Re-running strategy generator without updating data yields different results

[TobiasAntiGravity]

Hi Guys

Re-running the strategy generator, without running any price updates, has altered the stack order content. This has happened on two occasions. I do not understand why. Writing here to get input on what the logic might be. Concrete example that happened today;

I had set nasdaq_micro to roll yesterday. I was currently holding -1 positions in the instrument. daily price updates did not run as normal yesterday evening, because of issues with the IBKR connection.
So I ran end of day processes this morning. Looking at the reconcile report I could see that the system wanted to close the nasdaq_micro position.
Looking at the order stack however it showed both an instrument order to roll nasdaq_micro, and an instrument order to close the position.

Obviously an actual roll is uneccessary if the position is closing - so I ran the end of day process, removed set nasdaq_micro to "no_roll", ran the strategy generator again and then viewed the instrument order stack, to find that the roll order was gone.

What I did not notice when checking the stack (there were several trades in the instrument stack) is that the system had decided to close the OAT position. This was not listed in the reconcile report, run just a few hours before. No prices was updated in between running the report, and re-running the stack generator. Is there a possible explanaition for this?

The first time it happened was when I went live. Stack handler kept crashing and I was fumbling my efforts to try to execute two instrument orders manually. Re-running the strategy generator without updating anything removed the two instrument orders from the order stack.

EDIT;
Actually - it looks like more changes occured when re-running the strategy generator;

This is the breaks from my reconcile report this morning;

Breaks Optimal vs actual ['rob_system MSCISING', 'rob_system US10U', 'rob_system CORN', 'rob_system SILVER', 'rob_system TOPIX', 'rob_system NASDAQ_micro']

while this is what is in the instrument order stack after re-running strategy generator;

(Order ID:205) Type best for rob_system SILVER, qty [1], fill [0]@ price, None Parent:no parent Children:[170]
(Order ID:206) Type best for rob_system NASDAQ_micro, qty [1], fill [0]@ price, None Parent:no parent Children:[171]
(Order ID:207) Type best for rob_system MSCISING, qty [-1], fill [0]@ price, None Parent:no parent Children:[172]
(Order ID:208) Type best for rob_system RUSSELL, qty [-1], fill [0]@ price, None Parent:no parent Children:[173]
(Order ID:209) Type best for rob_system US10U, qty [-1], fill [0]@ price, None Parent:no parent Children:[174]

Oat is not there, because it was executed.

[robcarver17]

Are you running dynamic or static optimisation?

[TobiasAntiGravity]

DO

[robcarver17]

Did you run a system backtest update?

[TobiasAntiGravity]

No, I would understand the changes more in that case.

[robcarver17]

So one of the DO inputs must have changed to get a different result:

• current position (did some trades happen in between the two runs, not clear)
• covariance matrix (prices haven't changed, so shouldn't change)
• optimal position unrounded (wouldn't have changed if you didn't run a backtest update)
• Maximum position / No trade constraints (assume you didn't do something here)
• per contract value (unlikely to change if price didn't unless FX changed)
• costs (again unlikely to change)
• DO parameters (you would have known, right?)

[TobiasAntiGravity]

Well - it looks like positions could have changed. Yesterday I rolled EU-Tech and EU-oil using force outright - This morning I saw that the roll had occured by looking at the contract date in the DB and broker positions. The roll report was however, still showing yesterday's contract dates. (they were still flagged as force outright, and price / forward contracts were out of sync with broker positions.) So I might have corrected this before re-running the order generator. Must have I guess.

Thank you for the run through Mr. Carver!