Getting Better Fills than 'Live Trading'?

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Getting Better Fills than 'Live Trading'?

edited Mar 16, 2018

Can someone explain this ?

I've been trading the signals generated by an algo 'Live Trading' on Quantopian, and consistently get better fills than the paper trading simulation. This is creating tracking error as my portfolio is typically carrying more exposure than the paper simulation.

The algo leans heavily into illiquid / small caps, so I would have assumed that the slippage would be to the reverse. I'm currently using the below slippage parameters - are there any useful heuristics on how to adjust the volume limit? Does the slippage model even apply to the live trading simulation?

set_slippage(slippage.VolumeShareSlippage(volume_limit=.20, price_impact=0.0))

The algo is placing limit orders, so I've kept the price impact at 0.

Thanks!

1 response

I've never trusted the slippage model on illiquid stocks. I believe Charles Witt ran into issues with unmarketable limit orders, or something like that on one of his algorithms that traded penny stocks.

I only trade very liquid stocks and just set slippage to fixed 0.00 as the bid/ask is normally a penny.

Not sure how to help on illiquid stocks.

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

About Quantopian

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.