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Modifying individual positions using order_optimal_portfolio Frozen()
Blue Seahawk
edited Feb 8, 2018
Tools and Tips

For closing a few individual positions or modifying them or even adding, some examples where I examined orders to make sure this works as intended. Stemming from here with some comments worth seeing in Dan Whitnable and Karl contributions and one involving a leverage condition.
Frozen() says don't touch these, allowing a select number of other positions to be changed.
Simplified condensed version examples.

1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  
    to_close = []   # securities to be changed  
    ids = order_optimal_portfolio(  
        objective   = opt.TargetWeights(  
            pd.Series(0, index = to_close)  # the 0 means close them  
        ),  
        constraints = [  
            opt.Frozen(  
                set(context.portfolio.positions.keys()) - set(to_close)  
            )  
        ]  
    )  
    for i in ids:  
        o = get_order(i)    # order object  
        s = o.sid  
        log.info('{} {} {}'.format(s.symbol, o.filled, o.amount))

2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 

    weight_new = {} # populate these  
    order_optimal_portfolio(  
        objective   =  opt.TargetWeights(weight_new),  
        constraints = [  
            opt.MaxGrossExposure(MAX_LV),  
            opt.Frozen(set(context.portfolio.positions.keys()) - set(weight_new.keys()))]  
    )

3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 

    weight_new = {} # populate this  
    try:  
        order_optimal_portfolio(  
            objective   =  opt.TargetWeights(weight_new),  
            constraints = [  
                opt.MaxGrossExposure(MAX_LV),  
                opt.Frozen(set(context.portfolio.positions.keys()) - set(weight_new.keys()))]  
        )  
    except Exception as e:  
        frozen = set(c.portfolio.positions.keys()) - set(weight_new.keys())  
        print str([s.symbol for s in frozen])  
        print e  
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

The latter with try except is because I ran into one instance with a mysterious error, the except can provide a bit of info (you decide what to log), it avoids a crash, allows the backtest to keep running.

1 response
Dan Whitnable
Feb 8, 2018

@Blue

Great work. Good to have these all in one place. I like how you've condensed the code. Played with the 'CannotHold' constraint as a way to close holdings. This is an alternate way to close one or more holdings. Didn't do any testing but this approach, however, seems to run slower than method 1 above.


    to_close = []   # securities to close  
    ids = order_optimal_portfolio(  
        objective   = opt.TargetWeights({}),   # no target weights  
        constraints = [  
            opt.Frozen(set(context.portfolio.positions.keys()) - set(to_close)),  
            opt.CannotHold(to_close)  
            ]  )
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