Basic Question: 2.5% of Daily Volume max fill on slippage assumption?

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Basic Question: 2.5% of Daily Volume max fill on slippage assumption?

posted Apr 25, 2017

API Seeking Help Contest Asset Allocation

Hi guys,

It's taken me quite a while to find the time to recode a hedge fund strategy for this platform. I finally did, and when I turn off the insane fill rate assumptions, it works as expected (-.1 beta/profitable>S&P etc). When I turn it on, the S&P destroys it and it looks marginal at best.

For the contests, I'm supposed to use these assumptions of fill rates that are way below what I would get in real life. Slippage Volume Limit of 2.5% of total volume over a given time frame/bar seems inefficient, market makers would easily jump in during real life to provide you the opportunity (albeit at a premium, but that's what VWAP is for).

I'm still a bit cloudy on how I can improve the fill volume, if at all.

Example:

We are trading a new startup called FootBook that has a price of 1 dollar, and trades 100k in volume every single day. I wish to buy 10k in shares in a single day or 10% of volume.

Questions: Will it be possible to buy 10k of shares in a day using the default slippage assumptions for the contests or not? Will I just give filled around 2.5k and the remainder order becomes unfilled/canceled? Is there any work around? Will I need to re-write the algo to create my own multi-day limit order where it buys at or below x price for x days until total desired amount is acquired?

Thanks, and Apologies if this has already been address in Q2 so far.

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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.