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Automating your Self-Cont...
Forum: Documentation
Last Post: admin
11-20-2019, 01:27 PM
» Replies: 2
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Add price info to portfol...
Forum: Feature Requests
Last Post: GaryB
11-04-2019, 10:37 AM
» Replies: 0
» Views: 546
Paper Trading Licenses
Forum: News
Last Post: admin
08-27-2019, 12:48 PM
» Replies: 0
» Views: 820
Email when IB Gateway dis...
Forum: Feature Requests
Last Post: DaveDM
08-26-2019, 08:30 AM
» Replies: 0
» Views: 760
Process Sell Signals befo...
Forum: Feature Requests
Last Post: admin
08-19-2019, 06:18 PM
» Replies: 1
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Strategy Tabs in Strategy...
Forum: Feature Requests
Last Post: DaveDM
08-16-2019, 07:24 PM
» Replies: 0
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Historical Trades and Per...
Forum: Feature Requests
Last Post: DaveDM
08-13-2019, 05:00 PM
» Replies: 0
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Hedging
Forum: Documentation
Last Post: admin
08-03-2019, 06:23 PM
» Replies: 0
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File Formats
Forum: Documentation
Last Post: admin
07-14-2019, 07:15 PM
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Known Issues
Forum: Bugs and Problems
Last Post: admin
11-20-2018, 09:35 PM
» Replies: 0
» Views: 899

 
  Add price info to portfolio for neutral positions
Posted by: GaryB - 11-04-2019, 10:37 AM - Forum: Feature Requests - No Replies

Even if a position is NEUTRAL it would be nice to have the price data displayed in the portfolio window.

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  Paper Trading Licenses
Posted by: admin - 08-27-2019, 12:48 PM - Forum: News - No Replies

Paper Trading Licenses
These licenses let you trade on the real market with simulated money. Paper trading licenses can be used indefinitely for as many accounts as you have.
You can generate a paper trading license by simply running APM with your paper trading account, as described here (please sign up on the forum to view this link).

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  Email when IB Gateway disconnected for more than X amount of time
Posted by: DaveDM - 08-26-2019, 08:30 AM - Forum: Feature Requests - No Replies

Sometimes IB Gateway can get disconnected from the broker side.  It would be useful to have an email sent to the email address set up with APM if IB Gateway is disconnected for more than a set amount of time in order to alert the user.  Especially useful if the system is running on a remote server and the user doesn't "see" the system as much as they would if running locally.

Thanks,

DaveDM

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  Process Sell Signals before Buy Signals?
Posted by: DaveDM - 08-17-2019, 11:00 AM - Forum: Feature Requests - Replies (1)

I'm not sure if this is necessary, but for strategies where you are buying and selling on the same days, it might make sense to be able to sell first in order to make room in the portfolio and have more cash available to buy. 

DaveDM

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  Strategy Tabs in Strategy Window
Posted by: DaveDM - 08-16-2019, 07:24 PM - Forum: Feature Requests - No Replies

Ability to re-arrange by dragging/dropping and change the order of the strategy tabs in the Strategy Window rather than having the order fixed based on the order in which each strategy was created.

Thanks,

DaveDM

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  Historical Trades and Performance by Strategy Tab
Posted by: DaveDM - 08-13-2019, 05:00 PM - Forum: Feature Requests - No Replies

Since it is possible to have multiple strategies within one physical account, it may be hard over time to keep track of how well each specific strategy is doing within the account since the broker metrics will be on the account level.

It would be helpful for each strategy tab to track it's own historical buy/sell orders and the prices they executed at if possible, and then for each strategy tab to have it's own sub-tab (similar to Settings, Log, Portfolio sub-tabs) that show basic strategy performance metrics over time, such as date of first trade, net profit since inception, equity curve, etc. -- Key Performance Indicators (KPI's) / performance metrics could be added over time.

Thank you,

DaveDM

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  Hedging
Posted by: admin - 08-03-2019, 06:23 PM - Forum: Documentation - No Replies

Hedging
As of version 1.1, we have added the ability to hedge a strategy through hedging actions. The idea is that a user can now place an order based on their strategy's long/short exposure, which essentially grants the ability to hedge a strategy with some asset.

Before reading ahead, make sure you have read the Stock Signals tutorial.

Hedging Actions
The two hedging actions are Hedge With Exposure(HWE) and Hedge Against Exposure(HAE), which each act as their name suggests.

Hedging Unit Types
These hedging actions can only be used with some specific hedging unit types, that each behave slightly differently.

Percent of Long Exposure (%LONGEXP)

  • Open a position based on only the long exposure of your strategy (i.e. sum of the exposure of all your long stocks)
  • Note that in this case, HWE means you will be going long, and HAE means you will be going short
Percent of Short Exposure (%SHORTEXP)
  • Open a position based on only the short exposure of your strategy (i.e. sum of the exposure of all your short stocks)
  • Note that in this case, HWE means you will be going short, and HAE means you will be going long
Percent of Net Exposure (%NETEXP)
  • Open a position based on the net exposure of your strategy (i.e. long exposure - short exposure)
  • Note that in this case, HWE and HAE don't necessarily mean you will go long or short (see below for examples)

Examples
Each strategy below examines what happens when hedging with different types of portfolios.
Note that hedging actions still support the different order types, time in force, prices, etc. that regular actions support. For the purpose of these examples, we are using simple signals.
Strategy 1 and 2 are basic cases, but please go over them briefly.
We highly recommend you read the examples under Strategy 3, so you can understand exactly how hedging is handled in APM.

Strategy 1
Suppose our current strategy contains the stocks:
AAPL (long $10,000)
IBM (long $5,000)
MSFT (short $4,000)

Now we will look at what happens with various signals:

1) Use SPY to hedge with our long exposure
HWE SPY 50 %LONGEXP
We are long $15,000, so we would go LONG $7,500 of SPY.

2) Use SPY to hedge with our short exposure
HWE SPY 50 %SHORTEXP
We are short $4,000, so we would go SHORT $2,000 of SPY

3) Use SPY to hedge with our net exposure
HWE SPY 50 %NETEXP
Our net exposure is $11,000, so we would go LONG $5,500 of SPY

4) Use SPY to hedge against our long exposure
HAE SPY 50 %LONGEXP
We are long $15,000, so we would go SHORT $7,500 of SPY.

5) Use SPY to hedge against our short exposure
HAE SPY 50 %SHORTEXP
We are short $4,000, so we would go LONG $2000 of SPY

6) Use SPY to hedge against our net exposure
HAE SPY 50 %NETEXP
Our net exposure is $11,000, so we would go SHORT $5,500 of SPY

Strategy 2
Suppose our current strategy contains the stocks:
AAPL (long $1,000)
IBM (long $4,000)
MSFT (short $10,000)

1) Use SPY to hedge with our net exposure
HWE SPY 50 %NETEXP
Our net exposure is -$5,000, so we would go SHORT $2,500 of SPY

2) Use SPY to hedge against our net exposure
HAE SPY 50 %NETEXP
Our net exposure is -$5,000, so we would go LONG $2,500 of SPY

Strategy 3
Suppose our current strategy contains the same stocks as Strategy 1:
AAPL (long $10,000)
IBM (long $5,000)
MSFT (short $4,000)

But now we will use IBM to hedge:

1) Use IBM to hedge with our short exposure.
HWE IBM 10 %SHORTEXP
Our short exposure is $4,000, so we would go SHORT $400 of IBM.
Since we are currently LONG $5,000 of IBM, we would SELL $5,400 of IBM.

2) Use IBM to hedge with our long exposure
HWE IBM 10 %LONGEXP
Our long exposure is $10,000 without IBM, so we would go LONG $1,000 of IBM.
However, we are currently LONG $5,000 of IBM, so we have to SELL $4,000 of IBM.

Why do we exclude IBM when calculating long exposure? We assume that we are using IBM to hedge against the rest of the portfolio. It wouldn't make sense to include IBM in the long exposure calculation since then we would essentially be using IBM to hedge against IBM.
The same is true for short and net exposure calculations.

Limitations
1) It only makes sense to hedge with one stock in most cases. For example, take the portfolio:
MSFT (long $10,000)

and try hedging with it using AAPL and IBM:

HWE AAPL 10 %LONGEXP
HWE IBM 10 %LONGEXP

We process the AAPL signal first, so we go LONG $1,000 of AAPL.
Now we process the IBM signal (suppose after the AAPL order has been executed), but now our long exposure is $11,000, so we would go LONG $1,100 of IBM, which is $100 more than we wanted since we did not want to include AAPL in the calculation.

Similarly, hedging with multiple stocks using net exposure will also fail since the net exposure calculation will include the other hedges as well.

On the bright side, this issue does not occur when you hedge against long/short exposure. In this case, you are not including the stocks you are using to hedge in the actual long/short exposure calculation.

2) The other limitation is that you cannot hedge for strategies using screeners, since they don't take hedging signals.

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  File Formats
Posted by: admin - 07-14-2019, 07:15 PM - Forum: Documentation - No Replies

File Formats
The different file formats give you freedom in how you want to create/store signals, and can be set using the File Type field under the Local File and File Screener signal provider types.
There are three types of file formats: text, json, csv. Note that all signal files should still have the .sig extension.

The text format is described in the Stock Signals and Stock Screeners threads.
Make sure you have read these threads first in order to understand what makes up a stock signal/screener.

CSV
The csv file is for table formatted signals (comma separated values).
You can specify which columns you want to include (in any order) out of TICKER, ACTION, QUANTITY, UNIT, ORDERTYPE, LIMIT, TIF, ID.
The only mandatory fields, as with the text format, are TICKER and ACTION.
You can also include column names that are not one of the above, these columns will simply be ignored.

Here are some sample csv formatted signal files

TICKER,ACTION,date,comment,QUANTITY,UNIT,ORDERTYPE,LIMIT
AAPL,BTO,20180909,buy apple,,,,
IBM,LONG,20180909,long ibm,100,SHARES,LMT,100

ACTION,TICKER
LONG,APPL
CLOSE,IBM

Notice that you can leave fields you don't need blank. You only need to fill out fields such that the signal is valid.

The csv file format for screeners is very similar, except that only the ACTION and TICKER columns will be read, and the only valid ACTIONS are BUY/SELL (as usual for screeners).
The order of tickers in the screener is from top to bottom, similar to the text format.

ACTION,TICKER,comment
BUY,APPL,
BUY,IBM,buy ibm

JSON
The json file format allows for signals to be directly decoded from a json string, and it is only available for signals (and not screeners) as of now.

The file should contain a single JSON object that is a list of JSON formatted signals.
The valid signal fields are: Action, Quantity, Unit, Symbol, TimeInForce, OrderType, LimitPrice, SignalId.
Of these fields, Action and Symbol are mandatory.

Here is a sample json formatted file:

[
    {
        "Action" : "BTO",
        "Symbol" : "AAPL"
    },
    {
        "Action" : "LONG",
        "Symbol" : "IBM",
        "Quantity" : 100,
        "Unit" : "SHARES",
        "OrderType" : "LMT",
        "LimitPrice" : 100
    }
]

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  Known Issues
Posted by: admin - 11-20-2018, 09:35 PM - Forum: Bugs and Problems - No Replies

Known Issues
This thread will contain a list of known issues regarding APM and the softwares it is integrated with.

Interactive Brokers

  • Market on Close and Limit on Close orders cannot be placed outside of market hours on paper trading accounts.
    • Live accounts will work perfectly fine.
    • For paper trading accounts, you should either trade during market hours or use Market/Limit orders instead.

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  Podcast with Bryan Downing
Posted by: admin - 11-19-2018, 08:13 PM - Forum: News - No Replies

Thank you to Bryan for having us on his Youtube channel and discussing the Alera Portfolio Manager!
Check it out at https://www.youtube.com/watch?v=D-Ke84In26U

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