Order Execution Issues in Backtest

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Order Execution Issues in Backtest

edited Sep 2, 2016

I've just completed my first trading algo that is entirely of my own design and is not simply a modification of someone else's algo. The strategy is to purchase shares of a single security in a value that does not exceed 75% of my available cash balance. In addition, the program only holds one security at a time. Therefore, leverage does not dip into margin and the volatility of the program is entirely dependent upon a single security's performance. So, this would be a normal set of transactions over the course of a few days:

 08.21.16 8:31am -- BUY AAPL (300 Shares)  
 08.22.16 8:31am -- SELL AAPL (300 Shares)  
 08.22.16 8:32am -- BUY F (1500 Shares)  
 08.23.16 8:31am -- SELL F (1500 Shares)  
 08.23.16 8:32am -- BUY LUV (950 Shares)  
 08.24.16 8:31am -- SELL LUV (950 Shares)

Now, my issue is that I usually end up seeing something like this in the backtest, under transaction details:

 08.21.16 8:36am -- BUY AAPL (50 Shares)  
 08.21.16 8:38am -- BUY AAPL (2 Shares)  
 08.21.16 8:39am -- BUY AAPL (2 Shares)  
 08.21.16 8:44am -- BUY AAPL (130 Shares)  
 08.21.16 8:52am -- BUY AAPL (116 Shares)  
 08.22.16 8:32am -- SELL AAPL (88 Shares)  
 08.22.16 8:33am -- BUY F (632 Shares)  
 08.22.16 8:35am -- SELL AAPL (23 Shares)  
 08.22.16 8:39am -- SELL AAPL (77 Shares)  
 08.22.16 8:42am -- BUY F (484 Shares)  
 08.22.16 8:48am -- BUY F (384 Shares)  
 08.22.16 8:31am -- SELL AAPL (112 Shares)

Is this the Backtester's way of trying to simulate reality and intentionally breaking my order up because of the low volume of the securities I'm trading? My plan is to live trade this algo soon with Robinhood and I don't want the algo to be executing multiple different sets of orders at different times of the day if the brokerage has the ability to buy me those shares at a single time and a single price. Basically, I'm wondering if the backtester is faking slippage.

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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.