Hi,
I am shorting the stock TYO in my algorithm back at the beginning of 2013. It is causing my order of 50% of my total equity to generate 10 or 20 orders in the same minute all each at 50% equity. All orders end up getting filled and my position is ~1000% of my equity. Is this related to the slippage model? Is there a way to turn this off? Thanks!
@Luke. The slippage model doesn't directly impact the orders. The slippage method is called after an order is placed and simply determines the fill price and quantity of shares. That said, depending upon the slippage model being used, the fill quantity may be less than the order quantity which then spreads out the order over several bars.
More than likely what is happening is the order logic doesn't consider open orders in determining what new positions to open. Using the order_optimal_portfolio method will, behind the scenes, take into account any open orders. The basic order methods will not. One must explicitly check for open orders if not using order_optimal_portfolio. Something like this is common which simply doesn't open or close positions in a security if there are outstanding orders.
if not get_open_orders(my_security):
order_target_percent(my_security, weight)
Here is a post which explains this in more detail https://www.quantopian.com/posts/issues-with-placing-orders-every-minute. That may be the problem but without seeing the code it's not for sure. It's very helpful to attach a backtest of ones algo for others to help debug. Click the 'Attach' box in the upper right corner of the edit box when writing a post.
Good luck!
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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.