Dear Quantopians
Often doing backtests and using
order_optimal_portfolio(opt.TargetWeights(), [opt.MaxGrossExposure()])
I notice partial fill of orders, cancellation of unfilled part of orders and a unfilled leftover of order is rolling over to a following day. As a result over time there are many rolling leftover positions which are supposed to be closed long time ago which corrodes results of BT.
How can I coerce 100% full fill of all orders during a day in back-test even though I am aware that it might be not very realistic scenario? I have not found specific threads covering the topic. Thanks in anticipation.