I have noticed limit orders in the Quantopian backtest are unrealistically optimistic. When reviewing fills I have noticed that when the limit price is crossed, the order is filled at that market price instead of the limit price. The result is an unrealistically good fill price on the transaction.
Considering that this error adds up quickly on algos that use frequent limit orders I wanted to see if anyone has any workarounds for this.
Any help is very much appreciated.
Thank you,
Rob
One possibility is to write a custom slippage model. In that model you could fill orders by any heuristic you'd like. There is documentation and an example in the help docs.
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https://www.quantopian.com/posts/limit-order-execution-at-varying-prices
There are other threads going back a couple of years about the limit order problem...
Thanks Dan, I will give that a shot.
Simon, wow I am actually surprised that this problem still exists considering how long its been. Quantopian has built a seriously awesome and capable platform but having such a fundamental error that also introduces that much error is sort of a shame. It's like building a high performance race car but then putting bricks for tires.
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.
