Maybe I can clarify the questions around the order_target_percent method. First the comment "I assumed that if I ordered an allocation of 1.0 I would get the maximum amount of stocks I could afford with the cash in my portfolio." . This isn't exactly correct. Assume one has $1000 in existing positions of stock and $2000 in cash. The total portfolio value would therefore be $3000. Consider the following code

security_to_order = sid(4151)  
order_target_percent(security_to_order, 1.0)

This will place a single order of 'security_to_order' for 100% of the portfolio value or $3000. Notice it's NOT 100% of the cash but 100% of total portfolio.

"How does order_target_percent actually calculate how much stock to buy? " It works something like this pseudocode

num_of_shares = round_down(portfolio_value * allocation_percent / last_minute_price)

A couple of other comments. The order_target_percent places an order to adjust a position to a target percent of the current portfolio value. If the position doesn't already exist, this is equivalent to placing a new order. If the position does exist, this is equivalent to placing an order for the difference between the target percent and the current percent.

Hope that helps.

This helped, thank you for the response! But one part still doesnt make sense to me: my total allocation summed to 1.0, but I still bought more than 100% of my portfolio value (I am referring to my first trade so my portfolio before = $10,000,000 cash and $0 securities). The answer might just be a rounding error since $13000 would represent an over allocation of ~0.1%. I know that is a small percentage but I don't see why that pseudocode wouldn't be the preferred method as I would have guessed that most people would want order_target_percent to error on the side of safety (not leverage) unless otherwise stated. If this is the case then, the reason my portfolio changed from -13,000 to -50 in debt could be because my securities devalued, therefore lowering my portfolio value which would cause that over allocation to be a slightly larger percent which could have caused it to sell stock. Just a theory.

"I still bought more than 100% of my portfolio value"

The order_target_percent method calculates the number of shares to purchase based upon the current price. It then places a market order for these shares. If the price happens to be higher when the order actually fills then those shares will cost more. If the shares cost more it will take more cash to purchase these shares. The portfolio cash may then go negative.

One can view how orders are actually filled by looking at the backtest 'activity' tab. Looking at positions one can see, in this case, that the first fill of 87404 shares of JNJ have a unit price of 114.60. This is the average fill price. However, the order_target_percent method calculated the number of shares to order based upon the current price at the time the order was placed. That price was 114.41. If it filled at that price (87404 x 114.41 = 9999891.64) the net portfolio would be positive. However, since it filled at a higher price, the net portfolio value is negative.

Basically, since one can't predict the actual fill price, one can't exactly know how much a specific order will cost. It may cost more to fill than one expected. This is true in real life trading too. The only way to guarantee one doesn't pay more than expected is to use limit orders.