Hey all,
I am getting the error mentioned in the title when pairs trading XPO and UPS. Can some one tell me why is this happening and how does this warning message affect my returns? Does my Return % in the backtest change because these orders weren't fulfilled. Complete noob with algo trading and any help is much appreciated. Thank you!!
Hello Ronak,
Welcome to Quantopian!
By default, Quantopian will apply a default slippage model to your transactions. The slippage model is what estimates how quickly your order will fill, and what the price impact of your order is on the market. When a stock is thinly traded it is therefore difficult for you to get a fill for a large order. At the end of the trading day any unfilled orders are cancelled, and that is the log message you see.
I looked at XPO data for that period. Indeed, the volume for XPO was very low on that day. It looks like the day after Thanksgiving, and was a half-day of trading.
So, does that affect your returns? Sure, in the sense that you didn't achieve the portfolio that you intended to, your returns will be different than you expected. But there's no artificial penalty or anything for having an unfilled order.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
