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How to force the backtester to execute orders ?

I want to trade futures a bit illiquid or in the back months. I noticed that the fills happen even hours later or never.
In real trading a Market Maker would fill your market order so how I can simulate the fill of the order in a short time ?
I tried with a custom slippage model to no avail ...

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Total Returns
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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
import quantopian.experimental.optimize as opt
import quantopian.algorithm as algo

import numpy as np
import pandas as pd
import math
def initialize(context):
    set_slippage(TradeAtTheOpenSlippageModel(0, 0.01)) #1st arg=open close range percent 2nd arg = bid-ask spread
    # Save the futures contracts we'll be trading and the corresponding proxies for the underlying's spot price.
    context.cl1 = continuous_future("QM", offset=0, roll="calendar", adjustment=None)
    # Rebalance every day, 1 hour after market open.
    algo.schedule_function(daily_rebalance, date_rules.every_day(), time_rules.market_open(hours=1))
# Slippage model to trade at the open or at a fraction of the open - close range.  
class TradeAtTheOpenSlippageModel(slippage.SlippageModel):  
    '''Class for slippage model to allow trading at the open  
       or at a fraction of the open to close range.  
    # Constructor, self and fraction of the open to close range to add (subtract)  
    #   from the open to model executions more optimistically  
    def __init__(self, fractionOfOpenCloseRange, spread):

        # Store the percent of open - close range to take as the execution price  
        self.fractionOfOpenCloseRange = fractionOfOpenCloseRange

        # Store bid/ask spread  
        self.spread = spread

    def process_order(self, data, order):  
        # Apply fractional slippage  
        openPrice = data.current(order.sid, 'open')  
        closePrice = data.current(order.sid, 'close')  
        ocRange = closePrice - openPrice  
        ocRange = ocRange * self.fractionOfOpenCloseRange  
        targetExecutionPrice = openPrice + ocRange '\nOrder:{0} open:{1} close:{2} exec:{3} side:{4}'.format(  
            order.sid, openPrice, closePrice, targetExecutionPrice, order.direction))

        # Apply spread slippage  
        targetExecutionPrice += self.spread * order.direction

        # Create the transaction using the new price we've calculated.  
        return (targetExecutionPrice, order.amount)  

def daily_rebalance(context, data):
    Execute orders according to our schedule_function() timing. 
    cl_contract1 = data.current(context.cl1, "contract")
    rema = (cl_contract1.expiration_date).day
    if (rema % 2<1):
        order_target(cl_contract1, 1)
        order_target(cl_contract1, -1)

    for security in context.portfolio.positions:         
        if (cl_contract1.expiration_date - get_datetime()).days <= 3 or (cl_contract1.expiration_date - get_datetime()).days <= 3:
                order_target(cl_contract1, 0)

There was a runtime error.
5 responses

Try setting the limit on shares to a sort of high number, this is 8 to the 9th power, should be enough:

set_slippage(slippage.VolumeShareSlippage(volume_limit=     8e9     , price_impact=0.1))  

If futures are modeled like stocks, then the trades will only go through if a historical trade is available. In other words, the backtester skips zero volume minutes. So, I'm not sure this behavior can be overcome by adjusting the slippage.

Yes it's exactly what I was thinking: the simulator waits for a trade but on back months this is a non sense. There is plenty of liquidity from the market makers but almost no trades.
What to do to make it trade ?


The syntax to specify a slippage model in the futures calendar is a bit different, you will want to use this line inside initialize():


With this slippage model, orders will fill on the first minute bar where the trading volume is non-zero, no matter the order size.

I hope this helps.


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Hi Ernesto -

Is it correct that for bars with zero historical trade volume there is no way to force the backtester to trade?

I'm wondering if there might be a work-around in the research platform where I recall one can also run backtests (using zipline?).