def create_txn(trade_event, price, amount):
"""
Create a fake transaction to be filled and processed prior to the execution
of a given trade event.
"""
mock_order = Order(trade_event.dt, trade_event.sid, amount, id=None)
return create_transaction(trade_event, mock_order, price, amount)
def create_txn(trade_event, price, amount):
"""
Create a fake transaction to be filled and processed prior to the execution
of a given trade event.
"""
mock_order = Order(trade_event.dt, trade_event.sid, amount, id=None)
return create_transaction(trade_event, mock_order, price, amount)
def process_order(self, trade_bar, my_order):
spread = self.spreads[my_order.sid]
# In this model, the slippage is going to be half of the spread for
# the particular stock
slip_amount = spread / 2
# Compute the price impact of the transaction. Size of price impact is
# proprotional to order size.
# A buy will increase the price, a sell will decrease it.
new_price = trade_bar.price + (slip_amount * my_order.direction)
log.info('executing order ' + str(trade_bar.sid) + ' stock bar price: ' + \
str(trade_bar.price) + ' and trade executes at: ' + str(new_price))
# Create the transaction using the new price we've calculated.
return zpSlippage.create_transaction(trade_bar, my_order, new_price,
my_order.amount)
def process_order(self, trade_bar, my_order):
spread = self.spreads[my_order.sid]
# In this model, the slippage is going to be half of the spread for
# the particular stock
slip_amount = spread / 2
# Compute the price impact of the transaction. Size of price impact is
# proprotional to order size.
# A buy will increase the price, a sell will decrease it.
new_price = trade_bar.price + (slip_amount * my_order.direction)
log.info('executing order ' + str(trade_bar.sid) + ' stock bar price: ' + \
str(trade_bar.price) + ' and trade executes at: ' + str(new_price))
# Create the transaction using the new price we've calculated.
return zpSlippage.create_transaction(
trade_bar,
my_order,
new_price,
my_order.amount
)
def create_txn(event, price, amount):
mock_order = Order(None, None, event.sid, id=None)
txn = create_transaction(event, mock_order, price, amount)
txn.source_id = 'MockTransactionSource'
return txn
def create_txn(event, price, amount):
mock_order = Order(None, None, event.sid, id=None)
return create_transaction(event, mock_order, price, amount)
def create_txn(event, price, amount):
mock_order = Order(None, None, event.sid, id=None)
txn = create_transaction(event, mock_order, price, amount)
txn.source_id = 'MockTransactionSource'
return txn
def create_txn(sid, price, amount, dt):
return create_transaction(sid, amount, price, dt, "fakeuid")
def create_txn(event, price, amount):
mock_order = Order(None, None, event.sid, id=None)
return create_transaction(event, mock_order, price, amount)
