# 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
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# 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
# limitations under the License.
import math
from datetime import datetime
from typing import Sequence, Optional
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 PriceBasedSlippage(Slippage):
"""
Calculates the slippage by using some fixed fraction of the current securities' price (e.g. always 0.01%).
"""
def __init__(self, slippage_rate: float, data_provider: DataProvider,
max_volume_share_limit: Optional[float] = None):
super().__init__(data_provider, max_volume_share_limit)
self.slippage_rate = slippage_rate
def _get_fill_prices(self, date: datetime, orders: Sequence[Order], no_slippage_fill_prices: Sequence[float],
fill_volumes: Sequence[float]) -> Sequence[float]:
if self.slippage_rate == 0.0:
return no_slippage_fill_prices
fill_prices = []
for order, no_slippage_price in zip(orders, no_slippage_fill_prices):
fill_price = self._get_single_fill_price(order, no_slippage_price)
fill_prices.append(fill_price)
return fill_prices
def _get_single_fill_price(self, order, no_slippage_price):
if math.isnan(no_slippage_price):
fill_price = float('nan')
else:
if order.quantity > 0: # BUY Order
multiplier = 1 + self.slippage_rate
else: # SELL Order
multiplier = 1 - self.slippage_rate
fill_price = no_slippage_price * multiplier
return fill_price