Source code for tensortrade.oms.services.slippage.random_slippage_model

# Copyright 2019 The TensorTrade Authors.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License

import numpy as np

from tensortrade.oms.services.slippage.slippage_model import SlippageModel
from tensortrade.oms.orders import Trade, TradeType, TradeSide



[docs]
class RandomUniformSlippageModel(SlippageModel):
    """A uniform random slippage model.

    Parameters
    ----------
    max_slippage_percent : float, default 3.0
        The maximum random slippage to be applied to the fill price.
    """

    def __init__(self, max_slippage_percent: float = 3.0):
        super().__init__()
        self.max_slippage_percent = self.default('max_slippage_percent', max_slippage_percent)


[docs]
    def adjust_trade(self, trade: "Trade", **kwargs) -> "Trade":
        price_slippage = np.random.uniform(0, self.max_slippage_percent / 100)

        initial_price = trade.price

        if trade.type == TradeType.MARKET:
            if trade.side == TradeSide.BUY:
                trade.price = max(initial_price * (1 + price_slippage), 1e-3)
            else:
                trade.price = max(initial_price * (1 - price_slippage), 1e-3)
        else:
            if trade.side == TradeSide.BUY:
                trade.price = max(initial_price * (1 + price_slippage), 1e-3)

                if trade.price > initial_price:
                    trade.size *= min(initial_price / trade.price, 1)
            else:
                trade.price = max(initial_price * (1 - price_slippage), 1e-3)

                if trade.price < initial_price:
                    trade.size *= min(trade.price / initial_price, 1)

        return trade