Capital Mismatch

[emretezel]

Hi Everyone,

When I compare my broker account value in interactive_diagnostics vs. IB portal, I see some significant discrepancies. What could be the reason? For example portal shows 92k vs. pysystemtrade showing 88k.

I have only futures in the IB account, the cash is split between USD and GBP.

PS: I do have a second IB account for ETFs but looking at the code, update capital only seems to be pulling liquidation value of the account included in the private config.

Best,
Emre

[robcarver17]

What happens if you bypass pysystemtrade and just use ib insync?
See line 5 of:

https://nbviewer.org/github/erdewit/ib_insync/blob/master/notebooks/basics.ipynb

[emretezel]

when I run line 5 as shown in your link, it shows the correct net liquidation value of the futures account.

I only have single strategy in pysystemtrade. When I run interactive_diagnostics and View Capital, "Capital for an Individual Strategy" and "Capital for Global Account, all strategies" show slightly different capital, former showing higher.

[robcarver17]

"When I run interactive_diagnostics and View Capital, "Capital for an Individual Strategy" and "Capital for Global Account, all strategies" show slightly different capital, former showing higher."

Actually this might be a timing issue. The default config is for the latter to update hourly, and the former once a day. If you run update_total_capital and then update_strategy_capital, is there still a mismatch?

[robcarver17]

(At the same time as you update_total_capital, check broker account value and see what value that has)

[emretezel]

When I run update_total_capital and update_strategy_capital at the same time, I can see that the total capital value is now in sync in diagnostics for individual strategy and global account.

I can also see the broker account value matches the portal when I run update_total_capital, so could have been timing issues all along.

Thank you!

[emretezel]

Looking at the default timings of strategy allocation, I see in control_config it runs only once when run_capital_update process starts at 1:00am versus the next time run_systems will run is later in the evening at 20:05.

I guess this could be changed in private_control_config where strategy_allocation runs as frequent as update_total_capital.

[robcarver17]

Yes. There really isn't much point rerunning strategy capital unless you are rerunning your backtest intraday.

I only have the total capital update running frequently out of morbid fascination. It would be more logical to update both once per day.

[tgibson11]

FWIW, I did have a similar issue a couple years ago where capital got out of sync and once it did it was basically permanent (not self-correcting, and not correctable using the interactive tool as far as I could tell). I think it may have been related to recording a deposit or withdrawal.

My "solution" was to delete all my capital history and start over. (I'm not recommending that as a fix!)

I think Rob has made significant changes to the capital logic since then, so take all this with a grain of salt.

[robcarver17]

Using interactive_update_capital_manual* you can use option 4 to tweak the capital so it's in line should this happen again. This may also be a solution for the OP, but it sounds like he has another problem.

• There are also options here to deal with withdrawals and deposits.