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Failed Market Orders with Specific Tickers
Dan CaJacob
posted Jan 25, 2015

One of my fundamental algorithms tries to buy AWD on 2003-06-30 and 2004-06-30, but the orders fail. I am not sure why. I use a try-except clause to paper over it.

In another case, I successfully (or without reported error) purchase shares of YRCW on 2007-06-29, but wen I try to sell it a year later on 2008-06-30, I get an error on the Sell Order. For the remainder of the simulation, YRCW stays on the books in my context.portfolio data frame, but all sell orders fail.

Can anyone explain these two strange behaviors? Both stocks seem to have been healthy at the time of attempted purchasing or selling.

Thanks in advance!

4 responses
Dan CaJacob
Jan 25, 2015

Another bit of information: though my algorithm doesn't return an error when I send the Market Order for YRCW, it looks like shares are never actually purchased, because it never shows up in Full Backtest Transaction Details. Yet, it is in the context.portfolio data frame, so I attempt to sell it later... Weird.

Alisa Deychman
Feb 2, 2015

Dan, could you attach your algo here so we can all help debug? Or if you don't want to share it, could you send me an invite to collaborate? Then I can take a look to see what's going on!

You can press the "collaborate" button in the IDE and my email is [email protected].

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Dan CaJacob
Feb 2, 2015

Thanks, Alisa. I'll get back to you on this tonight one way or another.

Dan CaJacob
Feb 3, 2015

Hi Alisa,

I just posted my latest algorithm. This is the one displaying the problem I described above. Thanks!

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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.