John, Shrikrishna, Grant: for
get_open_order, just pass a security without naming the parameter (e.g.
get_open_order(sid(24))). We've renamed the parameter from
asset to be more consistent with other parts of our system, but you can just pass the security and it'll work. We've updated our help docs accordingly and will ship that out soon.
Alex S: adding custom properties to
data is something that we supported by accident in Q1. If you use
context.history_cache = ..., everything should work. Unfortunately adding custom properties to
data is not something for which we've built a compatibility shim, so it won't work in Q2.
Tar Xvzf: Q2's default slippage model lets you take 2.5% of the volume for a minute bar, instead of Q1's 25%. We've found that to be a much more realistic value, as the previous model was creating some unrealistic price impacts. This is also the value that our research team uses to evaluate algorithms for allocations. You can always customize your slippage model, and Q2 now gives you the full
data object so you can write much more complex slippage models that incorporate data from other securities if needed.
As for fundamentals in pipeline, we know that is currently a very slow part of our system and we are actively working on improving it, separately from Q2. Your algorithm shouldn't be noticeably slower in Q2 than in Q1's daily mode if it makes good use of
schedule_function. We're happy to help look at your code if you'd like.
Vladimir: We had some bugs in
schedule_function that have just been fixed on testdrive. Can you try again and let us know if you have any problems?
Thanks for all the feedback!
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