VolumeOrdersFilter

class qf_lib.backtesting.orders_filter.volume_orders_filter.VolumeOrdersFilter(data_provider: qf_lib.data_providers.data_provider.DataProvider, volume_percentage_limit: float)

Bases: qf_lib.backtesting.orders_filter.orders_filter.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.

adjust_orders(orders: List[qf_lib.backtesting.order.order.Order]) → List[qf_lib.backtesting.order.order.Order]

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.

Parameters

orders (List[Order]) – list of orders to adjust

Returns

list of orders, that do not exceed the given volume percentage limit

Return type

List[Order]