11.86 profit a contract, 23.72 total, and times 100 shares, it should be a $2372 profit.

Mel

[Edited by Mel on 7/13/2016 7:41 AM]

Attached file : PS_ 07-12-16 at 03.01 PM.PNG (6KB - 81 downloads)

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Mel

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Subject : RE: Options and Port Sim
Posted : 7/12/2016 2:10 PM
Post #37247 - In reply to #37246

here's the other image
Attached file : Trades_ 07-12-16 at 03.00 PM.PNG (16KB - 71 downloads)

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Mel

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Subject : RE: Options and Port Sim
Posted : 7/13/2016 7:45 AM
Post #37250 - In reply to #37247

It seems that before 3E, we had to use shares rather than contracts, so that one contract showed as 100 shares. The PS used that 100 to compute profit.

Now that 1 contact shows as one (thank you) the PS needs to multiply the G/L by 100 times the number of contacts, and it does not.

Mel
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Barry Cohen

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Subject : RE: Options and Port Sim
Posted : 7/13/2016 11:25 AM
Post #37253 - In reply to #37250

I see now, thanks. Fixing the trade size shouldn't have affected the gain/loss, but seems it did. We'll fix it.
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Barry Cohen

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Subject : RE: Options and Port Sim
Posted : 7/22/2016 1:24 PM
Post #37278 - In reply to #37253

This is fixed in the next PR - 3F.
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Mel

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Subject : RE: Options and Port Sim
Posted : 7/22/2016 4:30 PM
Post #37279 - In reply to #37278

Thank you.

Mel
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Mel

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Subject : RE: Options and Port Sim
Posted : 8/2/2016 12:39 PM
Post #37299 - In reply to #37279

3F does not completely fix the problem. Fixed Trade Size and NN Trade Size do not seem to respond, still using 1/100 of a contract.
In addition, when we are dealing with option contracts, even though "Trade in Increments" works in contracts, the Min and Max shares still need to be multiplied by 100.

Perhaps we could have separate fields for options, stocks, and FX lots so we can keep them separate.
If we have two strategies, one with and option trade plan and the other a stocks trade plan, I'm not sure what the PS would do if they are combined. I would likely want different constraints on options than stocks.

Finally, does PS know that certain ETFs trade in 100s of shares?

Mel
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Barry Cohen

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Subject : RE: Options and Port Sim
Posted : 8/2/2016 4:22 PM
Post #37300 - In reply to #37299

The 2 Fixed Trade Size methods look correct. You just need to type the trade size you want in multiples of 100, like this would be 8 contracts. What was fixed is how the Port Sim report displays the quantities for options. It used to display them in 100s, now it doesn't.


Also, the other settings are like you say, you need to type 100 for Max Shares if you want 1 contract as the max contract. There are no separate settings for stocks vs options, it's just global for all. I can make a request to have separate settings for options.

Our software (OT, VT, OV, TP) does not "know" that certain ETFs must be in 100s of shares.

Attached file : TradeSize.jpg (30KB - 161 downloads)

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