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Specify trade execution price from custom price data
Jonathan Dane
posted

I've run into an issue where the indicator I'm use to building my algorithm is based on UNADJUSTED closing prices.
To get around zipline's usage of clean/adjusted prices, I've loaded the closing prices for the securities I'm
running the algo on in my own csv file, and then loaded that file into quantopian with the fetcher(). All of
this runs properly, with the script creating the approrpriate buy/sell orders. However, the actual execution
price is still based on the Quantopian data.

Is there a way I can specify what the execution price should be? My algorithm is designed to utilize MOC orders,
so I need to execute my trades at the closing price. Or, is there a way to have Quantopian use the unadjusted data?

Thanks -

1 response
Nathan Wolfe

Hi Jonathan,

I would recommend that you check out Zipline, the open-source backtester that powers our backtesting platform. Zipline is easy to install, and you can write algorithms for it in the same syntax that you use on Quantopian. Most importantly for your case, it allows you to use all your own pricing data.

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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.