Money Management & Position Control¶

Overview

Item	Description
Goal	Master position control methods and trading APIs
Prerequisite	Writing a Strategy

1. Money Management & Position Control¶

1.1 Setting Initial Capital¶

result = run_strategy(
    initialize,
    start_date='2024-01-01',
    end_date='2024-12-31',
    starting_cash=500000,   # 500,000 yuan initial capital
)

1.2 Reading Account State¶

def market_open(context):
    cash = context.portfolio.available_cash
    total = context.portfolio.total_value
    positions = context.portfolio.positions
    returns = context.portfolio.returns

1.3 Position Control Methods¶

Method	Function	Description
All-in	`order_value(sec, context.portfolio.available_cash)`	Buy with all available cash
Proportional	`order_value(sec, context.portfolio.available_cash * 0.5)`	Buy with 50% of cash
Fixed amount	`order_value(sec, 50000)`	Buy 50,000 yuan worth
By lots	`order_lots(sec, 5)`	Buy 5 lots (500 shares)
By percentage	`order_pct(sec, 0.5)`	Buy with 50% of available cash
Fixed shares	`order(sec, 1000)`	Buy 1,000 shares (auto-rounds down to multiples of 100)
Target shares	`order_target(sec, 5000)`	Adjust position to 5,000 shares
Target value	`order_target_value(sec, 100000)`	Adjust position market value to 100,000 yuan
Liquidate	`order_target(sec, 0)`	Sell everything

The minimum trading unit on A-shares is 100 shares (1 lot). All buy orders are automatically rounded down to multiples of 100.

1.4 Equal-Weight Multi-Stock Allocation Example¶

def market_open(context):
    stocks = ['601390', '600519', '000858']
    weight = context.portfolio.available_cash / len(stocks)
    for sec in stocks:
        order_value(sec, weight)

2. Trading API¶

Important: order / order_value / order_target / order_target_value are queued first during backtesting and filled uniformly at the next trading day's open price.

2.1 `order(security, amount)`¶

Buy or sell by share count. Positive = buy, negative = sell.

order('601390', 1000)     # Buy 1,000 shares
order('601390', -500)     # Sell 500 shares

2.2 `order_value(security, value)`¶

Buy or sell by amount.

order_value('601390', 50000)   # Buy 50,000 yuan worth

2.3 `order_target(security, amount)`¶

Adjust position to a target share count.

order_target('601390', 5000)   # Adjust position to 5,000 shares
order_target('601390', 0)      # Liquidate

2.4 `order_target_value(security, value)`¶

Adjust position to a target market value.

order_target_value('601390', 100000)  # Adjust position value to 100,000 yuan

2.5 `order_lots(security, lots)`¶

Place an order by lot count (1 lot = 100 shares). Positive = buy, negative = sell.

order_lots('601390', 5)     # Buy 5 lots (500 shares)
order_lots('601390', -2)    # Sell 2 lots (200 shares)

2.6 `order_pct(security, pct)`¶

Place an order using a percentage of available cash. Positive = buy, negative = sell.

order_pct('601390', 0.5)     # Buy with 50% of available cash
order_pct('601390', -0.3)    # Sell 30% of current position

See the Trading API Reference for full parameter documentation.