Hi, In Blueshift , How can I evaluate Transaction Cost?
Or how I can get a better estimation about what is the impact to trade 500.000USD in the market?
Because in backtest, if you take "close price" and say I sell 500.000USD in apple. All the order wont excecute at that price.
So… how handle this?
Actually, on blueshift, you cannot get all you shares executed at the close price. The default max you can get executed at any bar is 2.5% of the total volume traded at that bar. You can test it by putting a sufficiently high volume - remeber the average traded volume across all exchanges is around 150M (so the dollar value is 150M X price).
The impact cost is modeled as quadratic volume (i.e. factor X filled_volume**2) with default factor=0.1. However, there is unfortunately no separate reporting of the impact cost. You can change defaults by using the set_slippage function.