Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Custom Slippage Model

I'd like to model the market impact of trades according to a Markov process. The data available is 1 minute data, but the slippage model example states the availability of the bid-ask spread. Is the bid-ask spread reported available and is it limited to the closing 1 minute bar's bid-ask spread or is there a higher resolution? Also, are the closing 1 minute limit order levels available as well?

Thanks,

Amir

1 response

Hi Amir,

For the slippage model, you can use the built-in VolumeShare model, Fixed slippage model, or choose to build your own. The backtester doesn't have bid/ask trade data available, it only uses historical trade data. For any order type, the slippage is calculated from the bar's close_price, which is either at the end of every minute or every day depending on the backtest mode.

Cheers,
Alisa

Disclaimer

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.