Feature Request - Fill all orders for backtests

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Feature Request - Fill all orders for backtests

posted

I understand that all orders are not always filled but for the purposes of back testing it would be helpful.One may have a winning strategy but would never know it because none of the orders are filled during the backtest..

Just a thought.

Example from logs

2015-06-29 WARN Your order for 58262 shares of AA failed to fill by the end of day and was canceled.  
2015-06-29 WARN Your order for 70117 shares of AA failed to fill by the end of day and was canceled.  
2015-06-29 WARN Your order for 63381 shares of AA failed to fill by the end of day and was canceled.  
2015-06-29 WARN Your order for 71647 shares of AA failed to fill by the end of day and was canceled.  
2015-06-29 WARN Your order for 41135 shares of AA failed to fill by the end of day and was canceled.  
2015-06-29 WARN Your order for 2570 shares of AA failed to fill by the end of day and was canceled.  
2015-07-06 WARN Your order for 23532 shares of AA has been partially filled. 4331 shares were successfully purchased. 19201 shares were not filled by the end of day and were canceled.  
2015-07-06 WARN Your order for 22673 shares of AA failed to fill by the end of day and was canceled.  
2015-07-06 WARN Your order for 34105 shares of AA failed to fill by the end of day and was canceled.  
2015-07-06 WARN Your order for 106148 shares of AA failed to fill by the end of day and was canceled.  
2015-07-07 WARN Your order for -110490 shares of AA has been partially filled. 64388 shares were successfully sold. 46102 shares were not filled by the end of day and were canceled.

3 responses

Try doing this:

def initialize(context):  
    set_slippage(slippage.FixedSlippage(spread=0.0))

that did it, thanks!

Aniken $kywalker

That does not work for me! i'm still getting this regardless.

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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.