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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.
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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
Niccolò Melacarne
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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