Author Topic: Slot Pair order priority  (Read 3816 times)

Douglas Goullet

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Slot Pair order priority
« on: March 16, 2015, 11:49:39 am »
Hi, when filling empty slots, does the order of your pairs in your web portfolio settings does have a priority.

Example:
Pair1= ccc vs aaa
Pair2= www vs ttt
Pair3= fff vs ddd
Pair4= lll vs uuu

If I set up my system with only 2 slots, I have one pair open Pair4. Next Pair1, pair2 and pair3 all are triggering a trade at the same time, what pair will be selected? thanks.

admin

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Re: Slot Pair order priority
« Reply #1 on: March 16, 2015, 12:38:31 pm »
Quote
Next Pair1, pair2 and pair3 all are triggering a trade at the same time

In PTL Trader, pairs are opened by intraday price signals streamed in real-time. Therefore, they are _never_ opened at the same moment, so applying any priority rules is not possible.

In portfolio backtester, there is some deterministic order of opening positions, but it is not really relevant to live trading.

We are thinking of implementing "time-triggered-mode" or "end-of-day" mode, where PTL Trader will evaluate all portfolio signals in the single predefined moment (based on current bid-ask-last prices from that moment). In this situation, priority rules could be applied.

Douglas Goullet

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Re: Slot Pair order priority
« Reply #2 on: March 16, 2015, 12:46:47 pm »
Even if it is intraday, more than one pair can be triggered if you have them all setup at the same time.  So I should set the time priority for that. My suggestion would be to be able to have them in an order chosen by the the user, like in a placed numbered order. You would have to be able to place them in order. thanks.

admin

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Re: Slot Pair order priority
« Reply #3 on: March 16, 2015, 12:58:58 pm »
If I understand right, you essentially have written the same what I wrote before about "time-triggered-mode" or "end-of-day".

I mean that in order to be able to evaluate priorities, signals cannot be evaluated on "price events", but we need to evaluate them on "timer events" and all together. This is possible and we will most likely to implement it as an option.

But there is also one disadvantage - it can miss some short intraday signal opportunities (because it is not able to react on fast price movements anymore).
« Last Edit: March 16, 2015, 01:03:01 pm by admin »