VolumeShareSlippageModel

QuantConnect.Orders.Slippage.VolumeShareSlippageModel

VolumeShareSlippageModel(
    volume_limit: float = 0.025, price_impact: float = 0.1
)

Bases: Object, ISlippageModel

Represents a slippage model that is calculated by multiplying the price impact constant by the square of the ratio of the order to the total volume.

Initializes a new instance of the VolumeShareSlippageModel class

Parameters:

Name	Type	Description	Default
`volume_limit`	`float`		`0.025`
`price_impact`	`float`	Defines how large of an impact the order will have on the price calculation	`0.1`

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

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