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PostPosted: Fri Apr 06, 2012 8:31 pm 
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Joined: Sat Feb 25, 2012 8:51 pm
Posts: 154
Could someone please help with some advice?

I’m trying to paper trade a strategy against the market. But the problem I’m having whilst OQ does a great job of tracking while the strategy is live. But how to I collect the information for analysis later. The functionality I’m looking to replicate from NT is the Sim101 where NT behaves like a brokers paper account (except it doesn’t really work with Forex). I’m able to perform analysis on the trades that were logged during the paper trading session.

I’m sorry if I’m missing the obvious functionality if I am.

Thanks and regards,

drolles


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PostPosted: Sat Apr 07, 2012 12:35 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6778
Hi,

do you want to export paper trading results for further consolidation and analysis or you want to be able to keep your account between consequent paper runs?

In any case I believe this is all possible with Scenario functionality. Have you considered using Scenarios for this task?

Cheers,
Anton


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PostPosted: Sat Apr 07, 2012 12:58 pm 
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Joined: Sat Feb 25, 2012 8:51 pm
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Anton,

Thanks for the prompt reply.

Yes, you are probably right. I’m not understanding the Scenario functionality correctly. It can do this for me if I draft the appropriate script?

Is the a relevant thread? What should I search the forum for?

I thought Scenario functionality was for optimisation.

Thanks,

drolles


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PostPosted: Sat Apr 07, 2012 1:10 pm 
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You can basically do any kind of pre/post processing of strategy data within scenarios. It's a relatively new feature, so if something is missing in the API (i.e. you need to access specific information about your strategy and it's not available in the API calls), do not hesitate to ask us.

In any case I suggest you start with FAQ part related to scenario functionality and then look through API references.


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PostPosted: Sun Apr 08, 2012 12:50 pm 
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Joined: Sat Feb 25, 2012 8:51 pm
Posts: 154
Anton,

Thanks very much for the reply. On a weekend no less!

Since this exchange I’ve been digging into the Scenario functionality. You are right it looks very powerful, well done on that.

I’ve posted another question on the Scenario functionality with regards to sliding windows for walk-forward analysis.

Let me have a further dig around for the challenge about collecting the paper trading data. When I come up with a solution I’ll post something there as I think it should really be something for the whole community. I can’t be the only user with this challenge.

Thanks,

drolles


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PostPosted: Mon May 14, 2012 3:50 pm 
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Joined: Sun Oct 30, 2011 12:12 am
Posts: 220
Dr. Anton Fokin wrote:
Hi,

do you want to export paper trading results for further consolidation and analysis or you want to be able to keep your account between consequent paper runs?

In any case I believe this is all possible with Scenario functionality. Have you considered using Scenarios for this task?

Cheers,
Anton


Hi Anton,

I'm actually trying to build a portfolio consolidation tool that would take trades as input (from the backtest) and compute mark-to-market P&L, including specific commission scheme (*not available in OQ), interests (*) and various other stuff. Nothing very fancy but I'd like to know if you have any resources (including documentation) about how to compute P&L using standard methods (I know the CFTC has a standard for CTA performance reporting). Anything that can help, I'd be glad to hear about. Thanks!


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