Fundamental Question

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posted May 22, 2018

Hi,
I started working with quantopian 1 week ago. I wrote my first 'trading algos' to see what happens if... and so on. But I guess I still do not understand how quantopian is handling the trades during the backtest. Lets assume we have only one stock 'AAPL' and start with 1000$ over one year.

def initialize(context):  
    schedule_function(bb_trade,date_rules.every_day(),time_rules.market_close(minutes=1))

    context.aapl = sid(24)


def bb_trade(context, data):  
    cur_price = data.current(context.jj,'price')  


    if some_condition:  
        order_target_percent(context.aapl,0)  
    elif some_other_condition:  
        order_target_percent(context.aapl,1)

What I don't get is: if I do 'order_target_percent(context.aapl,1)' ,my 1000$ should be invested in AAPL stock (at least in the amount I could buy for 1000$). What happens is, that I do 'order_target_percent(context.aapl,1)' two or more times in a row. But how can I buy Stock again with 100% of my portfolio if I already invested almost everything. Shouldn't the position be closed to do that again? Same Question for -1.
And 'order_target_percent(context.aapl,0)' means that I sell all the AAPL stock I have?

I'm looking forward to be enlightened:)

Best,
Robin

4 responses

Joakim Arvidsson (Cream Mongoose)

May 22, 2018

If you don't get filled 100% in the first minute bar (i.e. only partially filled), I believe it tries again to fill 100% of capital the next minute. I'd suggest to look at the API help doc and try to limit leverage, which should prevent you from ordering more than your current position + remaining capital.

Robin Mithoff

May 23, 2018

Thanks a lot!
There is one thing left.

Lets stay with the example of AAPL and 1000$.

I did 'order_target_percent(context.jj,1)' (the alg bought 10 shares) and made 15% return. After that I did directly order_target_percent(context.jj,-1) without leaving the position with order_target_percent(context.jj,0). The alg 'bought' -10 shares. What happens if
I go directly from 1 to -1. I do not see what is happening here.

Thanks in advance!

Robin

Joakim Arvidsson (Cream Mongoose)

May 23, 2018

Sorry, I'm not sure I'm following. The minus sign means that you're selling, and the '1' means 100% of your capital. Meaning that you first sell the 10 shares that you're long (long-sell), and then go short with whatever capital left. If you just want to liquidate your long position, put a '0' as the target percent.

Robin Mithoff

May 23, 2018

So what your saying makes sense. But the problem is, if I do a long sell with 1 to -1, my position changes from 10 shares to -10 shares. If I close my position with 0 first and go short right after that I got -20 shares. That’s confusing me.

If I have ten shares with a value approximately over 1000$ and do a long sell with -1 I’d think that I sell those ten got 1000$ and go short for approximately 10 shares. But what is the difference to 0? Why do I get -20 instead Of -10 shares this way? For me it seemed to be the same framework.

Thanks:)

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