wehub-resource-sync
65 lines
2.9 KiB
C#
65 lines
2.9 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Runtime.CompilerServices;
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using QuantConnect.Data;
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using static QuantConnect.StringExtensions;
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namespace QuantConnect
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{
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/// <summary>
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/// Provides user-facing message construction methods and static messages for the <see cref="Orders.Slippage"/> namespace
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/// </summary>
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public static partial class Messages
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{
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/// <summary>
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/// Provides user-facing messages for the <see cref="Orders.Slippage.VolumeShareSlippageModel"/> class and its consumers or related classes
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/// </summary>
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public static class VolumeShareSlippageModel
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{
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/// <summary>
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/// Returns a message for an invalid market data type in Volume Share Slippage Model
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string InvalidMarketDataType(BaseData data)
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{
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return $"VolumeShareSlippageModel.GetSlippageApproximation(): Cannot use this model with market data type {data.GetType()}";
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}
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/// <summary>
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/// Returns a message for a volume not reported for market data type in Volume Share Slippage Model
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string VolumeNotReportedForMarketDataType(SecurityType securityType)
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{
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return Invariant($"VolumeShareSlippageModel.GetSlippageApproximation(): {securityType} security type often ") +
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"does not report volume. If you intend to model slippage beyond the spread, please consider another model.";
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}
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/// <summary>
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/// Returns a message for a negative or zero bar volume in Volume Share Slippage Model
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string NegativeOrZeroBarVolume(decimal barVolume, decimal slippagePercent)
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{
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return Invariant($@"VolumeShareSlippageModel.GetSlippageApproximation: Bar volume cannot be zero or negative. Volume: {
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barVolume}. Using maximum slippage percentage of {slippagePercent}");
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}
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}
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}
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}
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