Whatif Swaps not being calculated correctly
As per attached screenshots swaps are not being calculated correctly.
I would expect swaps for that top trade to be calculated as 0.8 lots x 120 days x -$5 = -$480 of swaps alone, yet the difference between the Main and Whatif sims is only -$8.16 less -$1.32 = -$6.84.
Please fix.
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Votes +7
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Project StrategyQuant X
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Type Bug
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Status Fixed
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Priority Normal
History
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Insanity82007
10.01.2022 02:58Attachment SwapFixed.java added
Attachment image-0.png added
Attachment image-1.png added
Here is a fixed version of the swaps whatif snippet
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Insanity82007
10.01.2022 04:24
Added a CRITICAL component to the snippet, which is a swap price index (usually the current price). This eliminates the issue with getting smashed on swaps for older trades on indices when using Fixed $ amount or % of account/ balance to calculate trade size.
An index that currently trades at $30k that used to trade at $3k in 2009 will have 10x the lot sizes for the same trades, but it would be ridiculous to make the swaps 10x the size they are considering today's prices.
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Votes: +7
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