SEF: No liquidity??

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

SEF: No liquidity??

posted Jan 6, 2016

Folks,
I keep trying to buy/sell SEF, but keep running into unfilled orders all the time, which I have to cancel...
a PITA, both backtest and live.
Is this security non-liquid?
How do I tell?
Is there a measure of non-liquidity that I can filter securities by, besides volume traded?
Thanks!
alan

4 responses

What's are the order sizes? Yahoo finance shows daily volume between 3k and 40k which means that backtest by default simulate 2.5% of that.

Alex,
Thanks for the info!
I didn't realize that
a. this index was so lightly traded, and
b. that the backtest simulator was set at 2.5% of the volume

Do you know if that means that the simulator won't fulfill more than 2.5% of the daily volume in a day?
It seems like there is some model being used that is tick based in how many shares it'll allow to be bought/sold on a tick.
Finally, how did you know the simulator limit is 2.5%?

Thanks for your help!
alan

See https://www.quantopian.com/help#ide-slippage

Alex,
Ok, thanks!...guess it's a case of RTFM...

If you do not specify a slippage method, slippage defaults to
VolumeShareSlippage(volume_limit=0.25, price_impact=0.1)

Also, was able to get more info on my problem from:
https://www.quantopian.com/posts/anyone-got-a-vwap-execution-sub-algorithm-to-work-around-quantopian-slippage-model

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

About Quantopian

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.