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https://github.com/wassname/catalyst.git
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Andrew Daniels
c2560c6079
Allows specifying a constant number of shares filled per tick. Also adds the WithConstantEquityMinuteBarData fixture, relocated from internal repo.
33 lines
909 B
Python
33 lines
909 B
Python
from zipline.finance.slippage import SlippageModel
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from zipline.utils.sentinel import sentinel
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class TestingSlippage(SlippageModel):
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"""
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Slippage model that fills a constant number of shares per tick, for
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testing purposes.
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Parameters
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----------
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filled_per_tick : int or TestingSlippage.ALL
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The number of shares to fill on each call to process_order. If
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TestingSlippage.ALL is passed, the entire order is filled.
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See also
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--------
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zipline.finance.slippage.SlippageModel
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"""
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ALL = sentinel('ALL')
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def __init__(self, filled_per_tick):
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self.filled_per_tick = filled_per_tick
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def process_order(self, data, order):
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price = data.current(order.asset, "close")
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if self.filled_per_tick is self.ALL:
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volume = order.amount
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else:
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volume = self.filled_per_tick
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return (price, volume)
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