MarketImpactSlippageModel

QuantConnect.Orders.Slippage.MarketImpactSlippageModel

MarketImpactSlippageModel(
    algorithm: IAlgorithm,
    non_negative: bool = True,
    latency: float = ...,
    impact_time: float = ...,
    alpha: float = ...,
    beta: float = ...,
    gamma: float = ...,
    eta: float = ...,
    delta: float = ...,
    random_seed: int = 50,
)

Bases: Object, ISlippageModel

Slippage model that mimic the effect brought by market impact, i.e. consume the volume listed in the order book

Instantiate a new instance of MarketImpactSlippageModel

Parameters:

Name	Type	Description	Default
`algorithm`	`IAlgorithm`	IAlgorithm instance	required
`non_negative`	`bool`	Indicator whether only non-negative slippage allowed	`True`
`latency`	`float`	Time between order submitted and filled, in seconds(s)	`...`
`impact_time`	`float`	Time between order filled and new equilibrium established, in second(s)	`...`
`alpha`	`float`	Exponent of the permanent impact function	`...`
`beta`	`float`	Exponent of the temporary impact function	`...`
`gamma`	`float`	Coefficient of the permanent impact function	`...`
`eta`	`float`	Coefficient of the temporary impact function	`...`
`delta`	`float`	Liquidity scaling factor for permanent impact	`...`
`random_seed`	`int`	Random seed for generating gaussian noise	`50`

get_slippage_approximation

get_slippage_approximation(
    asset: Security, order: Order
) -> float

Slippage Model. Return a decimal cash slippage approximation on the order.