2019-01-02 21:00 WARN Your order for -13120 shares of GSK failed to fill by the end of day and was canceled.
Slippage, lack of liquidity, etc.
To combat this there are a few things you can try.
- Reduce the initial capital for your backtest. I believe the default is $10 million which is much too high. Try something smaller like $100K.
- Give the order more time to execute. Don't schedule your trade function at the close. Schedule it for 10, 20, even 30 minutes before the close.
- Set slippage to 0. Place the following statement in the initialize section.
set_slippage(slippage.FixedSlippage(spread = 0.0))
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