Implementing Maximum open trades

Hey vronghel 

You can check the invested values in the Portfolio with this code:

invested = [x.Key for x in self.Portfolio if x.Value.Invested]

That way we can check the lenght in “invested”:

for x in self.Portfolio.Keys:
     invested = [r.Key for r in self.Portfolio if r.Value.Invested]
     if len(invested) < 5:
        self.Buy(x, 1)

This way the algo stops investing after 5 orders. If you sell an asset it will automatically go down because it always checks the number before investing into another asset.

Hope it helps ;)

Hi Nico,

Thanks for the answer.

But is it possible to translate it to C# cause I'm not familiar with python.

Thanks in advance.

Hey vronghel 

I have not really an idea of c# but thats what I came up with, there is still an error in the code maybe you can solve it. 

#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;   
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QuantConnect.Data.Custom.AlphaStreams;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect 
{   
    /*
    *   QuantConnect University: Bollinger Bands Example:
    */


    public class MeasuredYellowHamster : QCAlgorithm
    {
        int test = 0;
        public override void Initialize()
        {
            SetStartDate(2022, 8, 29);  //Set Start Date
            SetCash(100000);             //Set Strategy Cash
            
            AddEquity("SPY", Resolution.Hour);
            AddEquity("BND", Resolution.Hour);
            AddEquity("AAPL", Resolution.Hour);
            AddEquity("TSLA", Resolution.Hour);
            AddEquity("MSFT", Resolution.Hour);
            AddEquity("META", Resolution.Hour);

        }

        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// Slice object keyed by symbol containing the stock data
        public override void OnData(Slice data)
        {
                foreach (var symbol in Portfolio.Keys)
                {
                    
                    
                    var invested = from ticker.Key in Portfolio where ticker.Value.Invested select ticker.Key;
                    if (invested.Length < 4)
                    {
                        Buy(symbol, 1);

                    }
                }

              
            
            
            
        }

    }
}

Hi Nico,

Thanks for trying to convert the code to c#.

But I cant find the correct answer either without the errors.

Hi Vronghel,

See the attached backtest for a working C# example. We can't always use the logic of counting the number of invested assets in the portfolio like the earlier examples because it doesn't work in all cases. For example, if we use daily data, the orders aren't filled until the following bar. 

Best,
Derek Melchin

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Hi Derek,

Thanks for your answer.

Hi Derek,

I Implemented the counting method in my code but the problem is that there is an invalid order the counter still raised with 1 even though there is no trade been placed.

Is it possible to count the assets in my portfolio? So that there can be a maximum of altcoins in my portfolio?

Thanks in advance.

David

Hi Vronghel

To handle that, move the counting process into OnOrderEvent handler such that we can only count if an order got fully filled:

public override void OnOrderEvent(OrderEvent orderEvent)
{
    if (orderEvent.Status == OrderStatus.Filled)
    {
        _numOpenPositions++;
    }
}

Best
Louis