Last night we launched a process that updates transactions prices for live Ports & Books. It only works for systems set to “automatic rebalance”. It works as follows:
At night (around 1030PM) after we get the day’s prices we look at every automatic port or book
If there are new transactions prices that are the same as the previous day close we update the price to (H+L+2C)/4 (similar to R2G’s)
We do not recalculate the slippage or commission
If a transaction was updated we add an asterisk ‘*’ in the Notes for the transaction
Due to market movement the cash balance could be over/under. In other words we do not adjust the number of shares.
Hopefully this will give you more confidence in your “paper ports” live performance.
Let us know what you think. This was requested several times. Now if I could only find the request so I can close it…
For an example of updated transactions see this P123 live port transactions
That is a big improvement over using previous close prices as it is now. However, Since I am very careful with my actual trades after the market opens and, on average, I am able to get near zero slippage, I would have preferred to have an option to change the prices from previous close to next open. Allowing the members to select which transaction price they want to use would be the best of all the options.
As a side, adding (H+L+2C)/4 to the Sim’s transaction price options would help close the gap between Sim, Port, and R2G performance.
Thanks Marco, this is great, it makes live ports much more realistic.
I would have liked the option to choose the “adjustment” to either Open, Close or the (H+L+2C)/4 calculation.
Also, I think the quantity not being adjustment makes perfect sense. While I imagine it does not make a huge difference in most live ports, it does make it more realistic from a practical point of view. Will this be added to portfolio sims as well? (Not a priority of course, there are more important things first in the pipeline…
Another great thing would also be if the weekly rebalance happened exactly on the day it was started, i.e. Tuesday to Tuesday, etc. or even better if this could be something changed by the user.
Thank you, this is a first step in the right direction. Here are my inputs:
Please enable option to choose the “adjustment” to either Open, Close or the (H+L+2C)/4 calculation
In the transaction / edit tab, please provide an option to mark selected transactions, and then let the user choose the adjustment options for the selected trades: either Open, Close or the (H+L+2C)/4 calculation
Especially with feature 2), everyone should be happy. Either the user can manually adjust prices, or just select the ones where he does not want to manually adjust and is happy with one of the automatic adjustments for all selected trades.
For example, in my books, I mix some own live ports and R2G models. Typically I trade/rebalance my own live ports througout the week, and R2G will be updated every Monday. So Marco, in my case when I rebalance my books manually and thereby select “Make current” for the rebalance date, would your automatic adjustment still kick in? or only if the rebalance was automatically done through P123?
This first pass was relatively simple since it involved no front end changes. We do it only on automatic rebalanced ports/books since those are very likely paper ports started only to track out-of-sample. We’ll examine all the suggestions for the next iteration . Definitely some more flexibility as to which price to use, some options for semi-automatic ports , the idea for the edit tran page is nice, and better options for books. Thanks
I didn’t like at all the Friday price. Anyway I completely agree with Danny…As simulation can be done using 4 type of Price for Transactions why not allow the same possibility to live portfolio? I have a live pf and an identical sim (with same slippage and commission) but performance are different (sim better than live ) also because of this (see attach).
If not possible, for me the best option is to have open price of Monday for weekly pf), even if you make update a day late.
I reread this today and just realized that I have no idea what it means in practice.
Why the qualification ‘If there are new transactions prices that are the same as the previous day close’? What happens if the prices are different from the previous day close? Am I misreading this?
I want to believe that all execution day prices are updated to transaction day (H+L+2C)/4 prices.
The reason the transaction prices would be different is because someone edited their transactions to the fill prices for live trading.
I think the reason for this is that P123 does not want to change the prices once someone has edited them. P123 leaves them alone if they have been changed/edited.
) also because of this (see attach).