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How are orders executed in Quantopian?

I am using order_target_percent and rebalancing every year. However, the algorithm opens positions over the year (I have found this to be the case by looking at the transaction details after I have backtested the algorithm) and not in one go. Is this intended? How do I make it order all the stocks in one go?

1 response

Depending on the liquidity of the stock and size of the order, some stocks may take some time to fill (just like in real life). With high trading volume stocks, orders are typically filled in the next bar, but with illiquid stocks, the order may take a while to fill (could also potentially never fill if your order size is too big). Orders that are not yet filled can be tracked using get_open_orders(). If you don't want to wait for orders to fill, you can cancel your open orders each bar (or a few bar laters, up to you) with cancel_order().

I hope this helps!


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