QuantConnect.Orders.Slippage.VolumeShareSlippageModel Class Reference

Represents a slippage model that is calculated by multiplying the price impact constant by the square of the ratio of the order to the total volume. More...

Inheritance diagram for QuantConnect.Orders.Slippage.VolumeShareSlippageModel:

Public Member Functions
	VolumeShareSlippageModel (decimal volumeLimit=0.025m, decimal priceImpact=0.1m)
	Initializes a new instance of the VolumeShareSlippageModel class More...
decimal	GetSlippageApproximation (Security asset, Order order)
	Slippage Model. Return a decimal cash slippage approximation on the order. More...

Detailed Description

Represents a slippage model that is calculated by multiplying the price impact constant by the square of the ratio of the order to the total volume.

Definition at line 27 of file VolumeShareSlippageModel.cs.

Constructor & Destructor Documentation

VolumeShareSlippageModel()

QuantConnect.Orders.Slippage.VolumeShareSlippageModel.VolumeShareSlippageModel	(	decimal	volumeLimit = 0.025m,
		decimal	priceImpact = 0.1m
	)

Initializes a new instance of the VolumeShareSlippageModel class

Parameters

volumeLimit
priceImpact	Defines how large of an impact the order will have on the price calculation

Definition at line 37 of file VolumeShareSlippageModel.cs.

Member Function Documentation

GetSlippageApproximation()

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

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

Implements QuantConnect.Orders.Slippage.ISlippageModel.

Definition at line 46 of file VolumeShareSlippageModel.cs.

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

• Common/Orders/Slippage/VolumeShareSlippageModel.cs