Hello community, sorry for not being clear enough in the blog post. We are not going to recalculate the darwins.
The main reason is that we can’t simulate real market conditions in the price executed in the darwin in those trades that are not traded in the underlying strategy.
To explain it i will give you an example.
As you know the darwin takes the fill price from the underlying strategy but whenever the risk manager acts we don’t have any fill price from the trader, and therefore we need to take the price from the market at that moment.
One trader opens an eurusd trade at 1.12012, but he had an gbpusd open at that moment.
The darwin will make also a trade in the gbpusd and we don’t have any execution price for that asset.
Even though we are collecting tick data since 2 years ago it is really complicated to ensure the same price we have in real time.
Thats the reason why in the blog post both charts (blue-red) are based on simulations, to see the real difference (spread) between both risk managment logics.
I hope now is clear why and sorry again.