Target weights and portfolio values does not match at all when using SetHoldings. What can be the reason for that? (Please, note that I am using FX market and check those hourly so the change in asset prices can't be the reason for such a large deviation)


values = [] for asset in trade_assets: values.append(self.Portfolio[asset].Quantity * self.Portfolio[asset].Price) pvalues = np.array(values) pvalues /= np.sum(np.abs(pvalues)) self.Debug(pvalues) self.Debug(target_weights) for i, asset in enumerate(trade_assets): self.SetHoldings(asset, target_weights[i])