Trade frequency 1/n by Geoff L

Geoff L

edit

I am trying to make a simple change to the 1/n algorithm that was posted last week. I simply want to change the trade frequency to a defined number of days, rather than each new month. With limited skills in programming I've made attempts at coding trade frequency in days without success. Attached are my changes - trying to trade every 61 days. Any direction or help is appreciated.

Regarding this forum, community and tools you all have set up. It is amazing to see the work that has been done here. It is truly creating change and will help step the industry in a new direction.

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6 Comments

Geoff L

, ,

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Geoff L

64 ,

Project here...

Alexandre Catarino

In order to trade only at of after days that occur with a given frequency, we can compare the QCAlgorithm.Time object with a previously defined DateTime object to decide whether is a date we will trade:

public void OnData(TradeBars data) 

{   

    if (Time > nextDate) 

    {   

        /*

        Other trading logic here

        */

        nextDate = nextDate.AddDays(period);

    }

}

Geoff L

64 ,

Perfect, this is working now.
Thanks.

Geoff L

64 ,

One more question, is there any existing code examples that work to limit trade size? For example if I want to maintain a minimum trade size of $1000 in your frequency example above. I have searched through the documentation and posts and so far have not found any discussion on trade size.

Alexandre Catarino

For minimum trade volume, we need to calculate the correspondent quantity for the security price for that volume, take the maximum from it and another quantity (if we have defined it) and submit the order:

# In OnData:

var price = data["SPY"].Price;

var minTradeQuantity = 1 + (int)(targetTradeVolume / price);



// Logic to calculate the quantity,

// let's use a fixed value of 1

var quantity = 1;



// Get the maximum of calculated and minimum quantity              	

quantity = Math.Max(quantity, minTradeQuantity);



// Submit the order

Order("SPY",  quantity);

Geoff L

64 ,

Thanks, I will try working with this some more, but on first pass it seems there should be a more direct way to create a minimum trade threshold (either % or $) in SetHoldings itself. Without a min trade the $1 trade commission can create an unnecessary headwind when small trades are generated.

Geoff L

, , edit

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