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Performance reports for JANUS models are all incorrect
Topic Starter
Wed Aug 31, 2022 - 22:48
Not sure what the problem might be.
8 RESPONSES
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Thu Sep 1, 2022 - 09:06
Yes, we're looking at it. Working on it.
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Topic Starter
Fri Sep 2, 2022 - 20:21
Did you ever get a chance to look at this Cone?
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Topic Starter
Tue Sep 6, 2022 - 22:51
Just checking back Cone
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Wed Sep 7, 2022 - 07:07
Because you alerted us precisely at the time we were working the problem with erroneously filling Limit orders, I had assumed your issue was same.

I quickly looked just now at Janus 3 and 4 and nothing incorrect is popping out at me. What are you seeing? Be specific.
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Topic Starter
Wed Sep 7, 2022 - 07:20
Cone, on that particular day all of the models showed losses between 8%-16% when in actuality the performances were in the range of -0.5%-+1% (if I remember correctly)
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Wed Sep 7, 2022 - 18:43
Okay, probably that was another symptom of what caused our erroneous limit order fills that day. One of our data providers sent us a bunch of zeroes for prices that were processed as valid.
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Topic Starter
Thu Sep 8, 2022 - 08:08
Understand. Quite unfortunate. Has this been corrected for my models?
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Thu Sep 8, 2022 - 08:36
Let's go back. Be specific. What error are you seeing *now*?

Performance is recalculated every 30 minutes during market hours, but we're still talking about something that happened last week?
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