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What is the most robust way to access the number of days a security has been held? I've been using self.PurchaseDate[stock], as in the code below. The code below works perfect, unless my live algorithm crashes, or I stop it while securities are owned. So then, if I try to launch my algorithm, with securities already owned, it doesn't appear that a value for self.PurchaseDate[stock] exists anymore. Is there a better way to determine the number of days held?
for stock in self.stock_list:
if self.Portfolio[stock].Invested == True:
bought = self.PurchaseDate[stock]
time_owned_raw = now - bought
days_owned = time_owned_raw.days + 1 #need the +1 to compensate
self.do[stock] = days_owned
AMDQuant
I am still interested to know the most robust way to calculate the number of days owned, but please disregard my code. I just realized that in lieu of actually pulling the purchase date (because I couldn't figure out how to do it), self.PurchaseDate[stock] is a user defined dictionary, in which, I capture the time (self.Time) at the time of purchase.
HanByul P
Hi AMDQuant, You can use a dictionary and make a helper function to count days. In my example (see below), we buy each stock everyday at 9:45, hold it for 5 days, and sell it. Please see below codes and backtest I attached. I'm sure there will be many better ways. Hope this would help. Thanks :)
..... self.check_days(self.stock_list) # deploy 'check_days()' function for stock in self.stock_list: if not self.Portfolio[stock].Invested: self.SetHoldings(stock, 0.5) self.hold_day[stock] = 0 # Add stock and 0 days to the dictionary if self.Portfolio[stock].Invested: if self.hold_day[stock] ==5: self.Liquidate(stock) self.hold_day[stock] = -1 # make days -1 if sold # Make a helper function to count holding days for each holding stock def check_days(self, stock_list): for stock in stock_list: if self.Portfolio[stock].Invested: self.hold_day[stock] += 1 # Increment on each holding stock by 1 daySaravana Kumar Periyasamy
these mehods fail when server crashes. I am also looking for some robust way to get the security purchase date.
Shile Wen
Hi Saravana,
A more robust way to store the dates is to store the purchase dates using ObjectStore.
Best,
Shile Wen
Bernino Lind
Tangentially relevant: I seem to remember there's an initialisation setting to enforce to hold securities for a minimum of T time; do you know about this setting - I forgot what it is so please post?
Varad Kabade
Hi Bernino Lind,
There is no setting to auto-close the positions, but there is one to remove them from the universe if they are added using universe selection. Maybe the setting you are referring to is the MinimumTimeInUniverse of the UniverseSettings attribute of QCAlgorithm class. Refer to the following snippet, for example.
Best,
Varad Kabade
Bernino Lind
Thank you SO MUCH Varad kabade, that was exactly what I was looking for and couldn't find somehow…
AMDQuant
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