Changes to a Strategy

[emretezel]

Hi Everyone,

I have been running a strategy called "prod" for some time, and very recently removed EDOLLAR and LUMBER out of the strategy (I have removed any entry in the strategy yaml file related to these instruments).

The annoyance is that in the daily reports I am still getting reconciliation/status warnings for optimal size regarding these instruments.

What would be the easiest/cleanest way not to have these instruments included in the relevant reports?

What would happen if I only change in the config files the name of the strategy from prod to prod_v2 for example?

Best,
Emre

[oldlore]

Have you tried adding them to the new "stale instruments" config element in private_config.yaml?
I haven't used that yet but that might fix the problem.

[tgibson11]

This is the correct answer.

Don't create a completely new system!!!

[tgibson11]

BTW, I haven't used this feature yet either. In case it doesn't do what we assume, it probably should.

[robcarver17]

If this doesn't do as expected, please raise an issue.

[emretezel]

They are both under stale instruments, however they are included in the reconcile reports under Optimal vs. Actual Positions reporting.

[robcarver17]

If this doesn't do as expected, please raise an issue.

[emretezel]

I would be curious to know what steps people follow when adding/removing instruments to a strategy in prod. Assuming the back testing and new optimised weights are calculated for the new set of instruments, how do people close instruments removed from the strategy (setting limits, or other config file changes).

One problem I have is that I have removed EDOLLAR from my strategy however the last time optimised position for EDOLLAR was run, the optimal position wasn't 0 and every day in the reconcile report I get EDOLLAR as optimal break. Luckily this does not translate into actual order in order stack as I have 0 limit for EDOLLAR and also marked it as stale instrument.

I would like to exclude US2 from my strategy in prod and replace it with US5, but I don't want US2 show up as optimal break in daily reporting.

Thank you,
Emre