Hello Jason,

When running a backtest on daily bars, there is a one trading day delay between order submission and order fulfillment (assuming the slippage model is turned off, and the stock trades frequently). Anony Mole developed a work-around (see https://www.quantopian.com/posts/trade-at-the-open-slippage-model and some of his subsequent posts).

Frankly, if you have decent programming experience and a feel for trading, I'd just jump into writing algorithms for minute bars, with the caveat that backtests will take longer to run. I saw your post on your sketchy internet connection, and so this might be problematic. I suggest sending a note directly to Quantopian support, since it is my impression that the algorithm runs remotely and is just reporting the results to the browser.

Grant

thanks Grant, yeah i'm trying a stochastic algo right now and it looks like it's trading 1 day late. thanks for confirming.

from looking at that slipage model you posted, here is my hack to allow trading at the preceeding close:

class OrderAtTodaysClose:  
    '''  
    wrapper for ordering, lets the TradeAtTodaysCloseSlippageModel know what today's price was.  
    '''  
    def __init__(this):  
        this.closePrices = {}  
    def order_target_percent(this,data,sid,percent, limitPrice=None, stopPrice=None):  
        this.closePrices[sid]=data[sid].close_price  
        return order_target_percent(sid,percent,limitPrice,stopPrice)  
global orderAtTodaysClose  
orderAtTodaysClose = OrderAtTodaysClose()

class TradeAtTodaysCloseSlippageModel(slippage.SlippageModel):  
    ''' simulate selling immediatly at the close (hack to let interday pretend to be intraday)  
    YOU MUST USE OrderAtTodaysClose.order_target_percent() for this to take effect.  
    '''  
    def __init__(self):  
        pass

    def process_order(self, trade_bar, order):          

        #doesn't work with daily  
        #price_history = history(bar_count=2, frequency='1d', field='price')  
        #price = price_history[trade_bar.sid][-2]

        return slippage.create_transaction(  
            trade_bar,  
            order,  
            orderAtTodaysClose.closePrices[trade_bar.sid],  
            order.amount  
        )  

here's an update with some minor bugfixes:

Please note that you need to use the OrderAtTodaysClose.order_target_percent() method otherwise the price will be the opening of the following day.

class OrderAtTodaysClose:  
    '''  
    wrapper for ordering, lets the TradeAtTodaysCloseSlippageModel know what today's price was.  
    '''  
    def __init__(this):  
        this.closePrices = {}  
    def order_target_percent(this,data,sid,percent, limitPrice=None, stopPrice=None):  
        this.closePrices[sid]=data[sid].close_price  
        return order_target_percent(sid,percent,limitPrice,stopPrice)  
global orderAtTodaysClose  
orderAtTodaysClose = OrderAtTodaysClose()

class TradeAtTodaysCloseSlippageModel(slippage.SlippageModel):  
    ''' simulate selling immediatly at the close (hack to let interday pretend to be intraday)  
    YOU MUST USE OrderAtTodaysClose.order_target_percent() for this to take effect.  if not, we use the opening price for the following timeslice  
    '''  
    def __init__(self):  
        pass

    def process_order(self, trade_bar, order):          

        #doesn't work with daily  
        #price_history = history(bar_count=2, frequency='1d', field='price')  
        #price = price_history[trade_bar.sid][-2]  
        if orderAtTodaysClose.closePrices.has_key(trade_bar.sid):  
            price = orderAtTodaysClose.closePrices[trade_bar.sid]  
        else:  
            price = trade_bar.open_price

        return slippage.create_transaction(  
            trade_bar,  
            order,  
            price,  
            order.amount  
        )