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A question about the Quantopian library... Does order(c.security, -c.order_size) account for transaction costs, borrowing costs and vwapping using a symbol

by resu 13y ago

A question about the Quantopian library... Does order(c.security, -c.order_size) account for transaction costs, borrowing costs and vwapping using a symbol specific profile based on volume and volatility? Probably not a big deal for SPY, but would make more of a difference for a larger portfolio.

jbredeche 13y ago
(I work at Quantopian) You can specify a commission model (https://www.quantopian.com/help#ide-commission https://www.quantopian.com/help#ide-commission) and a slippage model (https://www.quantopian.com/help#ide-slippage https://www.quantopian.com/help#ide-slippage). Right now, you have to enter parameters into one of our pre-made models, but soon (next week probably) you'll be able to write a custom model that uses whatever inputs you'd like to calculate commission and slippage.
- resu 13y ago
  That is awesome! Definitely saves users from doing a lot of extra work. I'll definitely try Quantopian out!
chollida1 13y ago
> Does order(c.security, -c.order_size) account for transaction costs, borrowing costs and vwapping using a symbol specific profile based on volume and volatility? What does it mean to account for "vwapping"? I mean I know what VWAP is, I write trading algos for a living but I have no idea what your trying to ask here:)
- resu 13y ago
  I meant do you assume you can buy or sell at the vwap price (+/- some slippage) or the closing price? Essentially using a vwap algo to enter or exit. The more active (frequency and volume) your backtest is, the more inaccurate the results will be if you just use the closing price.