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I was able to implement a custom slippage model using this:
class CustomSlippageModel:
def GetSlippageApproximation(self, asset, order):
return 0.1But I really want to set the slippage to always be 0.2 percent of whatever the trade price is. I figured it should be something like this:
class CustomSlippageModel:
def GetSlippageApproximation(self, asset, order):
return asset.Price * 0.002But when I run that the backtester just stays stuck on Queueing the whole time... Is this the right way to do it?
Thanks
Tim De Lise
Oops sorry I found the answer, sorry didn't catch the errors. Need to convert asset.Price to a float for the math.
Tim De Lise
so that would be like this:
class CustomSlippageModel: def GetSlippageApproximation(self, asset, order): return np.float( asset.Price ) * 0.002Tim De Lise
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