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Notes on use of quant trading

1. Determine buying power before placing an order

1.1 Placing an order to open a position

Usually, it is recommended to determine whether your buying power is sufficient before placing an order to open a position in case the order fails due to insufficient buying power.

There are two situations in which you need to determine your buying power:

● Buyable on Margin

If you want to buy on margin, you can refer to this method: first determine whether the maximum number of shares you can buy on margin is greater than 0; if so, you can directly select 「Buyable on Margin」 in the quantity parameter box of 「Place Order」.

It should be noted that, since the maximum number of shares you can buy on margin varies with order types (limit orders and market orders), the order type selected in the 「Buyable on Margin」 should be consistent with that selected in the 「Place Order」.

● Buy in a fixed amount

If you want to buy in a fixed amount, you can refer to this method: first determine whether the maximum number of shares you can buy on margin is greater than or equal to 100 shares; if so, you can fill in 100 shares in the quantity box of the 「Place Order」.

1.2 Close positions

Similarly, it is also recommended to determine whether 「Sellable Positions」 or 「Short Positions」 is sufficient before placing an order to close positions in case the order fails due to the positions being frozen or other reasons.

Here are two situations in which you need to determine your buying power.

● Sell to close a long position

If you hold a long position and want to sell to close it, you can refer to this method: first determine whether your sellable position is greater than 0; if so, you can directly select 「Sellable Positions」 in the quantity parameter box of the Place Order」. 

● Buy to close a short position

On the other hand, if you hold a short position and want to buy to close it, you can refer to this method: first determine whether the number of shares you need to buy back is more than 0; if so, you can directly select 「Short Positions」 in the quantity parameter box of the 「Place Order」.


2. Difference between a security strategy and a futures strategy

Due to certain differences between a securities account and a futures account, some Conditions may not apply to both a security strategy and a futures strategy. Therefore, when creating these two types of strategies, different Conditions need to be used to implement the same functionality. The following two cases are taken as examples.

2.1 Determine buying power

● Security strategy

In the case of a securities strategy, you can determine the maximum number of shares you can buy to open a position by directly using the 「Buyable on Margin」.

● Futures strategy

In the case of a futures strategy, you need to calculate the maximum number of shares you can buy to open a position, namely, floor (maximum buying power/initial margin per contract to open a long position):

It is the same with the 「Sellable」. You need to calculate the maximum number of shares you can sell to open a short position, namely, floor (maximum buying power/initial margin per contract to open a short position).

2.2 Determine proportion of profit/loss

● Security strategy

In the case of a securities strategy, you can determine it by directly using the 「Proportion of P/L」.

● Futures strategy

In the case of a futures strategy, you need to calculate 「Unrealized Profit and Loss (USD)/Total Cash (USD)」 by yourself.

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