Hi, is there any limit on the volume of shares that can be bought or sold through an algorithm in Quantopian. For example, I am backtesting with $1 million as capital on a single stock. Now we know that a single stock wont be able to fulfill $1 million in a single trade if the stock price is $5. So is there any limit that is put by Quantopian by default to limit the number of shares that can be bought in a single trade? Kuants has 10% and 20% as volume limit. Any similar thing here?
The amount traded during a simulation is controlled by the slippage model. See the docs at https://www.quantopian.com/help#ide-slippage . One can set the max amount traded by an algo by setting a slippage model's parameters. The default model (if none is explicitly set) limits the traded volume to 10% of minute volume. For example, assume the actual trade volume for a stock XYZ was 1000 shares at 9:32 and 900 shares at 9:33. If an order is placed at 9:31 for 150 shares, it would fill 100 shares at 9:32 and the remaining 50 shares at 9:33.
The contest requires using the default slippage model. However, it may sometimes be helpful to choose a different model during testing.
Good luck.
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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.