Netting system and Hedging system

[femtotrader]

Hello,

following discussion https://github.com/mhallsmoore/qstrader/issues/127 I think that it will be great if qstrader could support like Metatrader 5, 2 kind of accounting system https://www.mql5.com/en/articles/2299

• Netting system
• Hedging system

Kind regards

A similar issue is also opened for zipline (Quantopian backtester) https://github.com/quantopian/zipline/issues/1375

[alexispetit]

Isnt't the hedging system just a specific view of the trades (group by something)?

[femtotrader]

I'd say in fact that I think netting system is a specific view of the trades as they appear in hedging system but grouped by Symbol

This is also a different way to handle trades

With Netting

• buy 3 lots of EURUSD (for example) - (you are 3 lots long)
• sell 1 lot - (now, you are 2 lots long)
• sell 2 lot - (no opened trades - balance=equity)
• sell 1 lot - you are 1 lot short

With Hedging

• buy 3 lots of EURUSD (for example) - (you are 3 lots long) You can:
• partially close your trade of 1 lot (you will only see 1 trade)
• open a 1 lot sell order (you will see 2 trades)

[alexispetit]

True. So as long as tags are attached to trades, it's possible to build custom views.

[femtotrader]

I recently looked at doc of other backtester with such signal, sizer and risk manager mechanisms.

It make me think that SignalEvent action (BOT or SLD) are not enough to express what a strategy need to be able to do.

If we only consider a netting system we should have

• BOT (Long ie positive quantity)
• SLD (Short ie negative quantity) but also
• FLAT (to be out of market ie quantity = 0)

if we consider a hedging system (or we split strategies into entry strategy and exit strategy) should have:

• EnterLong
• EnterShort
• Flatten

but also exit

• ExitLong
• ExitShort
• Flatten

[mhallsmoore]

Indeed, I grappled with this issue for quite some time when I first designed the SignalEvent. You can also imagine the situation with a mean reversion trade when you want to trade signals as a pair, with a certain attached "quantity" or "strength" to each, representing a hedging ratio.

This means that signal events are somewhat intertwined for some strategies. It does indeed motivate some addition signal types.