Hello Adam,

To short AAPL simply order(sid(24), - PositionSize) To cover (close) the short position use exactly the same code since the position size for a short position is stored as a -ve number.

Margin is the least discussed topic on Quantopian at the moment and management of margin is almost non-existent in shared algos. There are some code examples at https://www.quantopian.com/posts/template-limiting-leverage-by-brandon-ogle-and-dan-sandberg and https://www.quantopian.com/posts/a-jump-start-template.

P.

Hi Adam,

Note also that the proceeds from your short sale end up in your cash bucket.

Grant

Peter,
When setting 'context.max_notional' and 'context.min_notional', if i wanted to have a 1:1 relationship with trading capital to margin, would it make sense to set them to the same amount?

For instance:
context.max_notional=1000000.1
context.min_notional=-1000000

This is for a long/short algo.

Hello Adam,

I have to confess i've never understood it and never used it. I see why it is in the sample algo but in a multiple SID long/short algo I've always felt the long and short positions cancelled each other out in the calculation of any notional. Hopefully someone else can advise.

P.

Hello Adam and Peter,

I don't have time now, but there is a better way to handle this. Here's a function that may be of interest:

def capital_invested(context, data):

    # get a sum total of capital spent or borrowed for all current positions  
    capital = 0.0  # initialize to zero

    # check every stock in current positions (also works with set_universe)  
    for stock in context.portfolio.positions:  
        # get amount of shares in current position for this stock  
        amount = context.portfolio.positions[stock].amount  
        # get the cost basis of the shares (how much we spent on average per share)  
        cost_basis = context.portfolio.positions[stock].cost_basis

        # check if position is a short trade (negative amount)  
        amount = max(amount, -amount) # change amount to a positive number  
        # add dollar amount to the 'spent' total  
        capital += amount * cost_basis  
    # return amount of capital tied up in positions  
    return capital  

The max_notional and min_notional can work, but sometimes the algo can run off the tracks if you end up buying/selling large amounts.

Grant

Hello Grant,

Thanks - I'll have a go with that next time.

I've just remembered why I never started to use context.max_notional. I find the ".1" in

context.max_notional=1000000.1  

extraordinary and I can't believe it's necessary to do things like that in 2013.

P.