I specify instant_fill as True in initialize() but it doesn't work. For instance, I specify to buy 6400 shares of 0992.HK and I want the order filled immediately. But the program only fills the order partially. which is 250 shares per day. How to make the order get filled immediately??
Hi Fuheng,
By default the backtester implements a volume share slippage model that limits you to 25% of the traded volume per minute. You can change the parameters of the slippage model, as well as use the fixed slippage model, or even disable the slippage model all together to guarantee immediate fills as follows:
set_slippage(slippage.FixedSlippage(spread=0.00))Best regards, Jess
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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.