I've began coding an algorithm 3 months ago. I had never coded a Quant algo before. After hours of work I was thinking that i've got one of the best algo out there. Check out those results!

After testing it live with IB Paper and QuantConnect data (I had to put money to open an IB account), I have realized that some orders had a great ammount of slippage and were not the same as my backtests. So I decided to put a slippage model. Nothing extravagant only 0.0002m. And now, I have just realized that my algo is just a worthless buy at invalid price thing.


So please don't do the same mistake. Slippage model should be the first lines of code you write in your algos.