Dear All,
I have very simple algorithm, that buys few stocks after
time_rule=time_rules.market_open(minutes=2)
but when I run backtest i notice that buying of TTGT stock happens in steps between 9:44 and 10:55. I don't understand what are the reasons for this and is there way to avoid this ?
thank you very much for your help.
So I have the same problem and I think it is related to the fact that you are buying shares of quite small companies. Can anyone explain if this is the case? Also, are the data for the backtest the real data in terms of real availability of stock to buy at any given minute? So if I was buying stocks for real at the time I would have the same problem.
Nevertheless, I would like to know how to schedule a command that runs REALLY just once/at given minute if schedule_function obviously does not achieve that. (For instance, I order to buy 2000 USD and it can only buy 500 the next minute? - Buy only once and stope there!). Thanks!
I tried to use the code here: https://www.quantopian.com/posts/how-to-cancel-all-open-orders to cancel all open order one minute after my order function is schedule to make sure that there is only one order action per stock. It did not work too well and might not be the most elegant solution...
I believe algorithms are currently limited to purchasing 2.5% of the volume at any given time step during the backtest. For low liquidity stocks that means you're going to take some time, perhaps multiple days, to fill your order. In real live trading for a thinly traded stock buying at market value would move the price of the stock. A backtest can't simulate such price moves, naturally. Also, it means that if a stock in the historical record isn't traded right at the moment you've placed your order, you're going to have to wait for the tick where it is next traded to be able to purchase anything.
Hope that helps.
Sunil
Your code is behaving as expected, I believe, and it's helping you to learn some things about the market and how it can work.
You're placing the order once per day, as intended. As was suggested above, however, the order is filling over several minutes. You're ordering a relatively large amount of the stock and the default slippage model only let's you get 2.5% of the volume in any given minute.
You can override the default slippage model and simply ignore the problem . That's a reasonable choice if you have reason to believe that the slippage model is too restrictive for this particular situation.
What's probably better, though, is to use the Pipeline API to define your list of stocks to be traded, and tell pipeline to omit securities with low trading volumes.
You also can cancel open orders that are partially filled, but that's not likely to be the solution to your problem either.
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