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Basic Question: 2.5% of Daily Volume max fill on slippage assumption?

Hi guys,

It's taken me quite a while to find the time to recode a hedge fund strategy for this platform. I finally did, and when I turn off the insane fill rate assumptions, it works as expected (-.1 beta/profitable>S&P etc). When I turn it on, the S&P destroys it and it looks marginal at best.

For the contests, I'm supposed to use these assumptions of fill rates that are way below what I would get in real life. Slippage Volume Limit of 2.5% of total volume over a given time frame/bar seems inefficient, market makers would easily jump in during real life to provide you the opportunity (albeit at a premium, but that's what VWAP is for).

I'm still a bit cloudy on how I can improve the fill volume, if at all.


We are trading a new startup called FootBook that has a price of 1 dollar, and trades 100k in volume every single day. I wish to buy 10k in shares in a single day or 10% of volume.

Questions: Will it be possible to buy 10k of shares in a day using the default slippage assumptions for the contests or not? Will I just give filled around 2.5k and the remainder order becomes unfilled/canceled? Is there any work around? Will I need to re-write the algo to create my own multi-day limit order where it buys at or below x price for x days until total desired amount is acquired?

Thanks, and Apologies if this has already been address in Q2 so far.