Max Order Count Error?

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Max Order Count Error?

edited May 30, 2017

Hello,

I have placed a trading guard, set max order count, to max of 3 trades per day. But when I back-test it, it gives me a runtime error of trading control violation.

def initialize(context):  
    context.aapl= sid(45570)  
    set_max_order_count(3)  
    set_commission(commission.PerShare(cost=0.0000, min_trade_cost=0))

def handle_data(context,data):  
    hist= data.history(context.aapl,'price',20, '1m')  
    log.info(hist.head())  
    sma_20= hist.mean()  
    sma_10= hist[-10:].mean()  


    open_orders= get_open_orders()  


    if sma_10>1.02*sma_20:  
        order_target_percent(context.aapl,.025)  
    elif sma_10<1.05*sma_20:  
        order_target_percent(context.aapl,0)  

    record(leverage=context.account.leverage)

I've attached the code I used. Any input will be helpful!

1 response

The problem is you are trying to place more than 3 orders a day (which you set as a constraint using 'set_max_order_count(3)'). You probably realized that though. This constraint function simply throws an error, and by itself, doesn't keep you from trading more than 3 times a day. It just causes an error which unhandled will stop the program. If you don't want the program to halt then you will need to handle the error. Something like this.

def initialize(context):  
    set_max_order_count(3)  


def handle_data(context,data):  
    try:  
        order(symbol('AAPL'), 1)  
    except:  
        # put any logic here that you want to do if the order limit was reached.

See attached algo for a simple example. Look at the logs to see whats happening.

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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.