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