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SetHoldings method

Does the SetHoldings method use market orders in live trading?

If so, is there a way to use SetHoldings to queue limit orders at the best bid/offer to target the desired portfolio weighting rather than use market orders?

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Yes, Setholdings() sends the market orders. It is equivalent to 

SetHolindgs(symbol, weight)
# equivalent
quantity = self.CalculateOrderQuantity(symbol, weight)
self.MarketOrder(symbol, quantity)

For limit orders, you can use 

quantity = self.CalculateOrderQuantity(symbol, weight)
self.LimitOrder("SPY", quantity, limitPrice)
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Thanks Jing,

Is there a quick way to find the best bid / best offer price?

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Equity has trade data. Forex/Futures/Options have quote data with bid/ask spread. You can get the current bid/ask price in OnData() with 

def Initialize(self, data):
self.AddForex("EURUSD", Resolution.Minute, Marekt.Oanda)
def OnData(self, data):
     bid_open = data["EURUSD"].Bid.Open
     ask_low = data["EURUSD"].Ask.Low
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Is it possible to get the last best bid / ask for instruments which use trade data? I would guess not.. 

Is there a suggested work around to achieve this end?

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Could you give details about what instruments you need and what the last best bid/ask is?

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[Feature request]

I agree that it would be great to have a parameter in setHoldings method so that it rather places a buy/sell limit order based on the current bid/ask price (maybe along with a percentage parameter e.g. buy 0.0.1% better than the current bid). This percentage parameter can also be dynamically set as in the case for standard deviation execution model. Market orders only is not usable especially for high-frequency rebalancing.

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data["EURUSD"].Bid.Open or data["EURUSD"].Ask.Low are not working (within onData function). I have got the following error. I tried to check the content of the data dictionary by using data.keys() but that was not possible.

Runtime Error: Trying to retrieve an element from a collection using a key that does not exist in that collection throws a KeyError exception. To prevent the exception, ensure that the EURUSD key exist in the collection and/or that collection is not empty.
at OnData in main.py:line 45
KeyError : ('EURUSD',) (Open Stacktrace)

 

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Resolved using self.Securities[asset].AskPrice rather than the version that is given in above threads here.

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Hi Kamer.

I've attached a backtest where I demonstrate how to retrieve and plot data["EURUSD"].Bid.Open and data["EURUSD"].Ask.Low - check out this documentation on Handling Data for further information on data properties.

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Thank you very much. This is interesting, I believe that I have tried it same way but it did not work for me. I will check it again of course. Meanwhile, would it be possible if you can explain me why self.Portfolio.Invested is necessary? I have done the bootcamp and also read the documentation but couldn't grasp exactly its purpose.

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Kamer - regarding your feature request, what would be the fallback in case the price keeps moving against you? At what point do you give up and, at that point, do you a) fill the order at market or b) not fill at all?

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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