average_entry_price in Strategy is wrong about jesse HOT 5 CLOSED

Nice catch. I'll fix it. Thank you

from jesse.

Thanks a lot,
self.position.entry_price was the bad boy I was looking for.
I agree with you then... if self.position is resuming all info about current position, then self.average_entry_price should report only the average entry price of the last order.
I am closing the issue.
Thanks again

from jesse.

I worked on this for hours today. Turns out it's harder that I expected. The easy fix is to consider average_entry_price as average of open orders. But I don't think that would be enough. How would that be in your use case?

from jesse.

For hours!!! I kinda feel sorry for having found the bug now 😅

Well, I'd say that average entry price is the weighted average of all the executed buy (sell) orders; and once the position is liquidated the average_entry_price should be reset.
So let's say I do in sequence:

1. in go_long() I do

qty = 0.5
self.buy = qty, self.price   

2. in update_position I do

qty = 0.7
self.buy = qty, self.price

3. in update_position I do

qty = 0.9
self.buy = qty, self.price

Assuming all 3 buy orders are executed at market price, I expect average_entry_price to be:

0.5 * marketPrice@1. + 0.7 * marketPrice@2. + 0.9 * marketPrice@3. / ( 0.5 + 0.7 + 0.9)

I annotated marketPrice@X. and not self.price@1. just so you know that I am aware of the fact that at the moment when jesse executes the order of type "MARKET" the market price can be different from self.price
The real point of average_entry_price is the weighted average of all the entry prices times the quantities.

I am not sure how the average_entry_price should be updated when you reduce the position 🤔

from jesse.

I'm sorry for the long delay.

Well, in your example you don't need average_entry_price! You could simply use self.position.entry_price.

So I guess I have more time to work on average_entry_price in the future. The problem I found in it after digging into it, is that, it is currently returning the average of OPEN entry orders only. So if you do:

self.buy = [
    (0.5, 6),
    (0.5, 8),
]

average_entry_price gives you 7 which is expected. But if you already have an open position let's say at:

self.buy = 1, 5

And then access in update_position do:

self.buy = [
    (0.5, 6),
    (0.5, 8),
]

No you might expect the average_entry_price to be the average of all three prices weighted by their qty, but it's not. It's only the average of the 2 newly submitted orders.

So since we already have self.position.entry_price for executed orders, maybe it makes sense to leave it as is. But still, we maybe the name of it is confusing and should point to OPEN orders. What do you think?

from jesse.