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?
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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