wehub-resource-sync
48 lines
1.8 KiB
C#
48 lines
1.8 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 QuantConnect.Data;
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using QuantConnect.Securities;
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namespace QuantConnect.Orders.Slippage
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{
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/// <summary>
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/// Represents a slippage model that uses a constant percentage of slip
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/// </summary>
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public class ConstantSlippageModel : ISlippageModel
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{
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private readonly decimal _slippagePercent;
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/// <summary>
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/// Initializes a new instance of the <see cref="ConstantSlippageModel"/> class
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/// </summary>
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/// <param name="slippagePercent">The slippage percent for each order. Percent is ranged 0 to 1.</param>
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public ConstantSlippageModel(decimal slippagePercent)
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{
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_slippagePercent = slippagePercent;
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}
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/// <summary>
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/// Slippage Model. Return a decimal cash slippage approximation on the order.
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/// </summary>
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public decimal GetSlippageApproximation(Security asset, Order order)
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{
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var lastData = asset.GetLastData();
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if (lastData == null) return 0;
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return lastData.Value*_slippagePercent;
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}
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}
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}
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