futures slippage model - does it reflect actual trading conditions?

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futures slippage model - does it reflect actual trading conditions?

edited

Seeking Help Futures

I think that the current slippage model could lead to some unexpected results.

As an example, the attached back test tries to but 81 corn futures back on 2003 but gets only 10 filled. volume on that day was over 3000 in Quantopian data, so I would assume this trade would have been filled. Of course, this is just an example but this happens on many other days.
Corn is considered a liquid future and should handle these small volumes with no hassle. Current daily volume in Corn is more than 200K.

I understand I can set the slippage to zero in my back testing, but that would not help as even a great good algo would not be chosen for capital allocation when tested by Quantopian with full slippage model.

I am sure this applies to other futures and effectively restricts the actual tradeable futures universe quite a bit.

Can someone from Quantopian please explain how such futures will be considered for capital allocation later on?

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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.