Hi,
I tried (again) a random strategy, but I am getting strange results.
I think that I should get only one execution per minute, but have a look at this.
2013-01-07 18:15:00 AA SELL -16781 $9.07 ($152,254.01)
2013-01-07 18:15:00 AA SELL -21827 $9.11 ($198,800.32)
2013-01-07 18:15:00 AA BUY 5153 $9.19 $47,361.22
Is that right? Is it a problem of my code?
Thanks for feedbacks.
Davide
Hi Davide,
I think what's going on is that the default slippage model, which is a volume share based model, is breaking up your orders and not playing nicely with your algo logic.
Take a look at our slippage model docs here: https://www.quantopian.com/help#ide-slippage
I tried re-running your algo with the slippage turned off and it looked more like what I think you're expecting. To replicate that just put this line in the context() method:
set_slippage(slippage.FixedSlippage(spread=0.0))
Best regards, Jess
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