@Robin Gane-McCalla You can 'get around' this message by closing all open orders at the end of the day. That is what the code above will do. The
cancel_all_open_orders function will cancel any unfilled, or partially filled, orders. Therefore, when the backtest engine checks for open orders at the end of the day, it will never find any, and therefore, won't generate those warning messages.
The short answers to your questions are 'yes' and 'yes'.
Yes, the reason why orders go unfilled, or partially filled, is there isn't enough volume traded. The order filling process is controlled by the slippage model. The default model fills an order with a maximum of 10% of the minute volume. Consider the case where one orders 100 shares of XYZ and the trading volume was 870 and 900 shares for the following two minutes. The order would fill 87 shares in minute 1 and the remaining 13 shares in minute 2. One can over-ride the slippage model or write a completely custom one. However, the default has been shown to be pretty close to 'real life'.
Note the situation where there may be enough daily volume but one trades in the last few minutes of the day. The same thing happens. Not only consider the total daily volume but the 'net volume left in the day'.
Yes, generally do not trade low volume stocks. The backtest engine will most certainly be wrong or misleading especially if placing market orders. It's not just a matter of eliminating the warnings, but ensuring the backtest results resemble live trading results. The
QTradableStocks universe will screen these out and is why it's good practice to start there.
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