Hi Everyone
Not entirely sure whether these slippage and commission rates reflect real trading.
set_slippage(slippage.VolumeShareSlippage(volume_limit=.5, price_impact=0))
set_commission(commission.PerShare(cost=0.0075, min_trade_cost=1))
If anyone has experience with this please let me know, in particular setting price_impact to zero.
Much appreciate
Savio
The commission rates should be easy to verify if they are realistic. Go to your brokers website and lookup their commissions. For example, if you trade with IB Brokers their commissions are $.005/share and $1.00 min/order. So if you trade with IB Brokers then the following would pretty well reflect real trading:
set_commission(commission.PerShare(cost=0.005, min_trade_cost=1))
Slippage is less black and white. It really depends upon your broker and how large of orders one is placing. For most retail mortals the trade volume won't impact price and setting price impact to zero is probably realistic. Quantopian has apparently done a bit of research on slippage and determined the default slippage model reflects their real world experience (see https://www.quantopian.com/posts/changes-coming-to-the-default-slippage-model ). Note that this is their experience when trading presumably large numbers of shares.
I would suggest using the default slippage model to do initial algo development. When you get things working, do a small sensitivity analysis. Run the algo with the slippage model you indicated and maybe one with no slippage (which would be perhaps the best case). If the algo is very sensitive to the slippage perhaps it's not a good algo to use in real world trading?
One other issue to be aware of is the starting capital in the backtest. This is very important in that this is what typically determines all the algos order sizes. Make sure this is about what you would trade in real world trading (probably not the default $10,000,000?).
Good luck.
Hello Dan
I do very much appreciate you taking the time to answer this, and for the detailed guidance.
Thanks very much
Kind regards and a pleasant day
Savio
Savio, I'd recommend using the default slippage (fixedbasispointslippage) and commission of the backtester if your goal is contest/allocation.
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