Who's Wrong - Me or Amibroker?

Hi Tristan

There could be multiple reasons for the discrepancy.:

• Have you been using raw price in Amibroker?
  
  LEAN uses adjusted price in default. It is possible to change that by including the following line in Initialize method:

self.SetSecurityInitializer(lambda x: x.SetDataNormalizationMode(DataNormalizationMode.Raw))

• Did you include the effect of the commission rate in Amibroke?
  
  LEAN has a default brokerage model for reality modeling. Most strategies would turn profitable to losing after commission. It is possible to implement a custom fee model for your own need.
   
• Did Amibroker uses L1 data to fill the orders?
  
  In minute resolution you were using, level 1 bid-ask price data are available for equities in LEAN. Thus, buy order would be using ask price, and sell order would be using bid price to fill, in order to account for the effect of slippage. It is possible to implement a custom fill model for your own need.

You could download the orders from Amibroker and LEAN for comparison.

Best
Louis

Hi Tristan F ,

Since you have used data from Yahoo that doesn't include L1 data, it's likely the source of the performance difference. You can implement a custom fill model that sets the fill price with the value of the security price:

class CustomFillModel(EquityFillModel):

    def MarketFill(self, asset, order):
        fill = super().MarketFill(asset, order)
        fill.FillPrice = asset.Price
        return fill

to validate the results. However, as Louis' mentioned, you should compare trade by trade to verify whether this implementation generated the same orders.