My contract level is showing a short and a long position in the same instrument and contract

[TobiasAntiGravity]

Hi guys, hope you've had a good weekend!

I had some issues with the stack handler last thursday and had to put on three trades manually. I know see that I managed to mess up two of the three trades. One of them left me dumbfounded

As you can see from the interactive_orders_stack 0, 9 print out below, both CAC and RUSSELL is not looking right. The CAC is understandable - I was suppose to close the long position but sold the wrong contract..

The RUSSELL position is strange though; I had a long position and was supposed to close it. According to broker positions and strategy positions, I managed to close. But according to the contract level positions I now have one short position and one long position in the same contract. Any idea of how I managed this, and How do I solve?

Strategy positions
   strategy_name instrument_code  position
13    rob_system             AEX         1
11    rob_system         BITCOIN        -1
2     rob_system            CORN         1
12    rob_system        EU-BASIC         1
3     rob_system          EU-OIL         1
8     rob_system   EU-REALESTATE        -1
4     rob_system      FTSECHINAA         2
1     rob_system      GOLD_micro         1
5     rob_system             MXP         1
10    rob_system         SOYBEAN         1
6     rob_system     SP500_micro        -1
7     rob_system           TOPIX         1
9     rob_system             US5        -1
0     rob_system             V2X        -2

 Contract level positions
   instrument_code contract_date          expiry_date  position
14             AEX      20230217  2023-02-17 00:00:00       1.0
6          BITCOIN      20230127  2023-01-27 00:00:00      -1.0
13             CAC      20230217  2023-02-17 00:00:00      -1.0
11             CAC      20230317  2023-03-17 00:00:00       1.0
0             CORN      20231214  2023-12-14 00:00:00       1.0
8         EU-BASIC      20230317  2023-03-17 00:00:00       1.0
7           EU-OIL      20230317  2023-03-17 00:00:00       1.0
3    EU-REALESTATE      20230317  2023-03-17 00:00:00      -1.0
12      FTSECHINAA      20230227  2023-02-27 00:00:00       2.0
15      GOLD_micro      20230426  2023-04-26 00:00:00       1.0
2              MXP      20230313  2023-03-13 00:00:00       1.0
9          RUSSELL      20230317  2023-03-17 00:00:00       1.0
16         RUSSELL      20230317  2023-03-17 00:00:00      -1.0
1          SOYBEAN      20231114  2023-11-14 00:00:00       1.0
17     SP500_micro      20230317  2023-03-17 00:00:00      -1.0
5            TOPIX      20230309  2023-03-09 00:00:00       1.0
10             US5      20230331  2023-03-31 00:00:00      -1.0
4              V2X      20230322  2023-03-22 00:00:00      -2.0
(No breaks positions consistent)

 Broker positions
   instrument_code contract_date          expiry_date  position
6              AEX      20230217  2023-02-17 00:00:00       1.0
12         BITCOIN      20230127  2023-01-27 00:00:00      -1.0
0              CAC      20230217  2023-02-17 00:00:00      -1.0
9              CAC      20230317  2023-03-17 00:00:00       1.0
4             CORN      20231214  2023-12-14 00:00:00       1.0
5         EU-BASIC      20230317  2023-03-17 00:00:00       1.0
7           EU-OIL      20230317  2023-03-17 00:00:00       1.0
15   EU-REALESTATE      20230317  2023-03-17 00:00:00      -1.0
14      FTSECHINAA      20230227  2023-02-27 00:00:00       2.0
11      GOLD_micro      20230426  2023-04-26 00:00:00       1.0
13             MXP      20230313  2023-03-13 00:00:00       1.0
1          SOYBEAN      20231114  2023-11-14 00:00:00       1.0
2      SP500_micro      20230317  2023-03-17 00:00:00      -1.0
16           TOPIX      20230309  2023-03-09 00:00:00       1.0
8              US5      20230331  2023-03-31 00:00:00      -1.0
10             V2X      20230322  2023-03-22 00:00:00      -2.0

[robcarver17]

Looks like the same problem as #958

When did you last update your code? If it was before I fixed that problem, then the same solution is in order: reverse the balancing trade, pull the updates, then put a new balancing trade in. If you have pulled more recently then the solution will be a bit trickier.

[TobiasAntiGravity]

Thank you for your reply mister carver.

Not sure if you mean;

• What was the code version at the time of manual trade;
  Not sure, because I did several updates during thursday and friday

or

• what version of code I am on currently.
  I last updated late friday, so the commit; d92f4cd. If your question

I have actually setup a company for running this strategy. I will be migrating to the new IBKR account and starting a new pysystemtrade instance at that point in time. So if this is just aesthetics, it can remain in this state for a couple of weeks more.

[robcarver17]

No I mean what version of code you are on currently. So it's after I fixed the problem, which makes things trickier - if you try and do a balancing trade to close these positions, at least one of them will probably go wrong.

Not sure how urgent this is, but bear in mind the system won't trade this market at all until the mismatch with brokerage positions is cleared.

The neatest solution I can think of is to write a little utility to create a balance trade that automatically closes a given position, which let's face it would be useful utility to have since 99% of balancing traders probably do that. Pretty sure that will solve your problem without having to do lots of manual hacking of position and trade databases. I will try and do this tomorrow.

[robcarver17]

OK I have created the utility
Here is an example of how to use it:

rob@TradingPC2:~/pysystemtrade/sysproduction/linux/scripts$ . interactive_order_stack 

 sysproduction.interactive_order_stack.interactive_order_stack:
0: View
1: Create orders
2: Fills and completions
3: Netting, cancellation and locks
4: Delete and clean


Your choice? <RETURN for EXIT> 1
10: Spawn contract orders from instrument orders
11: Create force roll contract orders
12: Create (and try to execute...) IB broker orders
13: Balance trade: Create a series of trades and immediately fill them (not actually executed)
14: Balance instrument trade: Create a trade just at the strategy level and fill (not actually executed)
15: Manual trade: Create a series of trades to be executed
16: Cash FX trade


Your choice? <RETURN for Back> 13
Most likely use case here is that IB has closed one of your positions as close to the expiry
Or an edge case in which an order was submitted and then filled whilst you were not monitoring fills
Or perhaps you are trading manually
Trades have to be attributed to a strategy (even roll trades)
Auto close an existing position (if not, manually enter details?Y
Current contract positions in DB
   instrument_code contract_date          expiry_date  position
0             BOBL      20230300  2023-03-01 00:00:00      -1.0
1           NIKKEI      20230300  2023-03-01 00:00:00       1.0
2           KOSDAQ      20230300  2023-03-01 00:00:00      -1.0
3              DAX      20230300  2023-03-01 00:00:00       1.0
4           EU-OIL      20230300  2023-03-01 00:00:00       2.0
5             IRON      20230300  2023-03-01 00:00:00       1.0
6              BRE      20230300  2023-03-01 00:00:00       1.0
7         EU-BASIC      20230300  2023-03-01 00:00:00       1.0
8              VIX      20230300  2023-03-01 00:00:00      -1.0
9          LEANHOG      20230400  2023-04-01 00:00:00      -1.0
10      FTSECHINAA      20230200  2023-02-01 00:00:00       1.0
11      GOLD_micro      20230400  2023-04-01 00:00:00       1.0
Which position to close? 0

Filled price <RETURN for default 117.1> 
Fill datetime: Enter date and time in format %Y-%m-%d eg '2023-01-31' OR '%Y-%m-%d %H:%M:%S' eg '2023-01-31 10:09:23'OR <RETURN for now>
Commission <RETURN for default 0.0> 
0: dynamic_TF_carry


Your choice? <RETURN for dynamic_TF_carry> 
2023-01-31 10:09:41 {'type': 'Interactive-Order-Stack', 'component': 'mongoIbBrokerClientIdData'}  Locked IB client ID 412
Account ID <RETURN for default U1228709> 
(Order ID:no order ID) Type balance_trade for dynamic_TF_carry/BOBL/20230300, qty [1], fill [1]@ price, 117.1 Parent:no parent Children:no_children INACTIVE

So you'd boot this up and enter the row numbers for the offsetting positions. Hopefully it should close them down and leave you with nothing but net....ted positions.