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Uses min function in place of taking the minimum with an if statement.

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Eddie Hebert
2012-10-10 15:51:15 -04:00
parent 69a4e542ea
commit 9fef466323
1 changed files with 2 additions and 3 deletions
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zipline/finance/slippage.py
+2 -3
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@@ -94,9 +94,8 @@ class VolumeShareSlippage(object):
desired_order = total_order + open_amount
volume_share = direction * (desired_order) / event.volume
if volume_share > self.volume_limit:
volume_share = self.volume_limit
volume_share = min(direction * (desired_order) / event.volume,
self.volume_limit)
simulated_amount = int(volume_share * event.volume * direction)
simulated_impact = (volume_share) ** 2 \
* self.price_impact * direction * event.price