Is there a good way to do a sell all stocks at market close using order_optimal_portfolio?
I can use a hack like this, ,but looking for something cleaner:
def initialize(context):
...
schedule_function(sell_all, date_rules.every_day(), time_rules.market_close(minutes=1))
def sell_all(context,data):
order_optimal_portfolio(
objective=opt.TargetWeights({sid(8554): 0.0}) ,
constraints=[],
)
If you remove the 'minutes=1' and just leave the brackets empty, that should give you the last price bar for the day, no? I don't believe the Zipline supports MOC or LOC order types, neither of which are guaranteed to fully fill anyway as far as I know. If you want to be sure to completely liquidate all positions by the close, I think your best bet is to do it a few minutes before the close, depending on the size you need to liquidate and volume available.
schedule_function(sell_all, date_rules.every_day(), time_rules.market_close())
Hi Arun,
Your method of setting target weights to 0.0 for all stocks in your portfolio at the end of each day works well! I wouldn't say this is a hack; situations like this are why schedule_function is so useful.
Also, @Joakim is correct that you might need to allow additional time to liquidate all positions fully, depending on the stocks you hold.
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