Calculate_order_quantity returning none - why?

from datetime import datetime

class WellDressedRedFly(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2021, 2, 1)
        self.set_end_date(2021, 2, 4)
        self.set_cash(100000)
        self.add_forex("GBPZAR", Resolution.HOUR)
        self.add_forex("USDNOK", Resolution.HOUR)

    def on_data(self, data: Slice):
        if self.Time == datetime(2021, 2, 1, 19):
            sym = "GBPZAR"
            quant = self.calculate_order_quantity(sym, 1)
            if not quant:
                self.log(str(self.Time) + " not bought " + sym)
            self.market_order(sym, quantity=quant)

        if self.Time == datetime(2021, 2, 2, 19):
            sym = "USDNOK"
            quant = self.calculate_order_quantity(sym, 1)
            if not quant:
                self.log(str(self.Time) + " not bought " + sym)
            self.market_order(sym, quantity=quant)

        if self.Time == datetime(2021, 2, 3, 19):
            sym = "GBPZAR"
            quant = self.calculate_order_quantity(sym, 1)
            if not quant:
                self.log(str(self.Time) + " not bought " + sym)
            self.market_order(sym, quantity=quant)

            sym = "USDNOK"
            quant = self.calculate_order_quantity(sym, 1)
            if not quant:
                self.log(str(self.Time) + " not bought " + sym)
            self.market_order(sym, quantity=quant)
            self.market_order(sym, quantity=10000)

Sources: Basic Template Index Daily Algorithm, Handling Data - QuantConnect.com, Bybit Custom Data Crypto Regression Algorithm, Short Term Reversal With Futures, Momentum Effect In Commodities Futures

In the meanwhile I found two possible solutions on how to calculate the position size, specifically for forex:

1. This one is probably the easiest alternative using set_holdings. Initially, I wanted to avoid set_holdings as it does not directly yield an order_ticket (which I need to keep track of the order and to get the fill price to close the position later). However, one can easily use the last_order_id to get the ticket.

# Place an order to set holdings to 100%
self.SetHoldings(self.symbol, 1)

# Get the last order id
last_order_id = self.Transactions.LastOrderId

# Get the order ticket for the last order
ticket = self.Transactions.GetOrderTicket(last_order_id)

# Get the average fill price of the order
fill_price = ticket.AverageFillPrice

# Print the fill price
self.Debug("Fill Price: {}".format(fill_price))

2. This one uses leverage, margin and currency price (although might be difficult when using crosses to calculate the position size for a USD account…or needs cross-conversion rate applied)

Still, I wonder what's up with the calculate_order_quantity?

Okay, now I understand how calculate_order_quantity works. It seems closely related to how set_holdings works. If the position of a forex pair is 0, then calculate_order_quantity(symbol, 1) calculates and returns the position size. However, if a position is then opened (with market_order or set_holdings(symbol, 1) and calculate_order_quantity(symbol, 1) is called again, it returns None, as it is aware of currently existing positions. If calculate_order_quantity(symbol, 2) is called, it returns a value, like if set_holdings(symbol, 1) would be called again doing nothing or set_holdings(symbol, 2) increasing the position accordingly.

        if self.Time == datetime(2021, 2, 1, 19):
            
            # Gets executed
            sym = "GBPZAR"
            quant = self.calculate_order_quantity(sym, 1)
            if not quant:
                self.log(str(self.Time) + " not bought " + sym)
            self.market_order(sym, quantity = quant)

        if self.Time == datetime(2021, 2, 3, 19):

            # Not executed because quant is None
            sym = "GBPZAR"
            quant = self.calculate_order_quantity(sym, 1)
            if not quant:
                self.log(str(self.Time) + " not bought " + sym)
            self.market_order(sym, quantity = quant)

            # Gets executed
            quant = self.calculate_order_quantity(sym, 2)
            if not quant:
                self.log(str(self.Time) + " not bought " + sym)
            self.market_order(sym, quantity = quant)