Might be worth running those backtests with different sized stakes, a tenner is pretty much always going to be matched or not matched but when you're doing a few hundered there'll be more partial fills.
Trading What I see !?
- ShaunWhite
- Posts: 9731
- Joined: Sat Sep 03, 2016 3:42 am
I can't say for Guardian, but raw bf data counts this way.goat68 wrote: ↑Mon Apr 12, 2021 9:17 pmI'm hoping this is a big DOH! moment on my half. So the "Volume traded at a given price" as returned in a stored value by Guardian, equates to the sum of back+lay at that price. So when it says £95 traded at 5.5, that means £47.5 of queued Lay bets were matched and £47.5 of market Back bets were matched against them?napshnap wrote: ↑Mon Apr 12, 2021 9:02 pmEmmm, maybe stupid question, but do you know that bf counts "traded" for both sides, so you should divide the traded amount (which bf provides) by 2?goat68 wrote: ↑Mon Apr 12, 2021 8:37 pm
So that should not affect once my order is accepted at price 5.5, at a point in time after the order acceptance the traded at 5.5 is £95 and the Waiting queue is £431. So once £526 is traded at 5.5 "at least" my £4 should be matched...? I don't care someone came in after my order, neither some of the £431 were cancelled, as that would have just made my £4 match earlier than £526...
However, if cross-matching throws in Lay bets on this runner from Back bets by other people on other runners, then that does mess things up.
This discrepancy doesn't occur too often, so I am suspecting it is cross matching.
G'damit I feel rather stupid if that's the case, doh!
So in my example I actually need to wait for a traded amount of £95+(2*£431)=£957, and you've just explained in one simple answer why it doesn't match after £750!!!
THANK YOU !
Scaling bet size requires more thought, and is not easy to backtest as when bet size becomes significant compared to queued bets you're potentially influencing the market significantly which you can't predict. My assumption in scaling will be to only scale to a size I estimate is small compared to the liquidity, this should then still roughly hold true with the backtest figures.ShaunWhite wrote: ↑Tue Apr 13, 2021 12:58 amMight be worth running those backtests with different sized stakes, a tenner is pretty much always going to be matched or not matched but when you're doing a few hundered there'll be more partial fills.
Quite pleased with BackTest to Live correlation so far this week with the latest bot and backtest program.
Here's a chart rather than numbers Shaun!
Just the 3 days so far this week, but I like the correlation of backtest run on the recorded data vs the actual live trading of the bot, gives me more confidence:
Here's a chart rather than numbers Shaun!
Just the 3 days so far this week, but I like the correlation of backtest run on the recorded data vs the actual live trading of the bot, gives me more confidence:
- ShaunWhite
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- Joined: Sat Sep 03, 2016 3:42 am
I like the confidence of your Y-axis label. Most say PL.
If you're looking at the correlation between those two lines then maybe chart the difference between them expressed as a percentage of the backtest figure?
If you're looking at the correlation between those two lines then maybe chart the difference between them expressed as a percentage of the backtest figure?
For me that's good enough. Percentage difference won't tell me much more. You might not be able to tell from the chart, but backtest has 23 trades, live 25, that's because 2 Fills matched in live, but not in my backtest estimated Fill, that's just a fact of what will happen that I cannot emulate other than guessing a order cancel rate. At the moment the backtest makes a guess at how much of the queue ahead may get cancelled... So they will will never be the same, and as you can see there are moments when the difference is worse or better... For me what's more important is the trend, so doing a spline fit and comparing those would work better as a comparison, and over a longer period of trades.ShaunWhite wrote: ↑Thu Apr 15, 2021 2:16 amI like the confidence of your Y-axis label. Most say PL.
If you're looking at the correlation between those two lines then maybe chart the difference between them expressed as a percentage of the backtest figure?
I can see looking visually at the lines a spline fit would be very close to each other, that's good enough for me!
- wearthefoxhat
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Always worth remembering;
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If you double one penny every day for 30 days you have 31 pennies. If you start with a penny and you double all the pennies you have every day for 30 days you'd have 1,073,741,824 pennies.
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No matter which penny you double, you earn only one extra penny a day.
- Realrocknrolla
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