Dynamic system backtest with actual live current positions

[GolovinAlexx]

I found this comment from Rob.

Yes those are before buffering and the algo

After buffering (static system): system.accounts.get_buffered_position( instrument_code, roundpositions=True)
After greedy algo (dynamic system): system.optimisedPositions.get_optimised_position_df()

(Note in production I don't do this - I run the buffering and or greedy algo on the unrounded positions, taking into account my actual live current positions, rather than what the backtest thought it had on yesterday)

Originally posted by @robcarver17 in #529 (reply in thread)

How can I insert actual live positions as previous positions for a dynamic system backtest?

[robcarver17]

Why would you want to do this?

[robcarver17]

One option is to use the production part of the system in a limited way; generating orders but not executing them, and then manually entering fill prices (all in interactive order stack). The docs explain how to do this here.

Otherwise you can just call optimisedPositions.get_optimal_positions_with_fixed_contract_values of the

[GolovinAlexx]

I decided to do it both ways. The first one is great, but I can't do balance trade for creating initial portfolio in PST (my problem is here).

The second one is great too. But I need to pass to optimisedPositions.get_optimal_positions_with_fixed_contract_values my previous_positions. How can I create manually this object (portfolioWeights class) from my broker positions?

[bug-or-feature]

@GolovinAlexx the balance trade logic asks for the strategy to which you wish to associate the trade. It gets a list of strategies for which there are existing trades. In your case, maybe there are no trades, therefore no strategies, hence the exception. You could get a bit further by changing the code to interactive_order_stack.py at line 246 to:

strategy_name = get_valid_strategy_name_from_user(data=data, source="config")

which would look up the possible strategy names from config instead. After that the logic requests your IB account number, connecting to IB to get a default value. If you don't use IB, that would fail too I expect. Do you use another broker? Or just don't run the gateway?

You may be able to get further by replacing lines 248 - 255 with something like

broker_account = "<your_broker_code>"

or looking up the account number from config

production_config = get_production_config()
broker_account = production_config.get_element("broker_account")

[GolovinAlexx]

strategy_name = get_valid_strategy_name_from_user(data=data, source="config") - this is very good advice! Now I have access to my positions at the instrument and contract level.

After that the logic requests your IB account number, connecting to IB to get a default value. If you don't use IB, that would fail too I expect

yes, it's fail

Do you use another broker? Or just don't run the gateway?

Yes, I use another broker without API. And I never run the gateway or configured any broker settings.

How I can hack it? Can I use production before broker level?

[bug-or-feature]

Do exactly that - hack it. Look at the code, figure out what is is doing, adjust it to do what you need. In this case, I would:

• set the broker_account to some string value of your choice in private config
• replace line 249 with the two lines I gave earlier to pull that value from config
• try and run again

There is an open issue to make the project easier to use without IB. It would be useful if you could document any ideas, suggestions or challenges you come across