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Add preliminary support for Futures slippage models #1738

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merged 1 commit into from Apr 10, 2017

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dmichalowicz commented Apr 4, 2017

Add futures slippage and commission models to the Blotter, which dispatches to the appropriate models according to asset type.

@dmichalowicz dmichalowicz force-pushed the slippage-and-commissions-futures branch from 2e7ec8b to 7231dbe Apr 5, 2017

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coveralls commented Apr 5, 2017

Coverage Status

Coverage remained the same at 87.513% when pulling 7231dbe on slippage-and-commissions-futures into 0746fc7 on master.

@dmichalowicz dmichalowicz requested a review from jbredeche Apr 5, 2017

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coveralls commented Apr 5, 2017

Coverage Status

Coverage remained the same at 87.513% when pulling fcdc94a on slippage-and-commissions-futures into 0746fc7 on master.

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coveralls commented Apr 5, 2017

Coverage Status

Coverage increased (+0.002%) to 87.515% when pulling 29b4843 on slippage-and-commissions-futures into 0746fc7 on master.

@@ -324,10 +321,8 @@ def __init__(self, *args, **kwargs):
self.blotter = Blotter(
data_frequency=self.data_frequency,
asset_finder=self.asset_finder,
slippage_func=VolumeShareSlippage(),
commission=PerShare(),

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dmichalowicz Apr 5, 2017

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Instead of adding in the two new future parameters here I just removed these two arguments because they were passing the same values as the defaults anyway.

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dmichalowicz commented Apr 8, 2017

cc @ssanderson in case you were interested.

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jbredeche commented Apr 10, 2017

nice @dmichalowicz, this looks good to me.

@dmichalowicz dmichalowicz force-pushed the slippage-and-commissions-futures branch from 29b4843 to f6e1a95 Apr 10, 2017

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dmichalowicz commented Apr 10, 2017

Thanks for the review @jbredeche, I just squashed and rebased, then will merge.

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coveralls commented Apr 10, 2017

Coverage Status

Coverage increased (+0.002%) to 87.528% when pulling f6e1a95 on slippage-and-commissions-futures into 4b861fb on master.

@dmichalowicz dmichalowicz merged commit aad5cd3 into master Apr 10, 2017

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@dmichalowicz dmichalowicz deleted the slippage-and-commissions-futures branch Apr 10, 2017

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