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Quantopian Paper Trading : Fills are way off

Hi,

Can someone explain to me why the fills for the paper trading are way off ?. I got an order filled( mkt order) this morning , at 09:32 am for TLT @ 133.49 , but TLT range so far this morning is 132.25 - 132.76 . So where's the discrepancy comes from ? o_O

thanks

5 responses

In fact , the last time TLT traded at 133.49 was in January.

Could be due to the default slippage model. See https://www.quantopian.com/posts/slippage and https://www.quantopian.com/help#ide-slippage .

Worst case fill in the default slippage model is 1+(1/160) = 1.00625 . So am guessing the close price of next bar of TLT after your order was 133.49/1.00625 =132.66 which seems to be in the range you observed.

Hi Richard,

Thank you for providing an explanation to this. I will have to connect the algo to a second IB account to have more realistic data.

Lionel

To my mind Quantopian slippage model is deadly wrong when it applied to pretty liquid ETF.

where-from-q-get-prices-for-live-paper-trading

anyone-got-a-vwap-execution-sub-algorithm-to-work-around-quantopian-slippage-model

Hi Vladimir,
I agree . I understand that slippage is part of trading , but the fact that I got filled at a price that was last printed two months ago is ridiculous, and inaccurate. No point keeping this algo running in the contest. :/