BUG: Fixed abstractness of MarketImpactBase

tests/finance/test_slippage.py

@@ -32,7 +32,6 @@ from zipline.finance.asset_restrictions import NoRestrictions
 from zipline.finance.order import Order
 from zipline.finance.slippage import (
     fill_price_worse_than_limit_price,
-    MarketImpactBase,
     NO_DATA_VOLATILITY_SLIPPAGE_IMPACT,
     VolatilityVolumeShare,
     VolumeShareSlippage,
@@ -875,7 +874,7 @@ class MarketImpactTestCase(WithCreateBarData, ZiplineTestCase):
         data = self.create_bardata(simulation_dt_func=lambda: minute)
         asset = self.asset_finder.retrieve_asset(1)
 
-        mean_volume, volatility = MarketImpactBase()._get_window_data(
+        mean_volume, volatility = VolatilityVolumeShare(0.0)._get_window_data(
             data, asset, window_length=20,
         )
 

zipline/finance/slippage.py

@@ -291,7 +291,7 @@ class FixedSlippage(SlippageModel):
         )
 
 
-class MarketImpactBase(object):
+class MarketImpactBase(SlippageModel):
     """
     Base class for slippage models which compute a simulated price impact
     according to a history lookback.
@@ -318,13 +318,13 @@ class MarketImpactBase(object):
         raise NotImplementedError('get_txn_volume')
 
     @abstractmethod
-    def simulated_impact(self,
-                         order,
-                         current_price,
-                         current_volume,
-                         txn_volume,
-                         mean_volume,
-                         volatility):
+    def get_simulated_impact(self,
+                             order,
+                             current_price,
+                             current_volume,
+                             txn_volume,
+                             mean_volume,
+                             volatility):
         """
         Calculate simulated price impact.
 
@@ -341,7 +341,7 @@ class MarketImpactBase(object):
         ------
         int : impact on the current price.
         """
-        raise NotImplementedError('simulated_impact')
+        raise NotImplementedError('get_simulated_impact')
 
     def process_order(self, data, order):
         if order.open_amount == 0:
@@ -430,7 +430,7 @@ class MarketImpactBase(object):
         return values['volume'], values['close']
 
 
-class VolatilityVolumeShare(MarketImpactBase, FutureSlippageModel):
+class VolatilityVolumeShare(MarketImpactBase):
     """
     Model slippage for futures contracts according to the following formula: