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2015-11-25 15:00 WARN Your order for -2061 shares of XPO failed to fill by the end of day and was canceled.

Hey all,

I am getting the error mentioned in the title when pairs trading XPO and UPS. Can some one tell me why is this happening and how does this warning message affect my returns? Does my Return % in the backtest change because these orders weren't fulfilled. Complete noob with algo trading and any help is much appreciated. Thank you!!

1 response

Hello Ronak,

Welcome to Quantopian!

By default, Quantopian will apply a default slippage model to your transactions. The slippage model is what estimates how quickly your order will fill, and what the price impact of your order is on the market. When a stock is thinly traded it is therefore difficult for you to get a fill for a large order. At the end of the trading day any unfilled orders are cancelled, and that is the log message you see.

I looked at XPO data for that period. Indeed, the volume for XPO was very low on that day. It looks like the day after Thanksgiving, and was a half-day of trading.

So, does that affect your returns? Sure, in the sense that you didn't achieve the portfolio that you intended to, your returns will be different than you expected. But there's no artificial penalty or anything for having an unfilled order.

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