Canceled orders at end of day

Even after adjusting initial equity to 10K to reduce position size, I get the following order cancellations for a system trading SPY

2011-03-01 WARN Your order for 156 shares of SPY failed to fill by the end of day and was canceled.
2011-10-31 WARN Your order for -72 shares of SPY failed to fill by the end of day and was canceled.
2015-03-25 WARN Your order for -78 shares of SPY failed to fill by the end of day and was canceled.

Volume was large during the above days although the market moved down in all three of them. I cannot explain the behavior.

BTW what happens if an order is cancelled in default case?

16 responses

Still same error. Any ideas anyone? Thanks

i saw same issue backtesting uwti. even with zero slippage i was a getting a bunch of warnings saying the orders weren't filled even though they are placed in the morning and I'm only using 10k capital

When are you entering your order? If you enter an order within a few minutes of the end of day there is a good chance that it won't get filled. Also, is it a market order or a limit order?

Unfilled orders (or partial orders) are canceled at the end of the day in both the backtester and in real/paper trading. Canceled simply means what sounds like - it won't appear the following day and you will need to re-submit the order. Brokerages often call this a 'day order' and is typically the default order type unless specified otherwise. Quantopian doesn't support any other order type.

DAN, orders submitted at start of RTH session.

I am getting the same problem. Based on my code I don't think there should be any open orders by the end of the day (10 - 0 min) I even check using get_open_order and it returns empty at 13:59 then at 14:00 I get the message. Ex output below shows it the {} is the return from print get_open_orders

2016-08-25 13:55 PRINT selling eod, Equity(20088 [GS]), 165.38, 166.0
2016-08-25 13:59 PRINT {}
2016-08-25 14:00 WARN Your order for 321 shares of GE failed to fill by the end of day and was canceled.
2016-08-26 09:41 PRINT selling loss, Equity(698 [BA]), 133.53, 132.97
2016-08-26 09:53 PRINT selling loss, Equity(3496 [HD]), 135.138, 134.49
2016-08-26 13:55 PRINT selling eod, Equity(3149 [GE]), 31.235, 31.23
2016-08-26 13:59 PRINT {}
2016-08-26 14:00 WARN Your order for 317 shares of GE failed to fill by the end of day and was canceled.
2016-08-29 13:55 PRINT selling eod, Equity(4707 [MCD]), 115.065, 115.39
2016-08-29 13:59 PRINT {}
2016-08-30 08:20 PRINT selling loss, Equity(1267 [CAT]), 83.0, 82.66
2016-08-30 13:55 PRINT selling eod, Equity(2190 [DIS]), 94.94, 94.905
2016-08-30 13:59 PRINT {}
2016-08-30 14:00 WARN Your order for 141 shares of DD failed to fill by the end of day and was canceled

This problem baffles me and frustrates me also. I place market orders one minute after market opens in the morning, and I am only limiting myself to Q500US equities, with a capital of 1,000,000, how come I still see a lot of partially filled orders by the end of day if I run full backtest and look at "Log Output"? With such a moderate among of capital split evenly among 20 stocks, I won't be able to fill market orders for the whole day even if I am only limiting myself to Q500US? And many stocks were completely unfilled for the whole day, not even one share. Does this make sense? I just hope the Q500US is a dynamic set of US equities that changes with time and represents the most liquid 500 stocks at the prevailing time. If that is the case, how come I can't even fill one share of some of its constituent stocks during the whole day? I already change the set_slippage function from 2.5% to 10%. This totally baffles me and frustrates me. I hope somebody can enlighten me here.

Here is a glimpse of the output from "Log Output":

2009-08-10 16:00 WARN Your order for -4420 shares of SGN has been partially filled. 200 shares were successfully sold. 4220 shares were not filled by the end of day and were canceled.
2009-08-10 16:00 WARN Your order for 504 shares of DWMT failed to fill by the end of day and was canceled.
2009-08-10 16:00 WARN Your order for -3540 shares of SPO failed to fill by the end of day and was canceled.
2009-08-11 16:00 WARN Your order for 1106 shares of ELU failed to fill by the end of day and was canceled.
2009-08-11 16:00 WARN Your order for -4294 shares of SBA failed to fill by the end of day and was canceled.
2009-08-11 16:00 WARN Your order for -4245 shares of SGN has been partially filled. 1000 shares were successfully sold. 3245 shares were not filled by the end of day and were canceled.
2009-08-11 16:00 WARN Your order for 473 shares of DWMT failed to fill by the end of day and was canceled.
2009-08-11 16:00 WARN Your order for -60 shares of MAO failed to fill by the end of day and was canceled.
2009-08-11 16:00 WARN Your order for 20 shares of MKF failed to fill by the end of day and was canceled.
2009-08-11 16:00 WARN Your order for -3569 shares of SPO has been partially filled. 238 shares were successfully sold. 3331 shares were not filled by the end of day and were canceled.
2009-08-11 16:00 WARN Your order for -8189 shares of CMFO has been partially filled. 6039 shares were successfully sold. 2150 shares were not filled by the end of day and were canceled.
2009-08-12 16:00 WARN Your order for 1106 shares of ELU failed to fill by the end of day and was canceled.
2009-08-12 16:00 WARN Your order for -4300 shares of SBA has been partially filled. 240 shares were successfully sold. 4060 shares were not filled by the end of day and were canceled.
2009-08-12 16:00 WARN Your order for -3270 shares of SGN failed to fill by the end of day and was canceled.
2009-08-12 16:00 WARN Your order for 465 shares of DWMT has been partially filled. 100 shares were successfully purchased. 365 shares were not filled by the end of day and were canceled.
2009-08-12 16:00 WARN Your order for -3391 shares of SPO failed to fill by the end of day and was canceled.
2009-08-12 16:00 WARN Your order for -70 shares of MAO failed to fill by the end of day and was canceled.
2009-08-13 16:00 WARN Your order for 1106 shares of ELU failed to fill by the end of day and was canceled.
2009-08-13 16:00 WARN Your order for 240 shares of SBA failed to fill by the end of day and was canceled.
2009-08-13 16:00 WARN Your order for 1200 shares of SGN failed to fill by the end of day and was canceled.
2009-08-13 16:00 WARN Your order for 291 shares of DWMT failed to fill by the end of day and was canceled.
2009-08-13 16:00 WARN Your order for -3510 shares of SPO failed to fill by the end of day and was canceled.

Maybe attach a backtest. Easier to diagnose the problem that way. I've attached a backtest buying about $2000 of each Q500US each day 2009-08-09 thru 2009-08-14. That's about 1/500 of$1,000,000 portfolio which you alluded is what you were trying to do. This backtest didn't have any problem filling orders and didn't log any warnings. Maybe something else going on in your code?

19
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
 Returns 1 Month 3 Month 6 Month 12 Month
 Alpha 1 Month 3 Month 6 Month 12 Month
 Beta 1 Month 3 Month 6 Month 12 Month
 Sharpe 1 Month 3 Month 6 Month 12 Month
 Sortino 1 Month 3 Month 6 Month 12 Month
 Volatility 1 Month 3 Month 6 Month 12 Month
 Max Drawdown 1 Month 3 Month 6 Month 12 Month
"""
This is a template algorithm on Quantopian for you to adapt and fill in.
"""
# Import Numpy and Pandas in case we want to use some of their functionality
import numpy as np
import pandas as pd

# The follwoing imports need to be here to work with Pipeline and custom factors and filters
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline, CustomFactor, CustomFilter

# Add any imports to get the datasets you need
from quantopian.pipeline.data.builtin import USEquityPricing

# Add any imports for built in Filters and Factors you will be using
from quantopian.pipeline.filters import Q500US

def initialize(context):
"""
Called once at the start of the algorithm.
"""
# Attach the pipeline defined in my_pipe so we have data to use
attach_pipeline(pipe_definition(context), name='my_pipe')

# Schedule when you want to trade

def pipe_definition(context):
'''
Here is where the pipline definition is set up.
'''

# Create a universe filter which defines our baseline set of securities
my_stocks = Q500US()

return Pipeline(screen = my_stocks)

'''
This function is called before the start of every trading day.
'''

# Update our context.output with todays output
context.output = pipeline_output('my_pipe')

for stock in context.output.tail(300).index:
order_value(stock, 1000000/len(context.output))


There was a runtime error.

@Dan just wanted to pop in and say thanks for posting your example code. It really helped in providing me with a simple framework to better understand the basic algo structure/ data flow.

I also get it. has anyone figured this out?

same problem here!

Dear Ricardo and David007. Have you managed to resolve this partial fill issue? I have the same and wonder what could be a fix. Thanks.

Maybe the messages could specify order type and more briefly:
2009-08-10 16:00 WARN -4420 SGN limit order partially filled. 420 sold. 4000 unfilled by end of day canceled.

Can someone please attach a backtest that illustrates this if possible, removing any strategy to not be shared.
Could happen for example with market orders filled and then closing stop orders unfilled, want to make sure this isn't that.

Just taking one warning from above...

2009-08-10 16:00 WARN Your order for -4420 shares of SGN has been partially filled. 200 shares were successfully sold. 4220 shares were not filled by the end of day and were canceled.


That makes perfect sense. SGN had only a single trade of 2000 shares on 2009-08-10. The slippage model only allocated 200 shares of that to go towards filling the order leaving 4220 shares unfilled.

See notebook. Pretty thinly traded stock..

3

I solved this in my case after reading this, maybe is not the same problem for everybody, but in my case it was. :)

I'm having the same problem, even on the ES with market orders for a single contract. I have set slippage as follows:  set_slippage(slippage.FixedSlippage(spread=0.0)) (but slippage really should be relevant only to PL in this scenario, not position).

There really is no reason that an order for a single contract on a future as liquid as the front-month ES would not fill at market after 10 minutes to hours (under normal conditions, of course). It must be a bug.

I have the following schedule_functions to ensure I am flat at the open and close:
 schedule_function(func=on_open, date_rule=date_rules.every_day(), time_rule=time_rules.market_open(minutes=5),half_days=True)
schedule_function(func=on_close, date_rule=date_rules.every_day(), time_rule=time_rules.market_close(minutes=10),half_days=True)  (on_open and on_close just flatten the position and set some flags)

Had the same issues and fixed it. Using a rebalancing in my code itself. It needs to be code specific I think. If you are rebalancing daily, you will get no issues. I was concerned about my stops so I confirmed them again using a Portfolio rebalance to zero.

Hope this helps some. Old post, thought.