why can't I place orders in back testing

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why can't I place orders in back testing

posted Aug 16, 2017

hello,

my algorithm is supposed to short some 20 stocks, but data.can_trade() returns falls for most of them which belong to Q500US universe. For those that can be traded, I see lots of messages like shown below. How to calculate which trades are sure to succeed in backtesting?

thanks
-kamal
----------2007-01-09 02:30 WARN Your order for -3998 shares of MAD has been partially filled. 673 shares were successfully sold. 3325 shares were not filled by the end of day and were canceled.
2007-01-09 02:30 WARN Your order for -3996 shares of IRCP has been partially filled. 43 shares were successfully sold. 3953 shares were not filled by the end of day and were canceled.
2007-01-16 20:10 do_portfolio_construction:86 INFO shorted stocks=
2007-01-16 20:10 do_portfolio_construction:87 INFO 2
2007-01-17 02:30 WARN Your order for -3884 shares of MAD has been partially filled. 20 shares were successfully sold. 3864 shares were not filled by the end of day and were canceled.
2007-01-17 02:30 WARN Your order for -3965 shares of IRCP has been partially filled. 264 shares were successfully sold. 3701 shares were not filled by the end of day and were canceled.
2007-01-22 20:10 do_portfolio_construction:86 INFO shorted stocks=
2007-01-22 20:10 do_portfolio_construction:87 INFO 2
2007-01-23 02:30 WARN Your order for -3918 shares of MAD has been partially filled. 450 shares were successfully sold. 3468 shares were not filled by the end of day and were canceled.
2007-01-23 02:30 WARN Your order for 264 shares of IRCP failed to fill by the end of day and was canceled.
2007-01-23 02:30 WARN Your order for -3464 shares of IRCP failed to fill by the end of day and was canceled.

1 response

Volume. Your orders are too large to be filled. The backtesting is going to fill your order's not just on price, but on volume action. Try lowering the starting cash, or lower the percentage that any one security would take up of your portfolio.

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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.