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Edvinas Jablonskis INVESTOR

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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.

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Edvinas Jablonskis

Accepted Answer

Update Backtest

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Quant Trader

3k ,

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 INVESTOR

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