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Max Lots #486861
10/31/22 15:32
10/31/22 15:32
Joined: Oct 2022
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juanex Offline OP
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juanex  Offline OP
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Hello,

While backtesting a strategy I am getting the error message 010 apparently cause I exceeded the lot size, I don't think it changes much for my results. However, I still would like to know if anyone has encountered a workaround for this.

Attached Files Screenshot 2022-10-31 113029.png
Re: Max Lots [Re: juanex] #486862
10/31/22 15:44
10/31/22 15:44
Joined: Feb 2017
Posts: 1,587
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AndrewAMD Offline
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AndrewAMD  Offline
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What are you trying to trade, a VIX CFD? Your lot sizing is absurdly high. Double-check your asset list configuration.

Re: Max Lots [Re: juanex] #486863
10/31/22 17:15
10/31/22 17:15
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juanex Offline OP
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juanex  Offline OP
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VIX futures, however, this is backtesting using the VIX values, the lot size is correct from the beginning but compounds to that amount.

Re: Max Lots [Re: juanex] #486864
10/31/22 17:42
10/31/22 17:42
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Posts: 1,587
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AndrewAMD Offline
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AndrewAMD  Offline
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go trade your golden goose then grin

Re: Max Lots [Re: juanex] #486865
10/31/22 17:59
10/31/22 17:59
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juanex Offline OP
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juanex  Offline OP
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Wish it was all that laugh

I guess my next step would be to compare trading the futures contract to this very nice and "mean reverting" calculation, do you know how to handle futures on Zorro? I somehow feel like it is different from options.

Re: Max Lots [Re: juanex] #486866
11/01/22 00:52
11/01/22 00:52
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AndrewAMD Offline
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AndrewAMD  Offline
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It's actually simpler to trade futures than options. Either:
1) trade the futures contract's symbol directly or
2) use the contracts interface.

These two approaches will result in two different asset list configurations.

Re: Max Lots [Re: juanex] #486872
11/02/22 14:56
11/02/22 14:56
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juanex Offline OP
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juanex  Offline OP
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So for example, you would trade just /VX and create an assetlist based on it?

Re: Max Lots [Re: juanex] #486873
11/02/22 15:56
11/02/22 15:56
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Posts: 1,587
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AndrewAMD Offline
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AndrewAMD  Offline
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Basically:

1) If the continuous contract is acceptable for backtesting, just use t6 files with a single asset list line. (No contract interface needed).
2) If I must backtest on a contract-by-contract basis, either use t8 (CONTRACT) files or one t6 of the underlying VIX index and live-load t8 datasets, all using a single asset list line. (Use the contract interface.)
3) If I want to trade live, I would need the contract interface regardless to load contract info. This would require a single asset list line.

I do not recommend having an asset list entry for every futures contract, it's not as good as using the contract interface. But if you did want to do this, just use t6 for each contract.


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