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v8.10.0 — Pluggable Slippage Models, Index Enhancements & Evaluation Focus

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@MDUYN MDUYN released this 24 May 15:19

What's New

Pluggable Slippage Models (#442)

  • VolumeShareSlippage — quadratic market-impact model with volume-based partial fills
  • FixedBasisPointsSlippage — fixed basis-point spread model
  • max_fill_amount() on SlippageModel base class for volume-aware partial fills
  • TradingCost now accepts an optional slippage_model parameter
  • Backtest trade-order evaluator uses TradingCost.get_max_fill_amount() for realistic fill simulation
  • Full backward compatibility — existing callers are unaffected

Index & Ranking Enhancements

  • rank_index(focus=...) — weighted multi-metric scoring with BacktestEvaluationFocus presets (BALANCED, PROFIT, FREQUENCY, RISK_ADJUSTED) or fully custom weights dict
  • prune_backtests(flatten=True) — place pruned bundles directly in archive dir without nested folders

Documentation & Examples

  • README: BacktestEvaluationFocus weighted ranking showcase with code examples and preset comparison table
  • Updated trading-cost.md, blotter.md, overview.md with slippage model docs
  • Tutorial notebook 03_param_sweep: uses BacktestEvaluationFocus.BALANCED for pruning workflow

Tests

  • 37 new tests covering all slippage models + TradingCost integration
  • All 130 existing analysis/CLI tests pass