Hi everyone,
It's me again. I was experimenting with a sample TRIX algorithm and trying to track the outstanding positions. However, somehow the number returned by 'context.portfolio.positions_value' always equals to zero.
import talib
def initialize(context):
context.futures = continuous_future('CL', offset=0, roll='volume', adjustment=None)
schedule_function(rebalance, date_rules.every_day(), time_rules.market_open(minutes = 60))
def rebalance(context, data):
spot = data.current(context.futures, 'contract')
positions = context.portfolio.positions_value
log.info(positions)
prices = data.history(context.futures, 'price', 250, '1d')
trixs = talib.TRIX(prices, 15)
trix = talib.TRIX(prices, 30)[-1]
trix_signal = talib.EMA(trixs, 9)[-1]
if trix > trix_signal and trix > 0 and data.can_trade(spot):
order_target_percent(spot, 1.0)
elif trix < trix_signal and trix < 0 and data.can_trade(spot):
order_target_percent(spot, -1.0)
record(Positions=positions, Trix=trix, Signal=trix_signal)
Appreciate if anyone can tell me what I did wrong. Thanks in advance.
