Hi,
When running a backtest I am seeing what appears to be bad data. For ticker XIV, I ran a backtest using minute data for the last 5 days and it says one sell went through on Nov 25th at 10:11am(cst maybe?) at 29.98. XIV never hit 29.98 on that day. My order was a limit to sell at 30.00.
Any help?
Regards,
Luke
Looking at Yahoo, you are correct Simon, my apologies. I will have to check my etrade pro platform and see what I was looking at when I get home.
One quick question though, why would a limit sell order fill below the limit price? Are fees factored in somehow? There would be no slippage on a limit order.
Thanks!
Yeah that's suspicious, I'd look into the zipline source code - perhaps they are applying the slippage model to limit order fills, which would be a bug.
Simon hit the nail on the head, we are indeed applying the slippage to the fill: https://www.quantopian.com/posts/limit-order-execution-at-varying-prices
When we update the slippage model, we'll need to reconsider our handling of limit orders. This decision made sense in the early stages of zipline, but now it's poking holes that we'll need to patch.
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Not yet, but I just bumped the issue.
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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.
