Need Help: Insufficient Buying Power Errors by Troy B

Troy B

| Reward Discussion

Can someone advise regarding how to address the 'Insufficient Buying Power' errors I'm getting when running the code shown below? I've searched the documentation and Community postings but didn't see anything that would directly help in this case.

Thanks,

Troy

Update Backtest

Troy B

Accepted Answer

Update Backtest

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Alexandre Catarino

Hi Troy B ,

The algorithm is using daily data. Consequently, the target quantities calculated by EqualWeightingPortfolioConstructionModel (and MaximumDrawdownPercentPerSecurity) models take into account the previous day closing price. Since the order, converted into MarketOnOpen order, will be filled with the current day's open price, a price gap can cause the Insufficient Buying Power error.

To fix this we recommend using minute resolution data. See also Trading and Orders: Common Order Errors.

Troy B

2.8k ,

Hi Alexandre,

Thank you for the response. I've revised the algorithm to use minute resolution data, but am still getting the errors below. The backtest is attached. Are there other settings that need to be changed?

Troy

482 | 13:47:26:

Backtest Handled Error: Order Error: id: 97, Insufficient buying power to complete order (Value:988655.22), Reason: Id: 97, Initial Margin: 898793.6177272727272727272727, Free Margin: 92341.4721439090909090909091

483 | 13:47:36:

Backtest Handled Error: Order Error: id: 1425, Insufficient buying power to complete order (Value:860577.51), Reason: Id: 1425, Initial Margin: 782357.03590909090909090909092, Free Margin: 80649.69459076363636363636363

484 | 13:47:42:

Backtest Handled Error: Order Error: id: 2018, Insufficient buying power to complete order (Value:797302.99), Reason: Id: 2018, Initial Margin: 724833.58500000000000000000001, Free Margin: 74936.62417124545454545454545

Alexandre Catarino

Hi Troy B ,

The Alpha Model is emitting insights when the market is closed (4 pm). Consequently, market orders are converted into market on open orders, and there is insufficient buying power because the open price of the next dar moved against the insight direction.

One solution to this issue is to emit an empty array of insights when the market is closed:

# In Update Method

if not all([algorithm.IsMarketOpen(x['symbol']) for x in self.mom]):

    return []

Troy B

2.8k ,

Thanks Alexandre! That took care of it.

Troy

Troy B

Update Backtest

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