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When does the broker update the cash after a trade is closed?



  • I am working on a simple system that uses weekly data and must have a fixed size portfolio of securities: if it sells one security, I expect it to buy another one the next week.

    To size the new position I use the available cash and I make an estimation using the last available close of the cash that will be available once the position I have to close is sold.

    2012-02-03, I have a SELL signal.

    2012-02-10 I start the week with 1074.87 in the account. During market hours, I expected the position to be closed and get new cash for 15410.02. According to the broker the position is sold for 15407.58. I expect to have 1074.87 + 15407.58 in my account.

    Once the 2012-02-10 bar is fully CLOSED, I can compute new signals and, since I sold a security for 15407.58, I have to buy the new one using this amount + the cash I had in the account.

    The size is computed using the last available close and a 5% buffer, like this: (cash * 0.95) / close[0]

    After the signal, when the sizer computes the size, the cash in the broker is still 1074.87!
    No sign of the 15407.58 I got from the security I sold and the new trade is sized using only 1074.87 * 95%!

    Here it is the full log:

    2012-02-03 SELL: 63DU GY Equity
    2012-02-03 SIZING 63DU GY Equity: 326 [CLOSE POSITION]

    2012-02-10 ORDER SUBMITTED: SELL 326 63DU GY Equity @ Market [last: 47.2700 expected: 15410.02]
    2012-02-10 ORDER ACCEPTED: SELL 326 63DU GY Equity @ Market [last: 47.2700 expected: 15410.02]
    2012-02-10 ORDER EXECUTED: SOLD 326 63DU GY Equity @ 47.2625 value: 15407.58 comm: 19.00
    2012-02-10 TRADE CLOSED: 63DU GY Equity gross pnl: -2120.63 comm: 38.00 net pnl: -2158.63

    2012-02-10 BUY: DB1 GY Equity
    2012-02-10 SIZING DB1 GY Equity: 21 [last: 47.7270 cash: 1074.87 expected: 0.00 available: 1021.13]
    2012-02-17 ORDER SUBMITTED: BUY 21 DB1 GY Equity @ Market [last: 47.7270 expected: 1002.27]
    2012-02-17 ORDER ACCEPTED: BUY 21 DB1 GY Equity @ Market [last: 47.7270 expected: 1002.27]
    2012-02-17 ORDER EXECUTED: BOUGHT 21 DB1 GY Equity @ 47.9264 value: 1006.46 comm: 19.00
    2012-02-17 TRADE OPENED: 21 DB1 GY Equity @ 47.9264 - value: 1006.46 comm: 19.00

    Am I missing something?


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