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Hi everybody,
It's me again. There is something I don't fully understand about the capacity parameter. Specifically, at the moment, if you decide to cap the order size your capacity will decrease substantially. Is this behavior intended?
I have run two backtests, that follow the same strategy. The strategy buys SPY at the start of the month and sells it at the end of the month. In one backtest I don't specify any order size and I get a capacity of $48M. In the other backtest I specified an order size of 10 shares (i.e. every trade is made up of 10 shares) but I get a capacity of $1.7M. Why is that the case?
Attached to this post you can find the backtest that forces orders to be of 10 shares each. You can find the base case in the comments.
Thanks,
Pietro
PokerWinner
And this is the base case backtest
Louis Szeto
Hi Pietro
We have intentionally scaled-down the capacity for high-frequency trading if 2 trading events were very close to each other. Please check this source code's line 148-152 for reference.
Best,
Louis Szeto
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PokerWinner
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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