Single balance across multiple venues when backtesting

[avhz]

Hi all,

Is it possible to have a single balance across multiple venues when running a backtest ?

e.g. if I have a single strategy with 5 equities across 2 primary exchanges (NASDAQ, NYSE), how can I run my backtest with a single account balance rather than two separate balances ?

Cheers!

[cjdsellers]

Hi @avhz

This is just the presentation format of the backtest post-run analysis. For now you'd have to aggregate the final balances together from either backtest result objects, or account reports.

Hope that helps!

[avhz]

Hi @cjdsellers :)

Thanks for the quick reply!

If the live strategy is with a single broker/venue, IB with SMART routing, how does that translate to multiple venues in the backtest ?

i.e. live has a single balance with the broker, but the backtest requires multiple balances across different 'venues' (NYSE, NASDAQ, etc).

This is because I would have AAPL.NASDAQ and SNOW.NYSE for example, so two venues in backtest but a single one in live.

Just a bit confused on making backtest match live.

Cheers again!

[avhz]

An additional question slightly on topic:

If the account's base currency is X and I want the cash balance of currency Y, how can I get that?

I am trying to size positions trading in currency Y, but the balance_*(currency=Y) methods return None, I can only get balances in X.