A lot of time has gone by but this wound up in an external discussion so I was looking at it again and I have some thoughts I wish I had pointed out before.
Here again are some records on GSM.
Simultaneous buy and sell limit orders are set. The strategy appears to be, if the price goes down by 1 penny, buy some. If it goes up by a penny, switch from long to short. It is targeting both long and short at 1 cent movement triggers.
When a limit is triggered, it doesn't always even cancel the other, like here, it sells -327 of the -689 (would have taken it from +344 shares to -345 shares if that had all been filled), then buys 1 share in the next minute (264) from an order that was open previously in minute 261. How is all of this realistic? It's best when trying to illustrate something to make it as simple as possible. Pick high volume stocks. Don't try to invest beyond their volume (unless that's an essential part of the bug). Invest less, to likely be fully filled more often. Focus on just buy limit or sell limit if possible. Use as few stocks as you can unless that might mask part of the problem. Go with just long or just short if reasonable.
2017-01-04 10:51 _t:455 INFO 261 Buy 1 GSM 9.64 344 limit 9.63 6 0.62 0fd5
2017-01-04 10:51 _t:455 INFO 261 Sell -689 GSM 9.64 344 limit 9.65 6 0.62 b622
2017-01-04 10:53 _t:455 INFO 263 Sold -327|0|-689 GSM 9.65 17 limit 9.65 0 0.63 b622
2017-01-04 10:54 _t:455 INFO 264 Bot 1 GSM 9.62 18 limit 9.63 -0 0.64 0fd5
2017-01-04 10:58 _t:455 INFO 268 Sold -57|-327|-689 GSM 9.65 -39 limit 9.65 -0 0.63 b622
2017-01-04 10:59 _t:455 INFO 269 Sold -44|-384|-689 GSM 9.65 -83 limit 9.65 -0 0.63 b622
2017-01-04 11:00 _t:455 INFO 270 cncl -689 GSM 9.61 -83 limit 9.65 4 0.62 b622
As the output shows, GSM is also a mix of odd and round lots (regarding the mention by Viridian above).
Also by the way I don't think these are even the fabled
bracket orders I hear about elsewhere, which as I understand it would say, if the price goes up, sell at limit but if it goes down, sell at stop. There are no stops, so isolating to limit only was a step toward simplifying perhaps.
Enough people with far more market knowledge than myself have made mention of a limit bug on Quantopian of some sort involving the slippage model, and are confident enough about it that I trust there's something there, however I find this and other examples I've seen (though surely well-intended) not very helpful, sorry.
For Q to have reason to look into a bug or have a pretty good idea of what to do about it, or for authors here to be convinced to adopt a particular custom slippage model or work around a given problem, an example that is real-world-worthy and quite clear can probably be developed, by someone who knows these things well or by several of us together. If anyone wants to give it a shot, I'll be happy to run TradeInfo on it for that nicely readable output and if we all chip away at it, maybe some progress can be made for positive dents in it.