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Hi Everyone. I'm using Quantconnect to conduct some research for my Master.
I Would need to know if there is documentation on how transaction costs and liquidity in ETFs is handled by platform.
If anyone can link that or help me out would be great.
Thanks.
Varad Kabade
Hi Niccolò Melacarne,
QuantConnect/Lean has L1 data and an immediate fill model. The bid/ask spread is a transaction cost, and it fills the order despite the available volume. We can also use the reality model to change the fill model to handle partial fills and/or add a slippage model. Refer to the following Doc about Reality modeling.
Best,
Varad Kabade
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