How are limit orders filled?

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How are limit orders filled?

edited

Obviously, you might not get a full fill if the price just touches the limit price and does not cross it. There are issues with partial fills with low liquidity securities as well. Does Quantopian detail their fill model with regards to limit orders somewhere?

1 response

Joakim Arvidsson (Cream Mongoose)

Maybe have a look at the slippage model in the documentation. I'm not really sure if it applies to limit orders however. Not the easiest to simulate I reckon, especially for less liquid stuff. Personally I stay away from limit orders for this reason. I don't think the simulator (Zipline) was designed (at least not primarily) for market making / scalping strategies (though I could be wrong).

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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.