def test_price_based_slippage__nan_prices(self):
slippage_rate = 0.1
slippage_model = PriceBasedSlippage(slippage_rate, self.data_provider, self.contract_ticker_mapper)
prices_without_slippage = [float('nan'), np.nan, float('nan')]
expected_fill_prices = [float('nan'), float('nan'), float('nan')]
actual_fill_prices, actual_fill_volumes = slippage_model.process_orders(str_to_date("2020-01-01"),
self.orders,
prices_without_slippage)
assert_lists_equal(expected_fill_prices, actual_fill_prices)
def test_price_based_slippage__no_volume_limits(self):
"""Volume should remain the same. Prices should be increased by the slippage rate."""
slippage_rate = 0.1
slippage_model = PriceBasedSlippage(slippage_rate, self.data_provider, self.contract_ticker_mapper)
prices_without_slippage = [20.0, 30.0, 40.0]
# Each price should be changed by +0.1 / -0.1 depending on whether it is a BUY or SELL
expected_fill_prices = [22.0, 27.0, 44.0]
# Volumes should remain equal to the initial quantities
expected_fill_volumes = [order.quantity for order in self.orders] # [1250, -200, 1]
actual_fill_prices, actual_fill_volumes = slippage_model.process_orders(str_to_date("2020-01-01"),
self.orders,
prices_without_slippage)
assert_lists_equal(expected_fill_prices, actual_fill_prices)
assert_lists_equal(expected_fill_volumes, actual_fill_volumes)
def test_price_based_slippage__with_volume(self):
"""Volume should be changed in case of exceeding limits. Slippage rate is set to 0.0, so the prices should
remain unchanged."""
slippage_rate = 0.0
max_volume_share_limit = 0.1
slippage_model = PriceBasedSlippage(slippage_rate, self.data_provider, max_volume_share_limit)
prices_without_slippage = [20.0, 30.0, 40.0]
expected_fill_prices = prices_without_slippage
# Mean historical volume is set to 50.0 for each of the tickers. As the max_volume_share_limit = 0.1, the limit
# is set to +/-5.0
expected_fill_volumes = [5.0, -5.0, 1]
actual_fill_prices, actual_fill_volumes = slippage_model.process_orders(str_to_date("2020-01-01"),
self.orders,
prices_without_slippage)
assert_lists_equal(expected_fill_prices, actual_fill_prices)
assert_lists_equal(expected_fill_volumes, actual_fill_volumes)