Source code for qf_lib.backtesting.execution_handler.slippage.fixed_slippage

#     Copyright 2016-present CERN – European Organization for Nuclear Research
#     Licensed under the Apache License, Version 2.0 (the "License");
#     you may not use this file except in compliance with the License.
#     You may obtain a copy of the License at
#     Unless required by applicable law or agreed to in writing, software
#     distributed under the License is distributed on an "AS IS" BASIS,
#     WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
#     See the License for the specific language governing permissions and
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from datetime import datetime
from typing import Sequence, Optional

import numpy as np

from qf_lib.backtesting.execution_handler.slippage.base import Slippage
from qf_lib.backtesting.order.order import Order
from qf_lib.data_providers.data_provider import DataProvider

[docs]class FixedSlippage(Slippage): """ Slippage which always adds (or subtracts if short sale) certain absolute amount of money to the price. """ def __init__(self, slippage_per_share: float, data_provider: DataProvider, max_volume_share_limit: Optional[float] = None): super().__init__(data_provider, max_volume_share_limit) self.slippage_per_share = slippage_per_share def _get_fill_prices(self, date: datetime, orders: Sequence[Order], no_slippage_fill_prices: Sequence[float], fill_volumes: Sequence[int]) -> Sequence[float]: fill_volumes = np.array([order.quantity for order in orders]) fill_prices = np.array(no_slippage_fill_prices) + np.copysign(self.slippage_per_share, fill_volumes) return fill_prices