How to long the highest score and short the lowest score?

[river-walras]

Hi, I want to long the highest score and short the lowest score

Here is my code:

def volume(ctx: ExecContext):
    # If there are no long positions across all tickers being traded:
    if not tuple(ctx.long_positions()):
        ctx.buy_shares = ctx.calc_target_shares(1/6)
        ctx.hold_bars = 1
        ctx.score = ctx.quote_volume[-1]

    if not tuple(ctx.short_positions()):
        ctx.sell_shares = ctx.calc_target_shares(1 / 3)
        ctx.hold_bars = 1
        ctx.score = 1 / ctx.quote_volume[-1]

strategy = Strategy(
    data_source=source,
    start_date=start_date,
    end_date=end_date,
    config=StrategyConfig(
        fee_mode=FeeMode.ORDER_PERCENT,
        fee_amount=0.0005,
        exit_on_last_bar=True,
        round_fill_price=False,
        max_long_positions=3,
        max_short_positions=3,
    ),
)

Since the score is rank from the highest to the lowest, so for short symbols I need to set score = 1/ctx.quote_volume[-1]. However, I get the error:

ValueError: For each symbol, only one of buy_shares or sell_shares can be set per bar.

I know I can only set buy_shares and sell_shares for one symbol, But before I know the rank of the symbol, I need to pass the value to rank. How to solve this problem.

[edtechre]

Hi @river-walras,

I believe the problem is that you need an if/else statement, and also check whether the current symbol has a long/short position:

if not ctx.long_pos():
        ctx.buy_shares = ctx.calc_target_shares(1 / 6)
        ctx.hold_bars = 2
        ctx.score = ctx.volume[-1]
elif not ctx.short_pos():
        ctx.sell_shares = ctx.calc_target_shares(1 / 3)
        ctx.hold_bars = 2
        ctx.score = 1 / ctx.volume[-1]

Otherwise it's possible that buy_shares and sell_shares can both be set on the same bar, which should not be possible. Still, I don't believe this is the code you want since it won't simultaneously rank positions by highest and lowest volume.

You can do the ranking yourself in ctx#set_after_exec. The Rebalancing Positions notebook contains an example.

[edtechre]

I gave this more thought. This is a common use-case, so it would make sense to add two new fields to ExecContext:
long_score
short_score

I will add these in the next version release.

[river-walras]

I gave this more thought. This is a common use-case, so it would make sense to add two new fields to ExecContext: long_score short_score

I will add these in the next version release.

Tkx for your reply.