fixed slippage was ignoring order direction.

2026-07-15 11:22:18 +08:00 · 2012-09-17 15:31:59 -04:00
parent 71c1f755b3
commit 518d471a93
1 changed files with 1 additions and 1 deletions
@@ -117,7 +117,7 @@ class FixedSlippage(object):
        txn = create_transaction(
            event.sid,
            amount,
-            event.price + self.spread/2.0,
+            event.price + (self.spread/2.0 * direction),
            event.dt,
            direction,
            self.commission