wehub-resource-sync
93 lines
3.8 KiB
C#
93 lines
3.8 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.Market;
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using QuantConnect.Logging;
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using QuantConnect.Securities;
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using System;
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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 is calculated by multiplying the price impact constant
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/// by the square of the ratio of the order to the total volume.
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/// </summary>
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public class VolumeShareSlippageModel : ISlippageModel
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{
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private readonly decimal _priceImpact;
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private readonly decimal _volumeLimit;
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/// <summary>
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/// Initializes a new instance of the <see cref="VolumeShareSlippageModel"/> class
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/// </summary>
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/// <param name="volumeLimit"></param>
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/// <param name="priceImpact">Defines how large of an impact the order will have on the price calculation</param>
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public VolumeShareSlippageModel(decimal volumeLimit = 0.025m, decimal priceImpact = 0.1m)
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{
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_priceImpact = priceImpact;
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_volumeLimit = volumeLimit;
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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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var barVolume = 0m;
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var slippagePercent = _volumeLimit * _volumeLimit * _priceImpact;
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switch (lastData.DataType)
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{
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case MarketDataType.TradeBar:
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barVolume = ((TradeBar)lastData).Volume;
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break;
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case MarketDataType.QuoteBar:
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barVolume = order.Direction == OrderDirection.Buy
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? ((QuoteBar)lastData).LastBidSize
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: ((QuoteBar)lastData).LastAskSize;
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break;
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default:
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throw new InvalidOperationException(Messages.VolumeShareSlippageModel.InvalidMarketDataType(lastData));
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}
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// If volume is zero or negative, we use the maximum slippage percentage since the impact of any quantity is infinite
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// In FX/CFD case, we issue a warning and return zero slippage
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if (barVolume <= 0)
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{
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var securityType = asset.Symbol.ID.SecurityType;
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if (securityType == SecurityType.Cfd || securityType == SecurityType.Forex || securityType == SecurityType.Crypto)
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{
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Log.Error(Messages.VolumeShareSlippageModel.VolumeNotReportedForMarketDataType(securityType));
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return 0;
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}
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Log.Error(Messages.VolumeShareSlippageModel.NegativeOrZeroBarVolume(barVolume, slippagePercent));
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}
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else
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{
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// Ratio of the order to the total volume
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var volumeShare = Math.Min(order.AbsoluteQuantity / barVolume, _volumeLimit);
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slippagePercent = volumeShare * volumeShare * _priceImpact;
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}
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return slippagePercent * lastData.Value;
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}
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}
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}
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