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BUG: Fix limit orders

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Only fill limit order if impacted fill price is better than the limit price.
If a limit order is partially filled, only fill the remaining shares if the
impacted fill price is better than the limit price.
This commit is contained in:
Brian Fink
2015-04-14 12:36:26 -04:00
parent ef598c7130
commit 82d2ddfa90
2 changed files with 109 additions and 8 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/finance/test_slippage.py
+94 -5
View File
@@ -103,12 +103,13 @@ class SlippageTestCase(TestCase):
]
orders_txns = list(slippage_model.simulate(
events[2],
events[3],
open_orders
))
self.assertEquals(len(orders_txns), 0)
# long, does trade
# long, does not trade - impacted price worse than limit price
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
@@ -123,6 +124,24 @@ class SlippageTestCase(TestCase):
open_orders
))
self.assertEquals(len(orders_txns), 0)
# long, does trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': 133,
'limit': 3.6})
]
orders_txns = list(slippage_model.simulate(
events[3],
open_orders
))
self.assertEquals(len(orders_txns), 1)
txn = orders_txns[0][1]
@@ -160,7 +179,7 @@ class SlippageTestCase(TestCase):
self.assertEquals(len(orders_txns), 0)
# short, does trade
# short, does not trade - impacted price worse than limit price
open_orders = [
Order(**{
@@ -176,6 +195,24 @@ class SlippageTestCase(TestCase):
open_orders
))
self.assertEquals(len(orders_txns), 0)
# short, does trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': 133,
'limit': 3.4})
]
orders_txns = list(slippage_model.simulate(
events[1],
open_orders
))
self.assertEquals(len(orders_txns), 1)
_, txn = orders_txns[0]
@@ -372,7 +409,7 @@ class SlippageTestCase(TestCase):
self.assertEquals(len(orders_txns), 0)
# long, does trade
# long, does not trade - impacted price worse than limit price
open_orders = [
Order(**{
@@ -396,6 +433,32 @@ class SlippageTestCase(TestCase):
open_orders
))
self.assertEquals(len(orders_txns), 0)
# long, does trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': 133,
'stop': 4.0,
'limit': 3.6})
]
orders_txns = list(slippage_model.simulate(
events[2],
open_orders
))
self.assertEquals(len(orders_txns), 0)
orders_txns = list(slippage_model.simulate(
events[3],
open_orders
))
self.assertEquals(len(orders_txns), 1)
_, txn = orders_txns[0]
@@ -436,7 +499,7 @@ class SlippageTestCase(TestCase):
self.assertEquals(len(orders_txns), 0)
# short, does trade
# short, does not trade - impacted price worse than limit price
open_orders = [
Order(**{
@@ -460,6 +523,32 @@ class SlippageTestCase(TestCase):
open_orders
))
self.assertEquals(len(orders_txns), 0)
# short, does trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': 133,
'stop': 3.0,
'limit': 3.4})
]
orders_txns = list(slippage_model.simulate(
events[0],
open_orders
))
self.assertEquals(len(orders_txns), 0)
orders_txns = list(slippage_model.simulate(
events[1],
open_orders
))
self.assertEquals(len(orders_txns), 1)
_, txn = orders_txns[0]
zipline/finance/slippage.py
+15 -3
View File
@@ -258,13 +258,25 @@ class VolumeShareSlippage(SlippageModel):
simulated_impact = volume_share ** 2 \
* math.copysign(self.price_impact, order.direction) \
* event.price
impacted_price = event.price + simulated_impact
if order.limit:
# this is tricky! if an order with a limit price has reached
# the limit price, we will try to fill the order. do not fill
# these shares if the impacted price is worse than the limit
# price. return early to avoid creating the transaction.
# buy order is worse if the impacted price is greater than
# the limit price. sell order is worse if the impacted price
# is less than the limit price
if (order.direction > 0 and impacted_price > order.limit) or \
(order.direction < 0 and impacted_price < order.limit):
return
return create_transaction(
event,
order,
# In the future, we may want to change the next line
# for limit pricing
event.price + simulated_impact,
impacted_price,
math.copysign(cur_volume, order.direction)
)