I have problem in understanding "self.Portfolio.Invested" by Uhahahaha

Hi,

I have a question while I'm following the bootcamp video.

It is on the "Buy & Hold with a Trailing Stop Tutorial - Managing Order Risk in QuantConnect" https://www.youtube.com/watch?v=oJstb5nMSZg&list=PLD7-B3LE6mz5jsEb127kdyJVMJrBNfbmI&index=4.

Below is the copy of the code

---------

from AlgorithmImports import *

class T03BuyAndHoldWithATrailStop(QCAlgorithm):

stopMarketTicket=None
stopMarketFilledTime=datetime.min

def Initialize(self):
# Locally Lean installs free sample data, to download more data please visit https://www.quantconnect.com/docs/v2/lean-cli/datasets/downloading-data
self.SetStartDate(2018, 12, 1) # Set Start Date
self.SetEndDate(2019, 4, 1) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self.spy=self.AddEquity("SPY", Resolution.Minute)
self.spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.lastOrderEvent = None

def OnData(self, data: Slice):
if not self.Portfolio.Invested:
self.stopMarketTicket=self.StopMarketOrder("SPY", -500, 0.90*self.Securities["SPY"].Close)
self.MarketOrder("SPY", 500)

-----------
I don't understand how "StopMarketOrder" is running in this example. If "MarketOrder" is filled, then I'm expecting that self.Portfolio.Invested becomes true and then StopMarketOrder should not run.
Is there anyone who can teach me how "StopMarketOrder" is running ?

Hi Sangkook,

In the code you provided, the StopMarketOrder is indeed placed when the portfolio is not invested. However, it's important to note that the StopMarketOrder and MarketOrder are placed almost simultaneously, and the StopMarketOrder does not require the portfolio to be not invested to be placed.

Here's how it works:

When the portfolio is not invested, the algorithm first places a StopMarketOrder. This order will only be filled if the price of "SPY" falls to 90% of the current closing price. This order essentially acts as a stop loss to limit potential losses.
Immediately after placing the StopMarketOrder, the algorithm places a MarketOrder to buy 500 shares of "SPY". This order is filled at the next available market price.
After these orders are placed, self.Portfolio.Invested will indeed be True, but this does not affect the StopMarketOrder that has already been placed. If the price of "SPY" falls to the stop price, the StopMarketOrder will be filled, selling the 500 shares that were bought.

So, in summary, the StopMarketOrder is a protective order placed at the same time as the MarketOrder to limit potential losses if the price of "SPY" falls.

You can refer to the following knowledge sources for more information:

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.

Platform

Radically Open-Source Algorithmic Trading Engine

Join Our Discord Channel

Quarterly Open-Source Trading Competition

Draft Discussions

Bookmarked Discussions

SEARCH DISCUSSIONS

360,400 Quants.

VOTE FOR UPCOMING FEATURES

JOIN OUR Community MAILING LIST

IN THIS RESEARCH

PARTICIPANTS

Actions

Join QuantConnect for Free