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quantopian / zipline

Zipline, a Pythonic Algorithmic Trading Library
https://www.zipline.io
Apache License 2.0
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Orderbook strategies and zipline #1616

Open femtotrader opened 7 years ago

femtotrader commented 7 years ago

Hello,

some trading strategies use orderbook modeling.

I haven't seen currently in zipline and Quantopian any support for orderbook. It may be interesting to backtest / paper trade quite illiquid assets (penny stocks, crypto currencies...) and have a more realistic execution simulation.

This Quora question https://www.quora.com/Where-can-I-download-historical-limit-order-book-information may be useful to download historical limit order book

Kind regards

keywords: orderbook order flow liquidity depth of market DOM

Related forum question: https://www.quantopian.com/posts/the-order-book

Market impact could be considered (Kyle's lambda, Amihud gamma...) https://en.wikipedia.org/wiki/Market_impact

dmichalowicz commented 4 years ago

Hi, thanks for the recommendation. This is a feature that would be nice to support, but is not something we will likely be able to add in the near/medium term.