Balancing just the contract level position

[gdoscher]

Hi all, trying to figure out how exactly this got so screwed up, but basically there was an error in the DB which resulted in several mismatches from strategy level down to broker level in my TOPIX 20240600 position. I've made balance trades to get it back in line (balance trades and instrument level trades) but I can't get the contract level back to zero (I'm currently flat in that market). Seems if I make another balance trade (+5 contracts) it'll correct the contract level but screw up the strategy level. Any advice/guidance is greatly appreciated.

Optimal vs actual
current optimal breaks
runSystemCarryTrendDynamic AEX 0 0 False
runSystemCarryTrendDynamic SEK 0 0 False
runSystemCarryTrendDynamic RUSSELL 0 0 False
runSystemCarryTrendDynamic RUBBER 0 0 False
runSystemCarryTrendDynamic RICE 0 0 False
runSystemCarryTrendDynamic REDWHEAT 0 0 False
runSystemCarryTrendDynamic R1000 0 0 False
runSystemCarryTrendDynamic PLN 0 0 False
runSystemCarryTrendDynamic PLAT 0 0 False
runSystemCarryTrendDynamic PALLAD 0 0 False
runSystemCarryTrendDynamic OATIES 0 0 False
runSystemCarryTrendDynamic OAT 0 0 False
runSystemCarryTrendDynamic NZD 0 0 False
runSystemCarryTrendDynamic NOK 0 0 False
runSystemCarryTrendDynamic NIKKEI400 0 0 False
runSystemCarryTrendDynamic NASDAQ_micro -1 -1 False
runSystemCarryTrendDynamic MXP 1 1 False
runSystemCarryTrendDynamic MUMMY 0 0 False
runSystemCarryTrendDynamic LUMBER-new 0 0 False
runSystemCarryTrendDynamic LIVECOW 0 0 False
runSystemCarryTrendDynamic LEANHOG 0 0 False
runSystemCarryTrendDynamic KR3 0 0 False
runSystemCarryTrendDynamic KR10 0 0 False
runSystemCarryTrendDynamic KOSDAQ 0 0 False
runSystemCarryTrendDynamic JPY 0 0 False
runSystemCarryTrendDynamic JP-REALESTATE 0 0 False
runSystemCarryTrendDynamic JGB-SGX-mini 0 0 False
runSystemCarryTrendDynamic IRON 0 0 False
runSystemCarryTrendDynamic SHATZ 0 0 False
runSystemCarryTrendDynamic HEATOIL 0 0 False
runSystemCarryTrendDynamic SILVER 1 1 False
runSystemCarryTrendDynamic SMI-MID 0 0 False
runSystemCarryTrendDynamic WHEAT -1 -1 False
runSystemCarryTrendDynamic VNKI 0 0 False
runSystemCarryTrendDynamic VIX 0 0 False
runSystemCarryTrendDynamic V2X 0 0 False
runSystemCarryTrendDynamic US5 -1 -1 False
runSystemCarryTrendDynamic US30 0 0 False
runSystemCarryTrendDynamic US3 0 0 False
runSystemCarryTrendDynamic US20 -1 -1 False
runSystemCarryTrendDynamic US2 0 0 False
runSystemCarryTrendDynamic US10U 0 0 False
runSystemCarryTrendDynamic US10 0 0 False
runSystemCarryTrendDynamic US-UTILS 0 0 False
runSystemCarryTrendDynamic US-TECH 0 0 False
runSystemCarryTrendDynamic US-STAPLES 0 0 False
runSystemCarryTrendDynamic US-REALESTATE 0 0 False
runSystemCarryTrendDynamic US-PROPERTY 0 0 False
runSystemCarryTrendDynamic US-MATERIAL 0 0 False
runSystemCarryTrendDynamic US-INDUSTRY 0 0 False
runSystemCarryTrendDynamic US-HEALTH 0 0 False
runSystemCarryTrendDynamic US-FINANCE 1 1 False
runSystemCarryTrendDynamic US-ENERGY 0 0 False
runSystemCarryTrendDynamic US-DISCRETE 0 0 False
runSystemCarryTrendDynamic STEEL 0 0 False
runSystemCarryTrendDynamic SP500_micro 0 0 False
runSystemCarryTrendDynamic SP400 0 0 False
runSystemCarryTrendDynamic SOYBEAN_mini 0 0 False
runSystemCarryTrendDynamic SOFR 0 0 False
runSystemCarryTrendDynamic SMI 0 0 False
runSystemCarryTrendDynamic YENEUR 1 1 False
runSystemCarryTrendDynamic GOLD_micro 1 1 False
runSystemCarryTrendDynamic GBPEUR 0 0 False
runSystemCarryTrendDynamic EU-BANKS 0 0 False
runSystemCarryTrendDynamic EU-AUTO 0 0 False
runSystemCarryTrendDynamic ETHEREUM 0 0 False
runSystemCarryTrendDynamic EPRA-EUROPE 0 0 False
runSystemCarryTrendDynamic DOW -2 -2 False
runSystemCarryTrendDynamic DJSTX-SMALL 0 0 False
runSystemCarryTrendDynamic DAX 1 1 False
runSystemCarryTrendDynamic CRUDE_W 0 0 False
runSystemCarryTrendDynamic CORN 0 0 False
runSystemCarryTrendDynamic CHFJPY 0 0 False
runSystemCarryTrendDynamic CHF -2 -2 False
runSystemCarryTrendDynamic CH10 0 0 False
runSystemCarryTrendDynamic CAD 0 0 False
runSystemCarryTrendDynamic BUXL 0 0 False
runSystemCarryTrendDynamic BUND 0 0 False
runSystemCarryTrendDynamic BTP3 0 0 False
runSystemCarryTrendDynamic BTP 0 0 False
runSystemCarryTrendDynamic BRENT-LAST 0 0 False
runSystemCarryTrendDynamic BRE 1 1 False
runSystemCarryTrendDynamic BOVESPA 0 0 False
runSystemCarryTrendDynamic BONO 0 0 False
runSystemCarryTrendDynamic BOBL 0 0 False
runSystemCarryTrendDynamic BITCOIN 0 0 False
runSystemCarryTrendDynamic BBCOMM 0 0 False
runSystemCarryTrendDynamic BB3M 0 0 False
runSystemCarryTrendDynamic AUDJPY 0 0 False
runSystemCarryTrendDynamic AUD 0 0 False
runSystemCarryTrendDynamic EU-BASIC 0 0 False
runSystemCarryTrendDynamic GBPJPY 0 0 False
runSystemCarryTrendDynamic EU-CHEM 0 0 False
runSystemCarryTrendDynamic EU-DIV30 0 0 False
runSystemCarryTrendDynamic GBPCHF 0 0 False
runSystemCarryTrendDynamic GBP 0 0 False
runSystemCarryTrendDynamic GAS_US_mini -2 -2 False
runSystemCarryTrendDynamic GASOILINE 1 1 False
runSystemCarryTrendDynamic GAS-LAST 0 0 False
runSystemCarryTrendDynamic FEEDCOW 0 0 False
runSystemCarryTrendDynamic FED 0 0 False
runSystemCarryTrendDynamic EUR_micro 0 0 False
runSystemCarryTrendDynamic EUROSTX-SMALL 0 0 False
runSystemCarryTrendDynamic EUROSTX-LARGE 0 0 False
runSystemCarryTrendDynamic EUROSTX 2 2 False
runSystemCarryTrendDynamic EURO600 0 0 False
runSystemCarryTrendDynamic EURCHF 0 0 False
runSystemCarryTrendDynamic EU-CONSTRUCTION 0 0 False
runSystemCarryTrendDynamic EURCAD 0 0 False
runSystemCarryTrendDynamic EU-TRAVEL 0 0 False
runSystemCarryTrendDynamic EU-TECH 0 0 False
runSystemCarryTrendDynamic EU-RETAIL 0 0 False
runSystemCarryTrendDynamic EU-REALESTATE 0 0 False
runSystemCarryTrendDynamic EU-OIL 0 0 False
runSystemCarryTrendDynamic EU-MID 0 0 False
runSystemCarryTrendDynamic EU-INSURE 0 0 False
runSystemCarryTrendDynamic EU-HOUSE 0 0 False
runSystemCarryTrendDynamic EU-HEALTH 0 0 False
runSystemCarryTrendDynamic EU-FOOD 0 0 False
runSystemCarryTrendDynamic EU-DJ-UTIL 0 0 False
runSystemCarryTrendDynamic EU-DJ-TELECOM 0 0 False
runSystemCarryTrendDynamic EURAUD 0 0 False
runSystemCarryTrendDynamic ZAR 0 0 False
runSystemCarryTrendDynamic TOPIX 0 5 True
Strategy positions
strategy_name instrument_code position
0 runSystemCarryTrendDynamic BRE 1
1 runSystemCarryTrendDynamic CHF -2
2 runSystemCarryTrendDynamic DAX 1
3 runSystemCarryTrendDynamic DOW -2
4 runSystemCarryTrendDynamic EUROSTX 2
5 runSystemCarryTrendDynamic GASOILINE 1
6 runSystemCarryTrendDynamic GAS_US_mini -2
7 runSystemCarryTrendDynamic GOLD_micro 1
8 runSystemCarryTrendDynamic MXP 1
9 runSystemCarryTrendDynamic NASDAQ_micro -1
10 runSystemCarryTrendDynamic SILVER 1
11 runSystemCarryTrendDynamic US-FINANCE 1
12 runSystemCarryTrendDynamic US20 -1
13 runSystemCarryTrendDynamic US5 -1
14 runSystemCarryTrendDynamic WHEAT -1
15 runSystemCarryTrendDynamic YENEUR 1

Contract level positions
instrument_code contract_date expiry_date position
0 BRE 20240531 2024-05-31 00:00:00 1.0
1 CHF 20240617 2024-06-17 00:00:00 -2.0
2 DAX 20240621 2024-06-21 00:00:00 1.0
3 DOW 20240621 2024-06-21 00:00:00 -2.0
4 EUROSTX 20240621 2024-06-21 00:00:00 2.0
5 GASOILINE 20240628 2024-06-28 00:00:00 1.0
6 GAS_US_mini 20240528 2024-05-28 00:00:00 -2.0
7 GOLD_micro 20240626 2024-06-26 00:00:00 1.0
8 MXP 20240617 2024-06-17 00:00:00 1.0
9 NASDAQ_micro 20240621 2024-06-21 00:00:00 -1.0
10 SILVER 20240729 2024-07-29 00:00:00 1.0
11 TOPIX 20240613 2024-06-13 00:00:00 -5.0
12 US-FINANCE 20240621 2024-06-21 00:00:00 1.0
13 US20 20240618 2024-06-18 00:00:00 -1.0
14 US5 20240628 2024-06-28 00:00:00 -1.0
15 WHEAT 20241213 2024-12-13 00:00:00 -1.0
16 YENEUR 20240617 2024-06-17 00:00:00 1.0

BREAKS between strategy and contract positions: [TOPIX]

Broker positions
instrument_code contract_date expiry_date position
1 BRE 20240531 2024-05-31 00:00:00 1.0
11 CHF 20240617 2024-06-17 00:00:00 -2.0
10 DAX 20240621 2024-06-21 00:00:00 1.0
3 DOW 20240621 2024-06-21 00:00:00 -2.0
12 EUROSTX 20240621 2024-06-21 00:00:00 2.0
2 GASOILINE 20240628 2024-06-28 00:00:00 1.0
7 GAS_US_mini 20240528 2024-05-28 00:00:00 -2.0
15 GOLD_micro 20240626 2024-06-26 00:00:00 1.0
0 MXP 20240617 2024-06-17 00:00:00 1.0
6 NASDAQ_micro 20240621 2024-06-21 00:00:00 -1.0
5 SILVER 20240729 2024-07-29 00:00:00 1.0
4 US-FINANCE 20240621 2024-06-21 00:00:00 1.0
8 US20 20240618 2024-06-18 00:00:00 -1.0
9 US5 20240628 2024-06-28 00:00:00 -1.0
14 WHEAT 20241213 2024-12-13 00:00:00 -1.0
13 YENEUR 20240617 2024-06-17 00:00:00 1.0

BREAKS between broker and DB stored contract positions: [TOPIX/20240613]

[craigmediaservices]

I had a similar issue.

To resolve I had to do:

14: Balance instrument trade: Create a trade just at the strategy level and fill (not actually executed)

This resolved the Strategy vs Contract Level discrepancy.

Then I followed with

13: Balance trade: Create a series of trades and immediately fill them (not actually executed)

And manually entered the details, this fixed the Strategy and Contract to then match the actual Broker positions.