"""Implements slippage models."""
"""Copyright (C) 2023 Edward West. All rights reserved.
This code is licensed under Apache 2.0 with Commons Clause license
(see LICENSE for details).
"""
import random
from pybroker.context import ExecContext
from abc import ABC, abstractmethod
from decimal import Decimal
from typing import Optional
[docs]
class SlippageModel(ABC):
"""Base class for implementing a slippage model."""
[docs]
@abstractmethod
def apply_slippage(
self,
ctx: ExecContext,
buy_shares: Optional[Decimal] = None,
sell_shares: Optional[Decimal] = None,
):
"""Applies slippage to ``ctx``."""
[docs]
class RandomSlippageModel(SlippageModel):
"""Implements a simple random slippage model.
Args:
min_pct: Min percentage of slippage.
max_pct: Max percentage of slippage.
"""
def __init__(self, min_pct: float, max_pct: float):
if min_pct < 0 or min_pct > 100:
raise ValueError(r"min_pct must be between 0% and 100%.")
if max_pct < 0 or max_pct > 100:
raise ValueError(r"max_pct must be between 0% and 100%.")
if min_pct >= max_pct:
raise ValueError("min_pct must be < max_pct.")
self.min_pct = min_pct / 100.0
self.max_pct = max_pct / 100.0
[docs]
def apply_slippage(
self,
ctx: ExecContext,
buy_shares: Optional[Decimal] = None,
sell_shares: Optional[Decimal] = None,
):
if buy_shares or sell_shares:
slippage_pct = Decimal(random.uniform(self.min_pct, self.max_pct))
if buy_shares:
ctx.buy_shares = buy_shares - slippage_pct * buy_shares
if sell_shares:
ctx.sell_shares = sell_shares - slippage_pct * sell_shares