CoverAtClose set the exit price with High of the bar instead of Close

Author: DamV

Creation Date: 2/1/2018 4:00 PM

Wealth Lab » WealthScript (.NET) » CoverAtClose set the exit price with High of the bar instead of Close

DamV

2/1/2018 4:00 PM

Here is the code:

CODE:
Please log in to see this code.

Here is the result:

QUOTE:
1.42854040648343
1.85344850752334 3.35220860466242 3.4966923743128
1.85815164352637 1.75109700052215 3.53874219594021
1.2883203201957 1.42854040648343 2.80277711464596
2.08326167677291 3.64736578251462 3.95135555277604

Eugene

2/1/2018 4:25 PM

Then you must have activated slippage which, according to the QuickRef...

QUOTE:
Slippage, when activated, can affect the trade's execution price.

DamV

2/1/2018 5:53 PM

Slippage is not checked. I ran the same code touching all options of slippage, always the exact same results.

Eugene

2/1/2018 6:51 PM

In the output of PrintDebug, the Low and High are mixed up which is nonsense. Either your data is wrong or something else that you aren't showing.

I 'm showing everything - the exact code and log.
But maybe it's a bug in your CreateSyntheticOption because the position is an option.
IT SEEMS THAT THE BUG IS ONLY FOR A PUT OPTION. If I test the same code with a call it works well...(High and Low not mixed and Exit=Close)
Here is a simple code to reproduce it . I ran it on BIB.

CODE:
Please log in to see this code.

Results:

QUOTE:
--------------
Exit:1.05695727925944
Close:1.15979345405476
Open:1.66436094115488
High:1.05695727925944
Low:1.66436094115488
--------------
Exit:2.38671775302502
Close:3.19836760286262
Open:3.20486781951663
High:2.38671775302502
Low:3.51192239012904
--------------
Exit:2.92289344711577
Close:3.43565018441392
Open:3.67512728172291
High:2.92289344711577
Low:4.09538486337685
--------------

Size:

Color:

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if (CoverAtClose(bar, LastPosition, "Close"))
					{
						PrintDebug("Exit:"+LastPosition.ExitPrice);
						PrintDebug("Close:"+LastPosition.Bars.Close[bar]);
						PrintDebug("Open:"+LastPosition.Bars.Open[bar]);
						PrintDebug("High:"+LastPosition.Bars.High[bar]);
						PrintDebug("Low:"+LastPosition.Bars.Low[bar]);
						PrintDebug("--------------");
					}
				}
				else
				{
					DateTime startDate = Bars.Date[0];
					DateTime expiryDate = NextOptionExpiryDate(Bars.Date[bar].AddDays(10));
					Bars contract = CreateSyntheticOption(startDate, expiryDate, Bars.Close[bar-1], false);
					SetContext(contract);
					ShortAtClose(bar, "Sell Put");
					RestoreContext();
				}
			}
		}
	}
}[/code]

Results:
[quote]--------------
Exit:1.05695727925944
Close:1.15979345405476
Open:1.66436094115488
High:1.05695727925944
Low:1.66436094115488
--------------
Exit:2.38671775302502
Close:3.19836760286262
Open:3.20486781951663
High:2.38671775302502
Low:3.51192239012904
--------------
Exit:2.92289344711577
Close:3.43565018441392
Open:3.67512728172291
High:2.92289344711577
Low:4.09538486337685
--------------[/quote]