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Hi,
I had a small question concerning backtesting and paper trading.
In real-life trading, when liquidity for a stock or ETF is low, an order may not be fully filled at the current bid or ask. In some cases, there may even not be any demand for this stock or ETF.
I was wondering if this effect is simulated at all in backtests, and in paper trading. This may have a major impact on the real-life performance of a strategy that depends on the quick purchase/sale of large quantities of assets.
Anyone would have any impressions or comments on this?
Thanks! :)
Mathieu Blouin
Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Joseph Jones
Mathieu Blouin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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