Source code for tensortrade.slippage.random_slippage_model

# Copyright 2019 The TensorTrade Authors.
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# Licensed under the Apache License, Version 2.0 (the "License");
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#     http://www.apache.org/licenses/LICENSE-2.0
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import numpy as np

from tensortrade.slippage import SlippageModel
from tensortrade.trades import Trade, TradeType


[docs]class RandomSlippageModel(SlippageModel): "A uniform random slippage model."
[docs] def __init__(self, max_price_slippage_percent: float = 3.0, max_amount_slippage_percent: float = 0.0): """ Arguments: max_price_slippage_percent: The maximum random slippage to be applied to the fill price. Defaults to 3.0 (i.e. 3%). max_amount_slippage_percent: The maximum random slippage to be applied to the fill amount. Defaults to 0. """ self.max_price_slippage_percent = max_price_slippage_percent self.max_amount_slippage_percent = max_amount_slippage_percent
[docs] def fill_order(self, trade: Trade, current_price: float) -> Trade: amount_slippage = np.random.uniform(0, self.max_amount_slippage_percent / 100) price_slippage = np.random.uniform(0, self.max_price_slippage_percent / 100) fill_amount = trade.amount * (1 - amount_slippage) fill_price = current_price if trade.trade_type is TradeType.MARKET_BUY: fill_price = current_price * (1 + price_slippage) elif trade.trade_type is TradeType.LIMIT_BUY: fill_price = max(current_price * (1 + price_slippage), 1e-3) if fill_price > trade.price: fill_price = trade.price fill_amount *= trade.price / fill_price elif trade.trade_type is TradeType.MARKET_SELL: fill_price = current_price * (1 - price_slippage) elif trade.trade_type is TradeType.LIMIT_SELL: fill_price = max(current_price * (1 - price_slippage), 1e-3) if fill_price < trade.price: fill_price = trade.price fill_amount *= fill_price / trade.price return Trade(trade.symbol, trade.trade_type, amount=fill_amount, price=fill_price)