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Multi Execution Problem



  • Hi, I am new here, Sorry for the maybe stupid question.
    I have backtested multi asssets simultaneously, one buy order was executed for multi times, like this:

    2011-08-26, BUY EXECUTED, Size: 19500.00, Price: 5.00, Cost: 97480.50, Comm 1949.61
    2011-09-06, 300206 Order 12 Status Submitted
    2011-09-06, 300206 Order 12 Status Accepted
    2011-09-07, 300206 Order 13 Status Submitted
    2011-09-07, 300206 Order 13 Status Accepted
    2011-09-07, 300206 Order 12 Status Completed
    2011-09-07, SELL EXECUTED, Size: -19500.00, Price: 4.56, Cost: 97480.50, Comm 1779.18
    2011-09-07, 300206 Order 13 Status Completed
    2011-09-07, SELL EXECUTED, Size: -19500.00, Price: 4.56, Cost: -88959.00, Comm 1779.18
    2011-09-07, OPERATION PROFIT, GROSS -8521.50, NET -12250.29

    Through debug I found it is because asset 300206 has no data at the day 2011-09-06, when in 2011-09-05 the exit rule was met, it should sell at the next open price (which should be at 2011-09-06 ) .
    When I backtest with the single asset, it works fine, for 2011-09-06 was omitted.
    But when multi asset were used, the data were synchronized, day 2011-09-06 was added to asset 300206, but trade cant be executed. So strategy submitted a new sell the next day. And they all being executed.

    I am not familiar with the mechnism, how can I fix this?
    Thank you!


  • administrators

    When multiple data feeds are in play, if others have data for 2011-09-06, your next will be called to let you know that some data feeds have advanced.

    But the data feed with no data for 2011-09-06 remains paused at 2011-09-05, because no new data is available.

    You can control if a data feed has advanced by checking its len(data). If the value remains constante the data feed is not advancing.