Last month Tom Bok gave a informative and fascinating presentation about modeling transaction costs in algorithms at our Boston Algorithmic Finance Meetup.

We were inspired by his presentation to expand the transaction cost modeling in our backtester. Quantopian already had a couple of adjustable slippage models, a volume-based slippage model and a fixed slippage model. Now, it supports any transaction model you'd like to think of. With our custom slippage feature, you can code your own slippage model.

Click Clone Algorithm below, and then press the Build button to run the backtest. You can see the orders being placed at price x, the order being executed at price y, and the slippage-adjusted final price z. Then, you can edit the model yourself. For more information, check out the help documentation.

If you're interested in learning more about modeling transaction costs, we've scheduled a webinar with Tom for June 26 at 2PM EDT. The webinar will be a Q&A based on this presentation. Bring your modeling questions to the webinar, and Tom will answer any questions you have. Please RSVP.