How to retrieve order filled price?

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How to retrieve order filled price?

posted Sep 2, 2013

Hi guys,

I am writing an algo and want to check the filled price, such that if current price is DELTA below the filled price, I will initiate stop loss. I was using 'cost_basis' from positions object,

f_cost = self.portfolio.positions[sid]['cost_basis']

I don't think this is correct though, see,
{'GOOG': Position({'amount': 9, 'last_sale_price': nan, 'cost_basis': nan, 'sid': 'GOOG'})}

Can you guys help?

Thank you.

3 responses

I found the problem. I am using HFT data and I didn't fill the NAs before submitting to Zipline.

I have the same question too, but I do not understand your answer. Is the price the order was filled at a property of the order itself?

Thanks.

Hi Michael,

How did you backtest? Online in Quantopian browser or offline?
In backtest, we must understand the slippage and commission models, for my case, offline backtest with my own data,
1) All market orders
2) FixedSlippage
3) PerShare commission model
Then my filled price is the market price of next bar, adding above on top

Previously since it was my own data, I didn't cleansing (e.g. resample and fillna) but only align two time series. So there were a lot of NaNs in the data frame.

Do you trace zipline source code? I think that will help you a lot, if you read the zipline-0.5.10\zipline\finance\slippage.py.

Cheers

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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.