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Mysterious Extra Orders in Backtest
Angelo Davis
posted
Seeking Help

I use the schedule function to trigger my strategy just before close: 

    schedule_function(  
        func=my_handle_data,  
        date_rule=date_rules.every_day(),  
        time_rule=time_rules.market_close(minutes=2),  
        half_days=True  
    )

I also have the handle data function do nothing:

def handle_data(context, data):  
    pass

I am expecting to only fill orders in the last 2 minutes of the day, because my universe is the 1% most liquid stocks by dollar volume.
I am however getting a transaction every minute. It is not simply filling the remainder of an incompletely filled order from the previous day, because I get both buys and sells of the same security.

This is how I place orders:

    for security in largest:  
        order_target_percent(security, 0.5/len(largest))  
    for security in smallest:  
        order_target_percent(security, -0.5/len(smallest))

And here are just some of the orders from a random day:


date       security      transaction   quantity    last sale price     $amount  
8:16 AM      LLTC        SELL           -1175       38.49             -45223.40  
8:17 AM      LLTC        SELL           -1075       38.52             -41406.85  
8:18 AM      LLTC        BUY             3825       39.05             149373.90  
8:19 AM      LLTC        BUY              625       39.05              24407.50  
8:20 AM      LLTC        BUY             4032       39.1              157663.30  
8:21 AM      LLTC        BUY              325       39.13              12718.23  
8:22 AM      LLTC        BUY             1600       39.12              62596.80  
8:23 AM      LLTC        BUY              550       39.11              21512.15  
8:24 AM      LLTC        SELL           -1075       38.57             -41459.53  
8:25 AM      LLTC        SELL            -825       38.58             -31826.02  
8:26 AM      LLTC        SELL           -1815       38.59             -70035.40  
8:27 AM      LLTC        BUY             2387       39.12              93386.60  
8:28 AM      LLTC        BUY              750       39.11              29334.75  
8:29 AM      LLTC        BUY             1950       39.13              76309.35  
8:30 AM      LLTC        BUY             1125       39.17              44069.63  
8:31 AM      LLTC        BUY             3662       39.22             143634.63  
8:32 AM      LLTC        BUY             8566       39.37             337277.68  
8:33 AM      LLTC        SELL           -8647       38.84            -335814.89  
8:34 AM      LLTC        SELL          -18070       38.98            -704458.95

The problem usually manifests itself suddenly during the backtest (maybe after a month in) and aggregates to enormous positions (2000+%). Most times it is just one security before I stop the simulation, but sometimes it is two that have this behavior. Has anyone else had this problem? and if so what is the solution?

2 responses
pangyuteng

see the open orders section in the below post. likely the provided solution would prevent your algo to go on a shopping spree.
https://www.quantopian.com/posts/tips-for-writing-robust-algorithms-for-the-hedge-fund

John Loeber

Hey Angelo,

Ted provided a reasonable response. If that still doesn't help: there are no mistakes in how you place orders or in your scheduling function. If you still can't figure it out, I suggest you attach your code so others can take a look at it, or you can confidentially e-mail us ([email protected]), and we can try to help.

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