QuantConnect.Orders.Slippage.MarketImpactSlippageModel Class Reference

Slippage model that mimic the effect brought by market impact, i.e. consume the volume listed in the order book More...

Inheritance diagram for QuantConnect.Orders.Slippage.MarketImpactSlippageModel:

Public Member Functions
	MarketImpactSlippageModel (IAlgorithm algorithm, bool nonNegative=true, double latency=0.075d, double impactTime=1800d, double alpha=0.891d, double beta=0.600d, double gamma=0.314d, double eta=0.142d, double delta=0.267d, int randomSeed=50)
	Instantiate a new instance of MarketImpactSlippageModel More...
decimal	GetSlippageApproximation (Security asset, Order order)
	Slippage Model. Return a decimal cash slippage approximation on the order. More...

Detailed Description

Slippage model that mimic the effect brought by market impact, i.e. consume the volume listed in the order book

<remark>Almgren, R., Thum, C., Hauptmann, E., and Li, H. (2005). Direct estimation of equity market impact. Risk, 18(7), 58-62. Available from: https://www.ram-ai.com/sites/default/files/2022-06/costestim.pdf</remark> <remark>The default parameters are calibrated around 2 decades ago, the trading time effect is not accounted (volume near market open/close is larger), the market regime is not taken into account, and the market environment does not have many market makers at that time, so it is recommend to recalibrate with reference to the original paper.</remark>

Definition at line 41 of file MarketImpactSlippageModel.cs.

Constructor & Destructor Documentation

MarketImpactSlippageModel()

QuantConnect.Orders.Slippage.MarketImpactSlippageModel.MarketImpactSlippageModel	(	IAlgorithm	algorithm,
		bool	nonNegative = true,
		double	latency = 0.075d,
		double	impactTime = 1800d,
		double	alpha = 0.891d,
		double	beta = 0.600d,
		double	gamma = 0.314d,
		double	eta = 0.142d,
		double	delta = 0.267d,
		int	randomSeed = 50
	)

Instantiate a new instance of MarketImpactSlippageModel

Parameters

algorithm	IAlgorithm instance
nonNegative	Indicator whether only non-negative slippage allowed
latency	Time between order submitted and filled, in seconds(s)
impactTime	Time between order filled and new equilibrium established, in second(s)
alpha	Exponent of the permanent impact function
beta	Exponent of the temporary impact function
gamma	Coefficient of the permanent impact function
eta	Coefficient of the temporary impact function
delta	Liquidity scaling factor for permanent impact
randomSeed	Random seed for generating gaussian noise

Definition at line 68 of file MarketImpactSlippageModel.cs.

Member Function Documentation

GetSlippageApproximation()

decimal QuantConnect.Orders.Slippage.MarketImpactSlippageModel.GetSlippageApproximation	(	Security	asset,
		Order	order
	)

Slippage Model. Return a decimal cash slippage approximation on the order.

Implements QuantConnect.Orders.Slippage.ISlippageModel.

Definition at line 97 of file MarketImpactSlippageModel.cs.

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The documentation for this class was generated from the following file:

• Common/Orders/Slippage/MarketImpactSlippageModel.cs