Looking for some advice on position management engines across multiple strategies.
I used to run one main account with multiple subs running different strategies. Now that market conditions have changed a bit and Iâve added new strategies (some longer term and some shorter term) Iâm running into some issues where Iâll get crossed signals, for example, an intra-day long on a stock (hold for 3-4 hours) and then during that hold Iâll get a short-term short signal for the stock. I understand how you canât be long and short the same stock (painting the tape) and I understand how risk/compliance needs to flatten my position if that happens.
Iâm looking at more advanced position management where I would run all of my strategies in the same account. This requires my execution engine to be aware of my positions â essentially it would need to check my basket of long/short stocks prior to executing. For example if Iâm long 1000 SPY intra-day and I get a short signal on 400 SPY then I would need to reduce my long position down to 600 SPY rather than be long 1000 in one sub acct and short 400 in another sub account. Iâm thinking that my position management needs to be closer to options (Buy to open/sell to open and buy to close/sell to close) versus just buy, sell, sell short, cover. In the example above Iâm currently long 1000 and will sell short 400, being net long 600 but with exposure to 1400, which is a no-no. What I need to do is be long 1000, sell 400 (reducing my position to long 600) and then buy back 400 long when I would get my buy to cover signal. This would effectively average down my 1000 long price which would give me the same P&L and keep me compliant.
Has anyone done this and could you share (here or via PM) any issues you ran into? Complicated position management isnât really that hard â but I need the code to be light & nimble so that my execution speed is equally as fast. I also need to maintain the same speed AND essentially combine 20 strategies into one giant engine.
Thx for any advice.
I used to run one main account with multiple subs running different strategies. Now that market conditions have changed a bit and Iâve added new strategies (some longer term and some shorter term) Iâm running into some issues where Iâll get crossed signals, for example, an intra-day long on a stock (hold for 3-4 hours) and then during that hold Iâll get a short-term short signal for the stock. I understand how you canât be long and short the same stock (painting the tape) and I understand how risk/compliance needs to flatten my position if that happens.
Iâm looking at more advanced position management where I would run all of my strategies in the same account. This requires my execution engine to be aware of my positions â essentially it would need to check my basket of long/short stocks prior to executing. For example if Iâm long 1000 SPY intra-day and I get a short signal on 400 SPY then I would need to reduce my long position down to 600 SPY rather than be long 1000 in one sub acct and short 400 in another sub account. Iâm thinking that my position management needs to be closer to options (Buy to open/sell to open and buy to close/sell to close) versus just buy, sell, sell short, cover. In the example above Iâm currently long 1000 and will sell short 400, being net long 600 but with exposure to 1400, which is a no-no. What I need to do is be long 1000, sell 400 (reducing my position to long 600) and then buy back 400 long when I would get my buy to cover signal. This would effectively average down my 1000 long price which would give me the same P&L and keep me compliant.
Has anyone done this and could you share (here or via PM) any issues you ran into? Complicated position management isnât really that hard â but I need the code to be light & nimble so that my execution speed is equally as fast. I also need to maintain the same speed AND essentially combine 20 strategies into one giant engine.
Thx for any advice.
