I am trying to figure out the best way to limit the volume of my orders per bar to spread large orders out over an entire day or possibly multiple days. For example, there are plenty of stocks I could invest in with larger capital amounts which are small stocks, if I can figure out how to not cause tons of slippage with my orders. What I would like to be able to do is to say that I want to order a position in the stock worth 5% (or whatever) of my portfolio value, but to limit the purchasing to 1% - 2% of every trading bar until the order is fully filled. This accomplishes a few things for me. First, it lets me buy the stock at an average price across one or more days instead of picking it up at a point-in-time price. Second, it lets me enter large positions in smaller stocks without hugely impacting the price of the stock.
Unfortunately, I am not sure how to accomplish this in practice. I know IB provides various volume limited order types, but I have never used them, and I don't know how I would access them from Quantopian. The only orders I have used before are market, limit, stop, and stop limits. None of those really accomplish what I want.
Anyone know how to do this?
