Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
set_commission, set_slippage
John Friedrich
posted Apr 6, 2016

I have noticed that when the parameters of set_commission and set_slippage are set to zero no trades are executed. I am using the template found here: https://www.quantopian.com/posts/long-short-pipeline-multi-factor

I also did a test where I commented out the set_commission and set_slippage lines and the backtester did execute trades, though the ending total return numbers were much lower than when the set_commission and set_slippage parameters were set with the defaults that come with the template:

set_commission(commission.PerShare(cost=0.0075, min_trade_cost=1.0))
set_slippage(slippage.VolumeShareSlippage(volume_limit=0.025, price_impact=0.1))

I then did a test where I with the following parameters:

set_commission(commission.PerShare(cost=0.00075, min_trade_cost=.01))
set_slippage(slippage.VolumeShareSlippage(volume_limit=0.0025, price_impact=0.01))

The results were as expected, the ending total returns were higher. But, not by the margin I expected them to be.

Can someone shed some light on this for me.

Thank you.

5 responses
John Friedrich
Apr 6, 2016

Also, when I run this strategy (the one I mention above as well)

https://www.quantopian.com/posts/long-short-pipeline-multi-factor

no trades are executed. I can't seem to figure out why that would be the case.

Darth Xanther
Apr 8, 2016

Hello John,
This is a fairly common mistake. Ctrl+f the keywords: "slippage" and "commission" in the Help and API docs. When you don't specify a slippage or commission (commenting them out) the default will set one for you.
If no trades are executed try changing it from minute mode to daily or vice versa. Also fiddle with the start and end dates. Sometimes people post algos that don't work during the entire span from 2002 to now.

John Friedrich
Apr 8, 2016

Thanks, Dan. I did try the algo with minute data and it did, as you say, execute trades. I couldn't however find anything in the docs that specifies what triggers minute data vs daily. I did notice that the algo clears open orders at the end of the day and thought maybe that was why. The other algos I've been looking at execute at the start of the day.

Darth Xanther
Apr 8, 2016

The daily vs minute mode will have an effect on the time required to run the algo. Some algos only need to execute once per day and can be run in daily mode because of this to save time. If you build an algo that needs to execute every minute, or for 2 or more minutes a day or maybe at a specific time, then it must be run in minute mode. The more times code is read, the longer the backtest will take to execute. Having those 2 options is useful. You'll get a feel for it when you've looked at many algos.

John Friedrich
Apr 8, 2016

Thanks, Darth (sorry for the wrong name in the previous reply) I am reading the API docs now and getting a better idea of what the simulator is doing behind the scenes. Pretty cool actually. It'll be a while before I can create an algo without the help of the templates, but having the templates available sure gets you addicted in a hurry. I spent all weekend plugging and playing with different fundamental factors...

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.