How to handle multiple entries of the same symbol

To ensure that your two strategies do not cancel each other out when using SetHoldings and Liquidate, you can implement a tagging system to manage and track which strategy owns which positions. Here's how you can do it:

1. Assign Unique Tags: Use the tag parameter in both SetHoldings and Liquidate methods to label orders with a unique identifier for each strategy.

2. Track Strategy Positions: Maintain a record of which strategy owns which positions. This can be done using a dictionary or a custom data structure.

3. Conditional Liquidation: Before executing a Liquidate command, check if the position belongs to the strategy that is issuing the exit signal. Only allow liquidation if the position is owned by the strategy.

Here's an example implementation:

class DualStrategyAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_end_date(2020, 12, 31)
        self.add_equity("GLD", Resolution.DAILY)
        self.strategy_a_tag = "StrategyA"
        self.strategy_b_tag = "StrategyB"
        self.strategy_positions = {
            self.strategy_a_tag: False,
            self.strategy_b_tag: False
        }
    def on_data(self, data):
        # Example logic for Strategy A
        if not self.strategy_positions[self.strategy_a_tag] and self.some_entry_condition_a():
            self.set_holdings("GLD", 0.5, tag=self.strategy_a_tag)
            self.strategy_positions[self.strategy_a_tag] = True
        if self.strategy_positions[self.strategy_a_tag] and self.some_exit_condition_a():
            self.liquidate("GLD", tag=self.strategy_a_tag)
            self.strategy_positions[self.strategy_a_tag] = False
        # Example logic for Strategy B
        if not self.strategy_positions[self.strategy_b_tag] and self.some_entry_condition_b():
            self.set_holdings("GLD", 0.5, tag=self.strategy_b_tag)
            self.strategy_positions[self.strategy_b_tag] = True
        if self.strategy_positions[self.strategy_b_tag] and self.some_exit_condition_b():
            self.liquidate("GLD", tag=self.strategy_b_tag)
            self.strategy_positions[self.strategy_b_tag] = False
    def some_entry_condition_a(self):
        # Define entry condition for Strategy A
        return True
    def some_exit_condition_a(self):
        # Define exit condition for Strategy A
        return False
    def some_entry_condition_b(self):
        # Define entry condition for Strategy B
        return True
    def some_exit_condition_b(self):
        # Define exit condition for Strategy B
        return False

Key Points:

• Tagging: Use the tag parameter to differentiate between strategies.
• Position Tracking: Maintain a record of which strategy currently holds a position.
• Conditional Logic: Ensure that each strategy only liquidates its own positions based on its signals.

This approach will help you manage multiple strategies within the same algorithm without them interfering with each other.

Sources: Dual Thrust Trading Algorithm, Liquidating Positions - QuantConnect.com, Portfolio Target Tags Regression Algorithm, Covered And Protective Put Strategies Algorithm, Covered And Protective Call Strategies Algorithm