I noticed that when I try to buy or sell a large shares of stock, it would break it down over several minutes. I used "order_target_percent" function to buy or sell. Could you tell me more about what actually happens behind the scene? Of I ordered 10000 shares to buy at time t and 4000 got filled at t, then 3500 got filled at t+1... So of the 4000 do they represent the shares of best ask price or shares of everything that were up for sale i the market at the time? I certainly don't want to be the one who buys everything out in the market driving up the price and end up paying too much. Could you please help me understand any logic put in place for "order_target_percent" function? Thank you
I think you are hitting the limits for the slippage model. See https://www.quantopian.com/help#ide-slippage :
"The slippage method also evaluates if your order is simply too big: you can't trade more than market's volume, and generally you can't expect to trade more than a quarter of the volume"
Also, note that when you trade 25% of a bar volume, you will pay a premium of 0.1 * (0.25) * (0.25) = .625 % per the standard slippage model.
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