I love the idea of Quantopian, and I've become addicted. I'm a day trader, and I'm also a Sr. Solution Architect and software engineer. When I trade, I trade based on momentum. I look for new highs on stocks intra-day, and I trade in the $1 - $10 range, all the time in Scottrade. The idea that I could write code to do what I do, and go somewhere else and sip on a mojito is something I simply adore, and if I can program the system to do what I do normally, that will be awesome.
The fact that I can't fill 100 shares on a stock that averages a 1,000,000 shares traded over the last 30 days is beyond absurd. And anyone who argues this has either never traded in their life, or simply doesn't know any better. I usually go in on orders with my hot keys in Scottrade Elite for 10,000, sometimes 30,000 shares. More often than not, I get filled almost immediately, even with limit orders. And I usually sell, after a penny or two on the move. I've read all the horse manure about how accurate your slippage model is, and I can tell you it's total BS. For starters, my algorithm is struggling to fill 100 shares, and none of the stop losses are executing period. I coded it to do a trailing stop loss, and I can watch as the price rises, and then for whatever reason Quacktopian arbitrarily decides that it would be impossible in that instant to sell 100 shares. I don't believe that Scottrade is the greatest broker in the world, not even for a minute. However, no one here is going to convince me that I shouldn't be able to get these shares bought and sold based at what I'm requesting. In addition, there is a MAJOR bug on market order the fills. It's as if you're actually trying to discourage programmers, rather than encourage them. I've gotten fills that were 50% above the high of day, which is just flat out stupid and doesn't happen, even in after hours trading. Quantopian is probably the greatest idea since sliced bread, but until the developers take a good look in the mirror and try to simulate real word trading, rather than saying they do, we'll all be stuck to momentum trading the DOW. Now, I could be dead wrong and it could be my code, but since there seems to be a random number generator behind the fill routines for market orders, I don't think that's feasible. Can we at least get the StopLimit working? Somebody. Anybody. Please help.