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location Atlanta, GA
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visits member for 1 year, 10 months
seen Aug 19 at 4:20

Jun
27
awarded  Supporter
Jul
31
comment How do you handle order tracking (without unique Lot ID's)
Part of the problem is that I will be forced to discover the output by trial and error. I will have to place enough orders that it gets filled in separate lots and then I will be able to see how to track it. I sent another question asking them if there is ANYTHING that uniquely identifies the fills. (For example, I can imagine them having "Lot1" "Lot2" etc. If that is true, I can make a hash on all of the info and generate my own unique identifiers.
Jul
31
comment How do you handle order tracking (without unique Lot ID's)
I am using the Etrade broker and API. One problem is that the documentation does not seem to cover lots. Moreover, while they have a sandbox, it does not really return all of the information that is returned during live trading. Etrade does NOT use the Fix Protocol. Coincidently, I find that many of the brokerages that I would like to use do not support FIX on their API.
Jul
31
comment How do you handle order tracking (without unique Lot ID's)
experquisite: I got the following message from the tech support of the broker (after months of communication): "Lot ID numbers are not returned within the responses for our current APIS. A future update to our APIs will include specific identifiers for each lot. We do not have details at this moment as to when the updates will occur, but the documentation and information through our API pages will be updated accordingly."
Jul
31
asked How do you handle order tracking (without unique Lot ID's)
Jan
21
answered When hiring a quant, how can I protect my IP?
Nov
12
awarded  Student
Nov
4
awarded  Teacher
Nov
2
comment Backtesting benchmark / control test design
The algo is allowed to update positions daily. The "set test" is "buy and hold". Both tests use the same set of stocks.
Oct
31
answered How to account for transaction costs in a simulated market environment?
Oct
31
comment Backtesting benchmark / control test design
[2] It is somewhat difficult to force the algorithm to sell off all of it's positions at the end of the test period. For example, if the "test cash" provided for the test is low, Rule 431 may be triggered (and code would have to be written to deal with that issue).
Oct
31
comment Backtesting benchmark / control test design
[1] The "position" can affect the results.
Oct
31
asked Backtesting benchmark / control test design