wehub-resource-sync
62 lines
3.1 KiB
Python
62 lines
3.1 KiB
Python
# 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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from AlgorithmImports import *
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class VolumeShareSlippageModel:
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'''Represents a slippage model that is calculated by multiplying the price impact constant by the square of the ratio of the order to the total volume.'''
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def __init__(self, volume_limit: float = 0.025, price_impact: float = 0.1) -> None:
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'''Initializes a new instance of the "VolumeShareSlippageModel" class
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Args:
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volume_limit:
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price_impact: Defines how large of an impact the order will have on the price calculation'''
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self.volume_limit = volume_limit
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self.price_impact = price_impact
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def get_slippage_approximation(self, asset: Security, order: Order) -> float:
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'''Slippage Model. Return a decimal cash slippage approximation on the order.
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Args:
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asset: The Security instance of the security of the order.
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order: The Order instance being filled.'''
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last_data = asset.get_last_data()
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if not last_data:
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return 0
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bar_volume = 0
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slippage_percent = self.volume_limit * self.volume_limit * self.price_impact
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if last_data.data_type == MarketDataType.TRADE_BAR:
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bar_volume = last_data.volume
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elif last_data.data_type == MarketDataType.QUOTE_BAR:
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bar_volume = last_data.last_bid_size if order.direction == OrderDirection.BUY else last_data.last_ask_size
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else:
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raise InvalidOperationException(Messages.VolumeShareSlippageModel.invalid_market_data_type(last_data))
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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 bar_volume <= 0:
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security_type = asset.symbol.id.security_type
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if security_type == SecurityType.CFD or security_type == SecurityType.FOREX or security_type == SecurityType.CRYPTO:
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Log.error(Messages.VolumeShareSlippageModel.volume_not_reported_for_market_data_type(security_type))
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return 0
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Log.error(Messages.VolumeShareSlippageModel.negative_or_zero_bar_volume(bar_volume, slippage_percent))
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else:
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# Ratio of the order to the total volume
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volume_share = min(order.absolute_quantity / bar_volume, self.volume_limit)
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slippage_percent = volume_share * volume_share * self.price_impact
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return slippage_percent * last_data.Value;
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