slippage: Slippage

In DavisVaughan/flyingfox: An Interface to the Quantopian Zipline Financial Backtester

Description

Control the slippage model used for the backtest. Slippage can be calculated as a fixed spread or as a function of the volume traded.

Usage

fly_set_slippage(us_equities = NULL, us_futures = NULL)

FixedSlippage(spread = 0)

VolumeShareSlippage(volume_limit = 0.025, price_impact = 0.1)

Arguments

us_equities	The slippage model to use for trading US equities
us_futures	The slippage model to use for trading US futures
spread	spread / 2 will be added to buys and subtracted from sells.
volume_limit	The equity volume slippage limit.
price_impact	The amount of impact the slippage has on price.

Details

• fly_set_slippage() - Set the slippage model for the backtest.

• FixedSlippage() - Model slippage as a fixed spread.

• VolumeShareSlippage() - Model slippage as a function of the volume of contracts traded.

Zipline Documentation

• fly_set_slippage()

• FixedSlippage()

• VolumeShareSlippage()

DavisVaughan/flyingfox documentation built on May 5, 2019, 12:28 a.m.