I am back testing a strategy and it is profitable if I add this line:
set_slippage(slippage.FixedSlippage(spread=0))This lead me to think that I am trading more than available liquidity so I changed my orders to limit orders. But that doesn't help. So my question is does slippage model affect limit orders as well?
Sorry if I am being stupid but please enlighten me.
Hi,
Slippage is applied to all orders and only the volume slippage model limits the amount of a fill. Both slippage models will affect the price. Both models are opensource as part of zipline and you can read the code for the models here.
It sounds like you are wondering about your algo's capacity - whether stocks have enough volume to support your buying and selling. One way to explore capacity is to run backtests with different capital bases, and use order_target_percent methods that will scale the order sizes with your total portfolio value.
Let me know if I'm answering your question!
thanks,
fawce
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