Possible bug in blotter
On 12/22/2010 04:30 AM, Wolfgang Wu wrote:
thank you for the explanation. I understand this now. However consider a different example where the security is now a futures contract with a multiplier of 2. Then blotter will produce a wrong End.Eq. (See example code) I suspect the Con.Mult column in the first row of the portfolio object is set wrongly and is causing the problem. Would you agree?
The first row doesn't have anything to do with it. That row has a zero value, and is only there to initialize things. It does appear that your example highlights a problem in the multiplier being applied to one of the Avg.Cost columns in the $posPL slot. We'll investigate and fix. Thanks for the report. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock