adapting static instrument selection report for spread bets

[bug-or-feature]

Hi Rob
I'm trying to make a version of the static_system report, for spread bets. I'd like to adapt it so that it can handle variable minimum position sizes. Obviously with futures, the minimum is always one (1 contract), but for spread bets the minimum bet can vary between 0.1 to 100.0. I think its something to do with size_penalty() in optimise_small_system. I tried:

def size_penalty(maximum_position, min_bet=1.0):
    multiple_of_min_bet = maximum_position / min_bet
    if multiple_of_min_bet < 0.5:
        return 9999
    else:
        return 0.125 / multiple_of_min_bet**2

but that doesn't work. What am I doing wrong?

[robcarver17]

When you say it doesn't work, what do you mean? That code is exactly what I would write.

[bug-or-feature]

Strange output. With the report configured for capital of £10,000 and £25,000:

For capital of 10000, 24 instruments, selected order: ['DOW_fsb', 'HANG_fsb', 'US30U_fsb', 'LEANHOG_fsb', 'GAS_US_fsb', 'SOYMEAL_fsb', 'COCOA_LDN_fsb', 'COTTON2_fsb', 'BTP_fsb', 'ROBUSTA_fsb', 'COPPER_fsb', 'NASDAQ_fsb', 'GOLD_fsb', 'BUND_fsb', 'IBXEX_fsb', 'EUA_fsb', 'LIVECOW_fsb', 'SILVER_fsb', 'AUDJPY_fsb', 'FTSE100_fsb', 'DX_fsb', 'BUXL_fsb', 'US5_fsb', 'SMI_fsb']

For capital of 25000, 29 instruments, selected order: ['DOW_fsb', 'HANG_fsb', 'US30U_fsb', 'LEANHOG_fsb', 'GAS_US_fsb', 'SOYMEAL_fsb', 'COCOA_LDN_fsb', 'COTTON2_fsb', 'BTP_fsb', 'ROBUSTA_fsb', 'COPPER_fsb', 'NIKKEI_fsb', 'NASDAQ_fsb', 'AUDJPY_fsb', 'GOLD_fsb', 'LIVECOW_fsb', 'HEATOIL_fsb', 'BUND_fsb', 'OAT_fsb', 'ASX_fsb', 'SOYOIL_fsb', 'FTSE100_fsb', 'RICE_fsb', 'DX_fsb', 'CAC_fsb', 'GILT_fsb', 'CHF_fsb', 'EUA_fsb', 'COCOA_fsb']

Wouldn't we expect the instrument count to be much smaller? I would have thought 5 or 6 for 10000, and 12 or 15 for 25000. And SOYMEAL and GAS_US need a lot of capital. SOYMEAL around £11k minimum, GAS_US ~4k. HEATOIL needs ~24k so weird to see it at all.

Sample min capital report here, and costs here. They're a bit old but haven't changed much

[bug-or-feature]

And isn't it weird to have BUXL and BUND in the first selection? And both COCOAs in the second?