PriceBasedSlippage¶

class qf_lib.backtesting.execution_handler.slippage.price_based_slippage.PriceBasedSlippage(slippage_rate: float, data_provider: qf_lib.data_providers.data_provider.DataProvider, max_volume_share_limit: Optional[float] = None)[source]¶

Bases: qf_lib.backtesting.execution_handler.slippage.base.Slippage

Calculates the slippage by using some fixed fraction of the current securities’ price (e.g. always 0.01%).