VolumeOrdersFilter(data_provider: qf_lib.data_providers.data_provider.DataProvider, volume_percentage_limit: float)[source]¶
Verifies whether the orders sizes do not exceed the given volume limit.
data_provider (DataProvider) – used to download the volume data
volume_percentage_limit (float) – defines the maximum percentage of the volume value, that the orders size should not exceed
Takes list of orders and based on them creates a new list with orders, whose size does not to exceed the given volume limits.
adjust_orders(orders: List[qf_lib.backtesting.order.order.Order]) → List[qf_lib.backtesting.order.order.Order][source]¶
Takes list of orders and based on them creates a new list with orders, whose size does not to exceed the given volume limits. The Orders are changed in place.