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I have an algo which trading multiple stocks and the capacity is $ 750, does it make sense?
Maybe the capacity is calculated by the lowest capacity stock in the algoriothm?
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Shile Wen
Hi Gil,
We will add a section in the docs on this value.
The capacity is roughly the sum of volume available at the time the trades happened, scaled down by the most illiquid asset in the portfolio and its percentage of trading or holdings. It can improved by having a close look at assets with a large % of holding, or a large % of trading. The exact calculation can be found here.
Best,
Shile Wen
Big mak
Would also like to know the answer here - I'm getting a capacity of $0 for a simple algo that only trades stocks with dollar volume above $3M. On the low end these are moderately illiquid stocks, but even at $3M dollar volume there should be active orders on either side of the bid-ask spread I'd imagine.
Shile, your link is broken.
Derek Melchin
Hi Big mak,
We will publish the calculation in the docs later this week.
Best,
Derek Melchin
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.
Ricardo Cortez
Following up this thread, has the calculation been published? also, I'm not finding a section in the documentation for Capacity.
Thanks!
Alexandre Catarino
Hi Ricardo Cortez ,
We are going to include the Capacity Calculations in the new documentation.
Meanwhile, please check out the following pdf: Capacity.pdf
Best regards,
Alex
Gil Sapir
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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