scrtlabs
analyze()
Dear Catalyst Maintainers,
Before I tell you about my issue, let me describe my environment:
Environment
- Operating System: (macOS High Sierra)
- Python Version:
$ Python 3.6.4 - Python Bitness:
$ [GCC 4.2.1 Compatible Apple LLVM 9.0.0 (clang-900.0.39.2)] on darwin - How did you install Catalyst: (
pip) - Python packages: ``
Now that you know a little about me, let me tell you about the issue I am having:
Description of Issue
-
What did you expect to happen? When comparing prices of transactions in analyze extract_transactions(perf)
and price of the corresponding limit_order, prices do not match Exchange: bitfinex , mode = backtest -
What happened instead? Each time it takes around 91-97%
Here is how you can reproduce this issue on your machine:
Reproduction Steps
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What steps have you taken to resolve this already?
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Anything else?
...
Sincerely,
$ whoami
Sorry, but can you please elaborate more... We are not sure what is the error that occurred. Thanks!
Hi @AvishaiW,
when I am backtesting, exchange=bitfinex, at some points in my algorithm, I am placing limit orders, with limit_price = x, but when at the end I am looking into transactions list, via
print(extract_transactions(perf)) in analyze() prices of the executed orders don't exactly match corresponding limit prices, I actually meant 99,1%-99,7% for accuracy, so prices differ by 0.3% to 0.9%