bump?

There's a known bug in zipline whereby the slippage model is applied after order trigger for both market and limit orders. No idea on ETA for fix.

Is this actually a bug, or simply that by design, there is built in slippage in that the next available minutely closing price is used?

Definitely a bug. https://www.quantopian.com/posts/limit-order-execution-at-varying-prices

If I want to buy limit 10.00, that is the most that I will pay (+ commission). The way it currently works is that if the price is > limit, the order is filled at limit + slippage, which is not correct.

Looking at class VolumeShareSlippage(SlippageModel) on https://github.com/quantopian/zipline/blob/master/zipline/finance/slippage.py, the comments and code suggest that this case should be handled:

if order.limit:  
            # this is tricky! if an order with a limit price has reached  
            # the limit price, we will try to fill the order. do not fill  
            # these shares if the impacted price is worse than the limit  
            # price. return early to avoid creating the transaction.

            # buy order is worse if the impacted price is greater than  
            # the limit price. sell order is worse if the impacted price  
            # is less than the limit price  
            if (order.direction > 0 and impacted_price > order.limit) or \  
                    (order.direction < 0 and impacted_price < order.limit):  
                return  

This would seem to do the trick, no? It just skips processing the transaction if the limit order conditions are not met, using a hypothetical price if the order were to go through.

Interestingly, the code under FixedSlippage(SlippageModel) does not appear to handle limit orders in the same fashion--it has no awareness of the order type, and would transact all orders with slippage applied to the price.

Either way, unless we're talking about a contest entry here (for which the default slippage must be used), wouldn't it be possible simply to write a custom slippage model so that the desired execution of limit orders is effected?