mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-12 17:01:08 +08:00
Richard Frank
37 lines
1.0 KiB
Python
37 lines
1.0 KiB
Python
from zipline.assets import Equity
|
|
from zipline.finance.slippage import SlippageModel
|
|
from zipline.utils.sentinel import sentinel
|
|
|
|
|
|
class TestingSlippage(SlippageModel):
|
|
"""
|
|
Slippage model that fills a constant number of shares per tick, for
|
|
testing purposes.
|
|
|
|
Parameters
|
|
----------
|
|
filled_per_tick : int or TestingSlippage.ALL
|
|
The number of shares to fill on each call to process_order. If
|
|
TestingSlippage.ALL is passed, the entire order is filled.
|
|
|
|
See also
|
|
--------
|
|
zipline.finance.slippage.SlippageModel
|
|
"""
|
|
ALL = sentinel('ALL')
|
|
|
|
allowed_asset_types = (Equity,)
|
|
|
|
def __init__(self, filled_per_tick):
|
|
super(TestingSlippage, self).__init__()
|
|
self.filled_per_tick = filled_per_tick
|
|
|
|
def process_order(self, data, order):
|
|
price = data.current(order.asset, "close")
|
|
if self.filled_per_tick is self.ALL:
|
|
volume = order.amount
|
|
else:
|
|
volume = self.filled_per_tick
|
|
|
|
return (price, volume)
|