VolumeOrdersFilter
- class qf_lib.backtesting.orders_filter.volume_orders_filter.VolumeOrdersFilter(data_provider: DataProvider, volume_percentage_limit: float)[source]
Bases:
OrdersFilter
Verifies whether the orders sizes do not exceed the given volume limit.
- Parameters:
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
Methods:
adjust_orders
(orders)Takes list of orders and based on them creates a new list with orders, whose size does not to exceed the given volume limits.