Hello SH,

This script illustrates that the order is filled at the closing price of the next trading bar. This assumes that a custom slippage model is not applied (e.g. https://www.quantopian.com/posts/trade-at-the-open-slippage-model). With a custom model, you can shift the fulfillment price to the opening price of the next trading bar, for example.

Regarding real-time trading with Interactive Brokers (IB), I do not have hands-on experience, but Quantopian has reported that order fulfillment is asynchronous, so that as soon as an order is submitted via the algorithm, it will be sent to IB and filled immediately. Thus, it is typically well within a minute. If you are considering algorithms that rely on fussy pricing and timing at the minute or sub-minute level, I would recommend consulting with Quantopian to understand the details of their system.

Grant

def initialize(context):  
    context.spy = sid(8554)  
    set_slippage(slippage.FixedSlippage(spread=0.00))  
    set_commission(commission.PerTrade(cost=0.0))  
    context.cash_prior = context.portfolio.cash  
def handle_data(context, data):  
    # order(context.spy,1)  
    print get_datetime()  
    print context.cash_prior - context.portfolio.cash  
    print data[context.spy].close_price  
    context.cash_prior = context.portfolio.cash  
    order(context.spy, 1)  

Hi SH,

In the backtest, the trade gets placed based on the close price of the previous bar, not the current bar. If it submitted the order based on the current price, this would be look-ahead bias. For example, if you're running a call of handle_data at 3:01:00PM, and have data[stock].close_price. It can't know the close_price until the end of the minute bar (ie 3:01:59). Instead it returns the close price of the previous minute bar at 3:00:59.

Orders are then filled based on the slippage model. By default, you can trade up to 25% of the stock's transacted volume each bar. You can always change this value to better fit your strategy or create your own customized slippage model.

In live trading, handle_data() gets called every minute for which your securities traded. When your order is triggered, it's sent immediately to IB. It can be filled within seconds depending on the order size and stock liquidity. The order status is updated in the next minute, when your live algorithm dashboard is refreshed.

Cheers,
Alisa

Thanks for the clarification. In my post above, I probably should have said "This script illustrates that the order is filled at the closing price of the current trading bar (the final recorded price in the database at the end of the current simulated minute)." This is consistent with the log output of the algo I posted above. --Grant