How to limit orders to available cash?

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How to limit orders to available cash?

posted Aug 13, 2016

I wanted to investigate how order_target_percent works when I try to order more than the size of my portfolio. I found out it just orders more than the size of my portfolio! This is not what I expected. Is there a way to prevent that from happening? I am wondering how my algorithm will behave in live trading, because my broker will not allow me to order more than I have in cash!

I tried modifying the context.account object in initialize, hoping if I set the buying_power variable from infinity to my available_funds it will prevent this excessive ordering. But it seems to have no effect, I am thinking the account object is not for setting only getting. Can anyone comment on that?

Thanks for any help!!

5 responses

I am new to Q but you can check your current amount of cash using this:
https://www.quantopian.com/help#api-portfolio

Hope that's what you are looking for.

Kevin - Did you find a way to figure out how much cash is available (cash minus total cost of open buy orders)?

This might help?

Thank you very much for that Lucas. Looked it over quickly and I''m assuming this should help my situation. I'm still very new to Quantopian and python in general so that method is a little overwhelming but I guess it'll give me something to play with over the weekend ;)

In your use case you can simply do this:

#  
# create an instance at initialization time  
#  
def initialize(context):  
      context.exposure = ExposureMngr(target_leverage = 1.0,   # change here if you like to increase leverage  
                                      target_long_exposure_perc = 1.00,      # long only, 100% to long positions  
                                      target_short_exposure_perc = 0.00)    # 0% to short positions




#  
#  then use the class  
#  
def handle_data(context, data):  
     # update internal state (open orders and positions)  
    context.exposure.update(context, data)  
    # get availble cash  
    available_cash = context.exposure.get_available_cash()

Try it and see if it does what you need, enjoy.

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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.