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self.AddForex("EURUSD", Resolution.Daily)
slices = self.History(["EURUSD"], 1000, Resolution.Daily)
price = self.Securities["EURUSD"].Price
if price > x:
self.SetHoldings("EURUSD",5)
elif price < x:
self.Liquidate("EURUSD")Hello folks, Have a question on how some of these commands work. the set holdings loop checks the criteria for a buy every day right? please correct me if im wrong. I intend the liquidate line to remove any buys,
There is also a problem. After the first 10 or so trades the code starts to execute uneven quantities of buys. I want it to be consistently 5 as i wrote above. Also short trades are showing up in the backtest, which to me makes no sense.
Quant Trader
Can you share your complete code? I do not understand what you mean. If you have minute resolution and request a marketorder buy, the order is sent to the market the next minutes.
If I look at the source code of the unit tests, it seems that setholdings takes also the commision (fee) and margin into account:
/// <summary> /// Calculate the order quantity to achieve target-percent holdings. /// </summary> /// <param name="symbol">Security object we're asking for</param> /// <param name="target">Target percentag holdings, this is an unlevered value, so /// if you have 2x leverage and request 100% holdings, it will utilize half of the /// available margin</param> /// <returns>Order quantity to achieve this percentage</returns> public decimal CalculateOrderQuantity(Symbol symbol, decimal target) { var security = Securities[symbol]; var price = security.Price; // can't order it if we don't have data if (price == 0) return 0; // if targeting zero, simply return the negative of the quantity if (target == 0) return -security.Holdings.Quantity; // this is the value in dollars that we want our holdings to have var targetPortfolioValue = target * Portfolio.TotalPortfolioValue; var currentHoldingsValue = security.Holdings.HoldingsValue; // remove directionality, we'll work in the land of absolutes var targetOrderValue = Math.Abs(targetPortfolioValue - currentHoldingsValue); var direction = targetPortfolioValue > currentHoldingsValue ? OrderDirection.Buy : OrderDirection.Sell; // determine the unit price in terms of the account currency var unitPrice = new MarketOrder(symbol, 1, UtcTime).GetValue(security); if (unitPrice == 0) return 0; // calculate the total margin available var marginRemaining = Portfolio.GetMarginRemaining(symbol, direction); if (marginRemaining <= 0) return 0; // continue iterating while we do not have enough margin for the order decimal marginRequired; decimal orderValue; decimal orderFees; var feeToPriceRatio = 0m; // compute the initial order quantity var orderQuantity = targetOrderValue / unitPrice; // rounding off Order Quantity to the nearest multiple of Lot Size orderQuantity -= orderQuantity % security.SymbolProperties.LotSize; do { // reduce order quantity by feeToPriceRatio, since it is faster than by lot size // if it becomes nonpositive, return zero orderQuantity -= feeToPriceRatio; if (orderQuantity <= 0) return 0; // generate the order var order = new MarketOrder(security.Symbol, orderQuantity, UtcTime); orderValue = order.GetValue(security); orderFees = security.FeeModel.GetOrderFee(security, order); // find an incremental delta value for the next iteration step feeToPriceRatio = orderFees / unitPrice; feeToPriceRatio -= feeToPriceRatio % security.SymbolProperties.LotSize; if (feeToPriceRatio < security.SymbolProperties.LotSize) { feeToPriceRatio = security.SymbolProperties.LotSize; } // calculate the margin required for the order marginRequired = security.MarginModel.GetInitialMarginRequiredForOrder(security, order); } while (marginRequired > marginRemaining || orderValue + orderFees > targetOrderValue); // add directionality back in return (direction == OrderDirection.Sell ? -1 : 1) * orderQuantity; }Edvinas Jablonskis
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