SetHoldings vs MarketOrder by TedVZ

TedVZ

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Say I'm long on some symbol. What's the difference betwen:

MarketOrder(item.Symbol, -Portfolio[item.Symbol].Quantity);

and

SetHoldings(item.Symbol, 0, true);

In my algorithm, on the "sell" or "close" side of things when I receive a trigger to get rid of the investment, I've tried both of the calls above, and they yield signifantly different overall backtesting results over the period and symbols I'm using.

I guess I would have expected SetHoldings to 0 would be the same as a MarketOrder to sell however many shares of the stock I'm holding in my portfolio.

But, that appears to not be the case.

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TedVZ

, ,

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Alexandre Catarino

When you call SetHoldings with `liquidateExistingHoldings` set to true, this method send a market order that will liquidate the existings holding and, after that, send another market order to set the holdings according to the second parameter (percentage).
On the other hand, when percentage is zero, the second market order will be sent with the quantity of shares we still hold. Since there is no time to account the effects of the first order, the algorithm is sending two market orders with the same quantity (and sign).

Please consider using the Liquidate helper:

List<int> Liquidate(Symbol symbolToLiquidate = null);

or, when using SetHolding, do not set `liquidateExistingHoldings` to true. Simply use `SetHoldings(item.Symbol)`.

TedVZ

540 ,

Ah, OK. I intentionally didn't use Liquidate as I thought that was an EOD operation, and I didn't want to wait for market close to close the position. Thanks for the info.

TedVZ

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SetHoldings vs MarketOrder

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