trading-controls: Trading controls

In DavisVaughan/flyingfox: An Interface to the Quantopian Zipline Financial Backtester

Description

These controls ensure that your algorithm is performing as expected. The controls act as guards against certain actions such as ordering black listed stocks, shorting, or exceeding a maximum leverage threshold.

Usage

fly_control_set_do_not_order_list(restricted_list, on_error = "fail")

fly_control_set_long_only(on_error = "fail")

fly_control_set_max_leverage(max_leverage)

fly_control_set_max_order_count(max_count, on_error = "fail")

fly_control_set_max_order_size(asset = NULL, max_shares = NULL,
  max_notional = NULL, on_error = "fail")

fly_control_set_max_position_size(asset = NULL, max_shares = NULL,
  max_notional = NULL, on_error = "fail")

Arguments

restricted_list	A list of assets that cannot be ordered.
on_error	How to proceed on a control error. The default is to stop the backtest. Another option is "log" to log the error and continue.
max_count	An integer. The maximum number of orders that can be placed on a single day.
asset	An asset. If provided, guard only on positions in the given asset.
max_shares	An integer. The maximum number of shares that can be ordered at any one time.
max_notional	The maximum value that can be ordered at any one time.

Details

• fly_control_set_do_not_order_list() - Place a restriction on which assets can be ordered.

• fly_control_set_long_only() - Specify that this algorithm cannot take short positions.

• fly_control_set_max_leverage() - Set a limit on the maximum leverage allowed.

• fly_control_set_max_order_count() - Set a limit on the number of orders that can be placed in a single day.

• fly_control_set_max_order_size() - Set a limit on the number of shares and/or the dollar value of any single order placed for the specified asset. Limits are treated as absolute values. Limits are only enforced at the time of order, meaning it is possible to end up with more than the max number of shares due to splits/dividends, and more than the max notional due to price improvement.

• fly_control_set_max_position_size() - Set a limit on the number of shares and/or the dollar value held for a single asset.

Zipline Documentation

• fly_control_set_do_not_order_list()

• fly_control_set_long_only()

• fly_control_set_max_leverage()

• fly_control_set_max_order_count()

• fly_control_set_max_order_size()

• fly_control_set_max_position_size()

DavisVaughan/flyingfox documentation built on May 5, 2019, 12:28 a.m.