Bug in order_target_percent

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Bug in order_target_percent

posted Mar 23, 2014

I have recently been tearing my hair out trying to figure why I get different results for the same algorithm in Quantopian and Zipline. After many hours, I discovered this bug in Quantopian: if you order a target 100% of a stock and some days later again order a target of 100% (which shouldn't change anything, as the stock is already at 100%), the portfolio CASH changes.

If you try the same in Zipline, you get a warning that you are trying to place an order for amount = 0, which is fine, and the portfolio CASH doesn't change, as expected.

Obviously, over an extended backtest period, the difference mounts up - in my case the difference ended up being > 100%!

3 responses

Hello Dave,

I've attached a backtest with these settings to rule out commission and slippage effects:

set_commission(commission.PerShare(cost=0))  
set_slippage(slippage.FixedSlippage(spread=0.00))

However, keep in mind that effectively there is slippage built into the backtester, since the price at order submission differs from the fill/execution price by one bar period (a whole day when running on daily bars).

It bears more investigation, but I figure that SPY must be paying out a dividend, and then order_target_percent periodically re-invests the dividend, driving cash back to zero.

Does this shed any light on what you are trying to sort out?

Grant

Thanks for the quick response Grant. I had assumed that 'price' was adjusted for splits and dividends.

No, unfortunately haven't yet solved the Quantopian/Zipline puzzle. But I'll keep you posted if I discover anything...

How are you handling dividends in zipline? Per the Quantopian help, when running the online backtester:

Dividend events modify the security price and the portfolio's cash balance

Are you doing the same in zipline?

Another comment is that unless you get cash = 0 exactly in the online backtester, I'd expect some level of adjustment by order_target_percent due to the inherent slippage mentioned above (and perhaps rounding to whole numbers of shares).

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.