ENH: Add slippage models to execute at limit, open prices #1512
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added 5 commits
August 30, 2016 21:51
Generalize SlippageModel by adding properties market_field and limits_enhance and sublasses that extend it and configure the properties. Thus the slippage model can be configured whether to execute at open or close price and whether to trigger limit and stop orders early at limit, stop price (if they fall within [low..high] range) or at the configured market_price. Default settings are backward compatible with respect to execution price (at least in the tests). To get the new behavior set the slippage model to a subclass. E.g.: def initialize(context): context.set_slippage(ConservativeCloseSlippage()) Once configured, the slippage model either always executes limit orders at limit price or always at market_price. It is not designed to use limit price and market_price for different orders in the same simulation.
SlippageModel is generalized with the idea of bar stage.
3 bar stages are defined: Open, HighLow and Close. The behavior
until now corresponds to using only Close stage.
The first added slippage model HLCVolumeSlippage executes limit
orders at limit price instead of close price, but still using
close price for market orders.
The second slippage model OHLVolumeSlippage takes advantage of
all the OHLC prices in the bar, executing limit orders either
at open or limit depending on marketability.
Default behaviour is not changed. To use the new functionality:
def initialize(context):
context.set_slippage(HLCVolumeSlippage())
Sync with added parameters at master BarData
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What is the status of this PR? Did you guys come to a conclusion? |
This was referenced Dec 17, 2023
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Generalize SlippageModel with the idea of bar stage.
3 bar stages are defined: Open, HighLow and Close. The behavior
until now corresponds to using only Close stage.
The first added slippage model HLCVolumeSlippage executes limit
orders at limit price instead of close price, but still using
close price for market orders.
The second slippage model OHLVolumeSlippage takes advantage of
all the OHLC prices in the bar, executing limit orders either
at open or limit depending on marketability.
Default behaviour is not changed. To use the new functionality:
def initialize(context):
context.set_slippage(HLCVolumeSlippage())