In the attached notebook, a position is entered and later closed. In the analyze function, the algorithm time at order placement is compared with the according transaction timestamp, which reveals a delta of one minute between algorithm timestamp and transaction timestamp for the same order.
What is the reason for that? When live trading a highly liquid equity, a delta of one minute between order placement and execution would be highly unlikely .
I have made a small fix to the attached notebook: The second last line now sais correctly "Transaction time of exit order:"
Hi Ralph,
In backtesting, the earliest that an order can be filled is the next minute bar after it's placed. This is because Quantopian algorithms are event loops that run once per minute. In backtesting and Quantopian paper trading, order execution does not happen asynchronously so it's not filled until the next bar at the earliest. In live trading, orders are filled asynchronously by the broker so the orders can be filled earlier than the next minute bar.
Does this help?
Jamie
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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.
