Suppose we plan to buy a small cap stock and our order size is pretty large, we can only buy up to 10% of the daily trading volume of that stock in order to reduce the impact cost, i.e. the maximum percent of historical volume that can fill in each daily bar is 10%.
For example, if one day we place an order to buy 200 shares of stock A, and the total trading volume of this stock is only 1000 shares on that day, we can only buy 100 shares on that day, resulting in 100 shares not being bought yet.
This feature has been implemented in Zipline and Backtrader, but it seems that there is no similar feature in bt yet.
In Zipline
https://zipline.ml4trading.io/_modules/zipline/finance/slippage.html#VolumeShareSlippage
In Backtrader
https://www.backtrader.com/blog/posts/2016-07-14-volume-filling/volume-filling/
Suppose we plan to buy a small cap stock and our order size is pretty large, we can only buy up to 10% of the daily trading volume of that stock in order to reduce the impact cost, i.e. the maximum percent of historical volume that can fill in each daily bar is 10%.
For example, if one day we place an order to buy 200 shares of stock A, and the total trading volume of this stock is only 1000 shares on that day, we can only buy 100 shares on that day, resulting in 100 shares not being bought yet.
This feature has been implemented in Zipline and Backtrader, but it seems that there is no similar feature in bt yet.
In Zipline
https://zipline.ml4trading.io/_modules/zipline/finance/slippage.html#VolumeShareSlippage
In Backtrader
https://www.backtrader.com/blog/posts/2016-07-14-volume-filling/volume-filling/