Hi, this is actually an update of request #776. I have had a little time to think about it because I'm trying to implement a temporary workaround using an external database.
The original request asked for a summary of all the open positions of all the strategies: total number of positions open, total unrealized PnL, total cost of open positions, in absolute dollars (so longs and shorts don't cancel each other out, like they do in Cash Position).
But really, what I'd rather see, and hopefully others would like this as well, is a detail of all the open positions for all strategies so I can do my own analysis. This structure would include detailed information like:
- Account Name (I run strategies against Sim101 and Interactive Brokers at the same time)
- Strategy Label (from the New Strategy window)
- Stock Symbol
- Signal Name (from the EnterLongLimit and EnterShortLimit statements)
- Side (long or short)
- Shares
- Entry Date/Time
- Entry Price
- Entry Commission
- Current Price (doesn't have to be completely real-time; accurate within a few seconds is fine)
- Unrealized PnL (optional, since it can be calculated from entry and current prices)
The reason for this level of detail is so I can determine how much money is currently at risk. For example, let's say I have a 20-cent hard stop and a 20-cent pullback, and I'm only willing to lose $200 a day. That means that at the start of the day, I can have 10 open positions. But as soon as one of those positions is up 20 cents, then that position has no risk since I'll break even on a pullback, and I can add an 11th position. Similarly, if in the middle of the day I'm down $40, I can only afford to have 8 new open positions.
The reason for including the entry time for each of the positions is so I can make sure the strategies don't get into too many positions all at once. The reason for including the signal name is so I can calculate the risk, since each of my signals has a different hard stop and pullback. Plus, I may not want to be in too many positions with the same entry signal at the same time.
I only need this array to include just open positions because that's all I need for risk management, and that's a critical need since I have had strategies cost me hundreds of dollars already by buying too many stocks at the same time. I can imagine that many traders would like to see the same information for all closed positions, which implies that the PnL would be realized and you'd also want an exit commission column and an exit date/time. There would naturally be debates about which closed positions to include; just the positions since the strategy was started, the positions closed today, or all closed positions since the beginning of time. If you can implement this feature for both closed and open positions that would be great, but my immediate need is for open positions only.
The original request asked for a summary of all the open positions of all the strategies: total number of positions open, total unrealized PnL, total cost of open positions, in absolute dollars (so longs and shorts don't cancel each other out, like they do in Cash Position).
But really, what I'd rather see, and hopefully others would like this as well, is a detail of all the open positions for all strategies so I can do my own analysis. This structure would include detailed information like:
- Account Name (I run strategies against Sim101 and Interactive Brokers at the same time)
- Strategy Label (from the New Strategy window)
- Stock Symbol
- Signal Name (from the EnterLongLimit and EnterShortLimit statements)
- Side (long or short)
- Shares
- Entry Date/Time
- Entry Price
- Entry Commission
- Current Price (doesn't have to be completely real-time; accurate within a few seconds is fine)
- Unrealized PnL (optional, since it can be calculated from entry and current prices)
The reason for this level of detail is so I can determine how much money is currently at risk. For example, let's say I have a 20-cent hard stop and a 20-cent pullback, and I'm only willing to lose $200 a day. That means that at the start of the day, I can have 10 open positions. But as soon as one of those positions is up 20 cents, then that position has no risk since I'll break even on a pullback, and I can add an 11th position. Similarly, if in the middle of the day I'm down $40, I can only afford to have 8 new open positions.
The reason for including the entry time for each of the positions is so I can make sure the strategies don't get into too many positions all at once. The reason for including the signal name is so I can calculate the risk, since each of my signals has a different hard stop and pullback. Plus, I may not want to be in too many positions with the same entry signal at the same time.
I only need this array to include just open positions because that's all I need for risk management, and that's a critical need since I have had strategies cost me hundreds of dollars already by buying too many stocks at the same time. I can imagine that many traders would like to see the same information for all closed positions, which implies that the PnL would be realized and you'd also want an exit commission column and an exit date/time. There would naturally be debates about which closed positions to include; just the positions since the strategy was started, the positions closed today, or all closed positions since the beginning of time. If you can implement this feature for both closed and open positions that would be great, but my immediate need is for open positions only.
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