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Borrow Costs & Stock to Borrow

Does anyone know if Quantopian takes into account the borrowing costs and if the availability is factored into the back test for short trades? Thank you.

4 responses

Hi Brett,

Currently the two methods to set transaction costs (both commissions and market impact price changes) in the Quantopian backtester are set_commission() and set_slippage(). Neither of those have a way for you to set assumed borrow costs and we don't currently have data for borrow rates or availability.

We're looking at adding this to our API, probably the first version will have a default flat borrow rate assumption that you'll be able to customize. That's not a perfect solution of course since borrow rates can vary widely over time and across instruments. But it will be a good first step.

I've also been looking into this issue in more detail for the strategies we are live trading as part of the Quantopian Open and those we're considering for allocations through our fund. Interactive Brokers does provide some good tools for getting at their borrow rates and loan availability, if you have an account and are planning to live trade through them you can probably get a pretty good idea of the costs you'll be looking at.

Best, Jess

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thank you I appreciate you response.

Any updates?

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