wehub-resource-sync
49 lines
2.0 KiB
C#
49 lines
2.0 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 Python.Runtime;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Slippage;
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using QuantConnect.Securities;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Wraps a <see cref="PyObject"/> object that represents a model that simulates market order slippage
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/// </summary>
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public class SlippageModelPythonWrapper : BasePythonWrapper<ISlippageModel>, ISlippageModel
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{
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/// <summary>
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/// Constructor for initialising the <see cref="SlippageModelPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Represents a model that simulates market order slippage</param>
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public SlippageModelPythonWrapper(PyObject model)
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: base(model)
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{
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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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/// <param name="asset">The security matching the order</param>
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/// <param name="order">The order to compute slippage for</param>
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/// <returns>The slippage of the order in units of the account currency</returns>
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public decimal GetSlippageApproximation(Security asset, Order order)
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{
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return InvokeMethod<decimal>(nameof(GetSlippageApproximation), asset, order);
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}
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}
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}
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