Selling incorrect figure for only 1 ticker?

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Selling incorrect figure for only 1 ticker?

edited

Hi all,

I believe there is something messed up with the TVIZ historical data. When running the below code, my algo sells 70% of my initial cash on day 1. Whereas if I change this to TVIX, it sells just 10%(as it should). Am I missing something here? Thanks for the help!

def initialize(context):

    context.stock = sid(40514)

def handle_data(context, data):

    stock = context.stock  
    current_price = data.current(context.stock, 'price')  
    equity = (context.portfolio.cash + context.portfolio.positions_value)  
    TVIX_Amount = context.portfolio.positions[symbol('TVIZ')].amount*current_price  
    if context.portfolio.positions[symbol('TVIZ')].amount == 0:  
        order_target_value(stock, -.1*equity)

3 responses

Any help here would be appreciated!

There may be liquidity problem on day 1.
Try this:

def initialize(context):  
    schedule_function(trade, date_rules.every_day(), time_rules.market_open(minutes = 65))  
def trade(context, data):  
    stock = symbol('TVIZ')  # TVIX, TVIZ  
    order_target_percent(stock, -.2)

Thank you!

So what is the schedule_function actually doing?

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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.