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I am currently creating an algorithm that is only in one asset at a time so I am currently manually checking if I'm invested in an asset, if so: liquidate and buy the new one, etc.
In my custom Portfolio Construction Model, I am handling this by only sending 1 PortfolioTarget.Percent object if I am currently invested in nothing and if currently invested in something, sending 2 PortfolioTarget.Percent objects: 1 with a 0% weighting (current asset in which I want to liquidate/get out of) and 1 with a 100% weighting (asset in which I want to switch into)
When handling this in my custom Execution Model class, I understand that self.SetHoldings() can automatically calculate the number of asset units that I would need to buy and it even has a funtion built in to liquidate other assets before starting (such as the example below).
EX:
# Allocate 50% of portfolio value to IBM, but liquidate other holdings before starting
self.SetHoldings("IBM", 0.5, True)My question is: if I was to stop manually handling my orders and only use SetHoldings(), what would happen if SetHoldings is called with an asset in which I already own? Will it liquidate and re-buy the asset? Or would SetHoldings() ignore that call? Because liquidating and re-buying would harm me through fees and could harm me through other ways in which my algorithm can be scored.
Thank you in advance,
-Jamie
Adam W
You can see how SetHoldings is defined here:
public void SetHoldings(List<PortfolioTarget> targets, bool liquidateExistingHoldings = false) { foreach (var portfolioTarget in targets // we need to create targets with quantities for OrderTargetsByMarginImpact .Select(target => new PortfolioTarget(target.Symbol, CalculateOrderQuantity(target.Symbol, target.Quantity))) .OrderTargetsByMarginImpact(this, targetIsDelta:true)) { SetHoldingsImpl(portfolioTarget.Symbol, portfolioTarget.Quantity, liquidateExistingHoldings); } }It uses CalculateOrderQuantity to determine the quantity to purchase here:
public decimal CalculateOrderQuantity(Symbol symbol, decimal target) { var percent = PortfolioTarget.Percent(this, symbol, target, true); if (percent == null) { return 0; } return percent.Quantity; }Note in particular that PortfolioTarget.Percent() is called with returnDeltaQuantity=true, so that only the change in quantity to hit the target weight is returned. If you call SetHoldings('SPY',1) twice (and assuming portfolio value doesn't change at all), this should evaluate to a 0 change in quantity.
Adam W
Also if you did SetHoldings('SPY', 1, True) twice, should be the same 0 change result:
private void SetHoldingsImpl(Symbol symbol, decimal orderQuantity, bool liquidateExistingHoldings = false, string tag = "") { //If they triggered a liquidate if (liquidateExistingHoldings) { foreach (var kvp in Portfolio) { var holdingSymbol = kvp.Key; var holdings = kvp.Value; if (holdingSymbol != symbol && holdings.AbsoluteQuantity > 0) { //Go through all existing holdings [synchronously], market order the inverse quantity: var liquidationQuantity = CalculateOrderQuantity(holdingSymbol, 0m); Order(holdingSymbol, liquidationQuantity, false, tag); } } }In particular, note the line:
if (holdingSymbol != symbol && holdings.AbsoluteQuantity > 0)Jamie Dubauskas
Thank you so much for your response! You answered it perfectly!
Jamie Dubauskas
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