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[urgent] Crypto MM is opening positions with random position sizing

I am seeing bizarre position sizing when generating strategies with the attached custom project. 

For BTCUSD (MT5 Netted), with MM settings of a $500 initial deposit, using “Crypto size by price”, max position size of 5

  1. at first it generates reasonable sized positions, and the strategies look good
  2. but then after about 50 generated strategies, I am getting  sizing that is random, and goes against my MM settings

Please see all attached files including simple CFX file.

This is a time sensitive request. Please advise. 

Attachments
MM-correct-sizing.png
MM-correct-sizing.png
(114.60 KiB)
M30H4 - BTCUSD Generator.cfx
M30H4 - BTCUSD Generator.cfx
(32.35 KiB)
MM-initial-settings.png
MM-initial-settings.png
(45.30 KiB)
MM-wrong-sizing.png
MM-wrong-sizing.png
(113.91 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

i
#1

kasinath

21.12.2020 19:54

Task created

b
#2

beppil

22.12.2020 03:18
Voted for this task.
TB
#3

Tomas Brynda

06.01.2021 09:01

Status changed from New to Refused

Attachment Vystrizek.png added

Vystrizek.png
Vystrizek.png
(132.97 KiB)
Hi Kasinath,

it is a matter of your settings.

You allowed duplicate trades in Building blocks config and because netting engine is used, small positions add up and create one huge position.


You can see the individual orders after enabling control orders in global configuration.


Best regards,

Tomas

i
#4

kasinath

22.01.2021 13:40

@Tomas,

Thanks for this feedback. So in order to use duplicate trades with crypto, should I use MT5 engine in hedged mode? Or MT4 engine?
TB
#5

Tomas Brynda

26.01.2021 08:00
Hi Kasinath,

try to use MT5 hedging or MT4 which is also hedging, depending on your broker.

The trades will be handled separately and that should help.


Best regards,

Tomas

i
#6

kasinath

26.01.2021 10:28
My Broker is not an MT broker. 

I am generating pseudocode so that I can rewrite the Strategy in Python or Pinescript and deploy from my own server (or via TradingView webhooks) that trigger across my brokers (InteractiveBrokers, TD Ameritrade), or directly on the exchange (eg Binance).


Because of my unique scenario, an SQX team member (Matejka) recommended that I used netted engine to generate strategies (see ticket [SLZ-TXDFT-922]).


Will try something else now then.

Votes: +1

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