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01-26-2009, 05:15 PM
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Join Date: Feb 2008
Location: Wellsville, Ut
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Realized PnL with ATM in Script
Hi,
I've used the Sample Price Modification strategy code to have an autostrategy stop trading if it accumulated X amount of Real PnL. ie, quit trading if Real PnL > $100. Now I have an autostrategy calling an ATM and the Real PnL stop trading limit doesn't work. It looks like the Real PnL is attributed to the ATM it calls instead of the strategy itself, so the strategy doesn't see any Real PnL and just keeps on rolling. Is there a way to still have the autostrategy quit trading after X PnL with an ATM being called? I guess it would have to be able to add up the ATM Real PnL and recognize that somehow ???? If so, how would you do that? Thanks, Joe |
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