Fixed floating-point error in volume share slippage model

2026-07-04 12:46:12 +08:00 · 2012-11-28 19:42:57 -05:00
parent 149309d4af
commit 1b2f6739e9
1 changed files with 9 additions and 1 deletions
@@ -108,7 +108,15 @@ class VolumeShareSlippage(object):

            volume_share = min(direction * (desired_order) / event.volume,
                               self.volume_limit)
-            simulated_amount = int(volume_share * event.volume * direction)
+
+            if volume_share == self.volume_limit:
+                simulated_amount = \
+                    int(self.volume_limit * event.volume * direction)
+            else:
+                # we can fill the entire desired order
+                # let's not deal with floating-point errors
+                simulated_amount = desired_order
+
            simulated_impact = (volume_share) ** 2 \
                * self.price_impact * direction * event.price