diff --git a/catalyst/algorithm.py b/catalyst/algorithm.py
index ed10fedd..93ea60bb 100644
--- a/catalyst/algorithm.py
+++ b/catalyst/algorithm.py
@@ -1135,7 +1135,7 @@ class TradingAlgorithm(object):
                           'date_rule. You should use keyword argument '
                           'time_rule= when calling schedule_function without '
                           'specifying a date_rule', stacklevel=3)
-        
+
         freq = self.sim_params.data_frequency
 
         date_rule = date_rule or date_rules.every_day()
diff --git a/catalyst/exchange/exchange_algorithm.py b/catalyst/exchange/exchange_algorithm.py
index 2d902572..bddbf2f0 100644
--- a/catalyst/exchange/exchange_algorithm.py
+++ b/catalyst/exchange/exchange_algorithm.py
@@ -29,6 +29,7 @@ from catalyst.algorithm import TradingAlgorithm
 from catalyst.data.minute_bars import BcolzMinuteBarWriter, \
     BcolzMinuteBarReader
 from catalyst.errors import OrderInBeforeTradingStart
+from catalyst.exchange.exchange_blotter import ExchangeBlotter
 from catalyst.exchange.exchange_errors import (
     ExchangeRequestError,
     ExchangePortfolioDataError,
@@ -190,6 +191,11 @@ class ExchangeTradingAlgorithmBacktest(ExchangeTradingAlgorithmBase):
     def __init__(self, *args, **kwargs):
         super(ExchangeTradingAlgorithmBacktest, self).__init__(*args, **kwargs)
 
+        self.blotter = ExchangeBlotter(
+            data_frequency=self.data_frequency,
+            # Default to NeverCancel in catalyst
+            cancel_policy=self.cancel_policy,
+        )
         log.info('initialized trading algorithm in backtest mode')
 
 
diff --git a/catalyst/exchange/exchange_blotter.py b/catalyst/exchange/exchange_blotter.py
new file mode 100644
index 00000000..dd771cca
--- /dev/null
+++ b/catalyst/exchange/exchange_blotter.py
@@ -0,0 +1,19 @@
+from catalyst.finance.blotter import Blotter
+from catalyst.finance.commission import PerShare
+from catalyst.finance.slippage import VolumeShareSlippage
+from catalyst.assets._assets import TradingPair
+
+
+class ExchangeBlotter(Blotter):
+    def __init__(self, *args, **kwargs):
+        super(ExchangeBlotter, self).__init__(*args, **kwargs)
+
+        # Using the equity models for now
+        # We may be able to define more sophisticated models based on the fee
+        # structure of each exchange.
+        self.slippage_models = {
+            TradingPair: VolumeShareSlippage()
+        }
+        self.commission_models = {
+            TradingPair: PerShare()
+        }