PriceBasedSlippage¶
-
class
qf_lib.backtesting.execution_handler.slippage.price_based_slippage.
PriceBasedSlippage
(slippage_rate: float, data_provider: qf_lib.data_providers.data_provider.DataProvider, max_volume_share_limit: Optional[float] = None)[source]¶ Bases:
qf_lib.backtesting.execution_handler.slippage.base.Slippage
Calculates the slippage by using some fixed fraction of the current securities’ price (e.g. always 0.01%).