Using Holdings Data and Bar Timing in a Daily China Stock Backtest

Summary

This BigQuant forum post asks why account positions do not appear to update immediately after orders in a daily backtest, and how to schedule trades at specific intraday times. The example strategy selects up to ten Chinese stocks using listing age, valuation, turnover rank, return on equity, and market capitalization, then submits sell and buy orders on a three-day rebalance cycle. The displayed logs show position counts changing between rebalance dates rather than after each order within a daily handler.

The post highlights a practical distinction between submitting orders and seeing resulting holdings: in a daily-frequency simulation, orders may be filled later according to the configured price fields, so querying positions immediately after submission may still return the prior state. It also asks whether intraday times can be specified in daily mode and reports that open and close settings worked while TWAP and VWAP did not. The document contains the question and code but no answer or confirmed resolution, so it does not establish the platform’s precise execution semantics or a supported method for intraday scheduling.

Key ideas

• The example strategy rebalances a selected China stock portfolio every three trading days.
• Its selection filters combine listing age, valuation, turnover rank, return on equity, and market capitalization.
• The reported position count does not change immediately after order submission inside the daily handler.
• The author suspects daily order execution timing affects when holdings become visible.
• The post asks about intraday scheduling but provides no confirmed solution.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.