def adjust_trade(self, trade: Trade) -> Trade:
price_slippage = np.random.uniform(0, self.max_slippage_percent / 100)
initial_price = trade.price
if trade.type == TradeType.MARKET:
if trade.side == TradeSide.BUY:
trade.price = max(initial_price * (1 + price_slippage), 1e-3)
else:
trade.price = max(initial_price * (1 - price_slippage), 1e-3)
else:
if trade.side == TradeSide.BUY:
trade.price = max(initial_price * (1 + price_slippage), 1e-3)
if trade.price > initial_price:
trade.size *= min(initial_price / trade.price, 1)
else:
trade.price = max(initial_price * (1 - price_slippage), 1e-3)
if trade.price < initial_price:
trade.size *= min(trade.price / initial_price, 1)
return trade
def execute_trade(self, trade: Trade) -> Trade:
current_price = self.current_price(symbol=trade.symbol)
commission = self._commission_percent / 100
is_trade_valid = self._is_valid_trade(trade)
if trade.is_buy and is_trade_valid:
price_adjustment = price_adjustment = (1 + commission)
trade.price = round(current_price * price_adjustment,
self._base_precision)
trade.amount = round((trade.price * trade.amount) / trade.price,
self._asset_precision)
elif trade.is_sell and is_trade_valid:
price_adjustment = (1 - commission)
trade.price = round(current_price * price_adjustment,
self._base_precision)
trade.amount = round(trade.amount, self._asset_precision)
filled_trade = self._slippage_model.fill_order(trade)
self._update_account(filled_trade)
return filled_trade
