N
Hey together
I am having a problem with a strategy where I am rebalancing two assets. See the code below:
class RebalancingStrategy(bt.Strategy):
def __init__(self, verbose=1):
# verbosity
self.verbose = verbose
def next(self):
asset_0_target = 0.75
asset_1_target = 0.25
rebalance_spread = 0.05
# calculate current position weights
asset_0_weight = round((self.getposition(self.datas[0]).size * self.datas[0].close[0]) / self.broker.getvalue(), 4)
asset_1_weight = round((self.getposition(self.datas[1]).size * self.datas[1].close[0]) / self.broker.getvalue(), 4)
asset_0_spread = abs(asset_0_target - asset_0_weight)
asset_1_spread = abs(asset_1_target - asset_1_weight)
total_spread = asset_0_spread + asset_1_spread
if total_spread > rebalance_spread:
# determine sell order and issue it first
if asset_0_weight > asset_0_target:
sell_asset_num = 0
sell_asset_target = asset_0_target
buy_asset_num = 1
buy_asset_target = asset_1_target
else:
sell_asset_num = 1
sell_asset_target = asset_1_target
buy_asset_num = 0
buy_asset_target = asset_0_target
self.order_target_percent(data=self.datas[sell_asset_num], target=sell_asset_target, exectype=bt.Order.Limit, price=self.datas[sell_asset_num].open[1])
self.order_target_percent(data=self.datas[buy_asset_num], target=buy_asset_target, exectype=bt.Order.Limit, price=self.datas[buy_asset_num].open[1])
For optical reasons I excluded the notify functions. From what I see in the docs, I assume that the order that gets issued first, will be executed first. As you can see, I am issuing the "sell" order first to get free cash for the buy order. Below is the output from the notify functions.
2018-10-02 - BUY[1] VIXY 1148 @ 21.76
2018-10-02 - BUY[2] SPY 257 @ 291.56
2018-10-11 - SELL[3] VIXY -222 @ 27.6
2018-10-11 - BUY[4] SPY 22 @ 277.08
2018-10-25 - SELL[5] VIXY -121 @ 31.58
2018-10-25 - BUY[6] SPY 14 @ 267.38
2018-11-07 - REJ[8] VIXY 99 @ 0.0
2018-11-07 - SELL[7] SPY -9 @ 277.56
2018-11-08 - REJ[10] VIXY 165 @ 0.0
2018-11-08 - SELL[9] SPY -6 @ 280.11
2018-12-10 - SELL[11] VIXY -19 @ 33.23
2018-12-10 - BUY[12] SPY 19 @ 263.37
2018-12-21 - SELL[13] VIXY -92 @ 36.91
2018-12-21 - BUY[14] SPY 13 @ 246.74
2018-12-26 - SELL[15] VIXY -73 @ 40.38
2018-12-26 - BUY[16] SPY 13 @ 235.97
What I don't understand is why sometimes the BUY order is still issued first and therefore obviously rejected. Could you point me to what I am missing. Would be really grateful. :)
