ISecurityProvider.GetHoldingsQuantity() Not Working by Travis Teichelmann

Travis Teichelmann

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Hello,
I'm trying to get the current portfolio holdings of a security that I've purchased but It doesn't seem to be working.
Is there a better way to get the current portfolio holdings quantity?
public void OnData(TradeBars data, ISecurityProvider _securityProvider)
var holdingQuantity = _securityProvider.GetHoldingsQuantity(symbol); Log("q" + holdingQuantity);
Thanks!

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6 Comments

Travis Teichelmann

, ,

Accepted Answer

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Michael Handschuh

STAFF ,

Hey Travis,

You can't change the signature of your OnData method. The engine looks for specific methods of the form OnData(DataType), in this case, OnData(TradeBars), so by adding the ISecurityProvider parameter it confuses the engine and it never gets called! If you want to get your holdings for a particular symbol you can use the following:var holdings = Portfolio[symbol]; var holdingsQuantity = holdings.Quantity

Travis Teichelmann

5.6k ,

Hey Micheal,

Thanks for the quick response, I was also trying to declare private readonly ISecurityProvider _securityProvider; before Initialize. The console would say that there was no object reference set.
When I backtest Log("Quantity: " + holdingsQuantity); the console returns

2016-03-07 09:30:46 Quantity: 0
2016-03-07 09:30:47 Quantity: 0
2016-03-07 09:30:48 Quantity: 0

Michael Handschuh

STAFF ,

If you declare the a variable in your algorithm it needs to be initialized. So if you have the following:private readonly ISecurityProvider _securityProvider;Then it will always have the default value of null unless you explicitly set a value to that variable. The ISecurityProvider interface is used internally by the engine and brokerage implementation. The Portfolio object implements the interface, so you could add this to Initialize to get it to work:_securityProvider = Portfolio;But typically it's just easier to directly access the holdings via Portfolio[symbol].Quantity

Travis Teichelmann

5.6k ,

Great! Things are going well now. I needed to declare var holdings = Portfolio[symbol].Quantity; AFTER the algorithm buys. Thank you for helping me brainstorm Micheal.

Michael Handschuh

STAFF ,

Absolutely correct Travis. If you like, you can save off the SecurityHoldings object and reference it whenever you like using:var securityHoldings = Portfolio[symbol];Then any time you access securityHoldings.Quantity you should get the correct answer. If you're interested in the reasoning behind all of this, check out this link describing the different between reference types and value types.

Travis Teichelmann

5.6k ,

Thanks Micheal

That resource really sheds some new light on the difference between value and reference types. I like how constructors and memory allocation are explained. I've gotten pretty far in the MVA course but Bob still hasn't gone over what I just read.

FYI, I did end up offloading the security holdings to a variable and I'm super close to a fully functioning strategy.

Travis Teichelmann

, , edit

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