Need help in finding the quantity.

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Need help in finding the quantity.

posted Jun 23, 2015

Hello,

I am trying to back test my strategy with initial capital as $10000. My algorithm does some signal generating stuff and places and takes appropriate trades according to the signals.

Explaining with an example.
1) When position is 0 a LONG trade triggers and my algorithm must buy a stock of quantity (my_capital(i.e context.portfolio.cash) / stock's current price).
2) Next SHORT's entry will be LONG's exit at that time My algorithm must first square of the LONG which is by selling the same stock of same quantity which as placed earlier in long And then it should enter the short by placing a sell order of quantity (cash remaining in my portfolio / stock's current price) .

Now, the problem I am facing is that I am unable to find out (cash remaining in my portfolio / stock's current price). Actual problem is that portfolio.cash seems like updating every minute because of which I am unable to find out the actual balance in my account. Also, I am unable to find out the executed price of the first sell order. I know that (cost_basis-comission) will give me executed price But seems like even the cost_basis updates next minute. How can i find (cash remaining in my portfolio / stock's current price) ??

Thanks.

3 responses

Hey Suraj. Orders are filled at the end of each bar. You won't be able to get the cost basis until the next bar because the orders aren't executed until the end of the current bar. Additionally, because of this, your cash won't update until the orders are actually executed and we know what the fill price was.

One recommendation is to use order_targets, like order_target_percent, to generate orders for you. This won't help you, though, if you want to make orders based on your current cash. If you need a more "current" version of cash based on your expected orders for next bar, you could make some variable, current_cash = context.portfolio.cash, at the beginning of each bar. You can then subtract away from that when you place orders. I added a quick example below. Note that this is just an estimate, and it COULD be off by a nontrivial amount. Generally, I'd recommend not placing orders based on your current cash, but rather rebalancing based on your portfolio's net value.

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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.

Thanks Gus gordan.

@Suraj, @Gus - Don't forget to allow for commissions and slippage, otherwise you'll end up owing money and having to sell some shares immediately.

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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.

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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.