Share New Research 
Hi Everyone,
I am working on a model for SPY and I was hoping someone that has done some large algorithmic trades could weigh in on how large a single market order can be on SPY before causing excessive slippage? I would define excessive as more than 4-5 ticks from the quote price. I'm essentially trying to identify capacity to stay within a slippage tolerance, and understand the market conditions matter, but can anyone weigh in on what they have experienced in live trading when submitting large SPY orders? Or, is there a rule of thumb you use that works to stay within a specified tolerance? Google produced responses all over the map.
Thanks!
Louis Szeto
Hi Aaron
We recommend creating a custom execution model. You may take a look at the Spread Execution Model as a starting point. Just change the last line from a percentage change into an absolute change would work. Then add the execution model into the Initialize method:
Best
Louis
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.
Aaron Farrell
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.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!