Odd output - Most basic algo

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posted Jul 19, 2016

From the getting-started tutorial:

def initialize(context):  
    # Reference to AAPL  
    context.aapl = sid(24)

def handle_data(context, data):  
    # Position 100% of our portfolio to be long in AAPL  
    order_target_percent(context.aapl, 1.00)

From 2008-03-03 to 2008-03-31 with $1,000,000 initial capital yields the following transaction history:
Only day with transactions, as expect (2008-03-03).

If someone can explain to me why there are 7 transactions.
4 Buys
2 Sells
1 Buy

Buys = $1.489M
Sells = $0.490M

What causes this? I would have expected it to buy roughly $1M worth of shares, and nothing over. It uses leverage when it never had to. Simply fill 100% of portfolio and do nothing. What am I missing?

Thanks,

4 responses

Vladimir

Jul 19, 2016

Try this:

if get_open_orders(): return  
order_target_percent(context.aapl, 1.00)

Marc M

Jul 19, 2016

Vladimir,

I added your code and instead of 7 transactions, I get 3.
2 Buys $1.006M; 1 Sell $6K.

Marc M

Jul 19, 2016

Ok so I changed the initial capital to something more reasonable, i.e. $10k. Then it purchases $10.03k, and no sells.
So it seems that at large amounts, it becomes an issue with liquidity? Can someone elaborate on this?

James Hutchison

Jul 19, 2016

My suspicion is that order_target_percent simply makes a market order for the amount of capital divided by the last price with no regard for slippage or the fill rate.

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