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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 ...
Thanks
Gabriel

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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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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
# Backtest ID: 59990827deff7050f3991521
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 ?

Hi,

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

set_slippage(us_futures=slippage.FixedSlippage(0))  

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?).