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Setting constant slippage rate of 0.2 percent on equity trading.

I was able to implement a custom slippage model using this:

class CustomSlippageModel:
def GetSlippageApproximation(self, asset, order):
return 0.1

But I really want to set the slippage to always be 0.2 percent of whatever the trade price is.  I figured it should be something like this:

class CustomSlippageModel:
def GetSlippageApproximation(self, asset, order):
return asset.Price * 0.002

But when I run that the backtester just stays stuck on Queueing the whole time... Is this the right way to do it?

 

Thanks

Update Backtest








Oops sorry I found the answer, sorry didn't catch the errors.  Need to convert asset.Price to a float for the math.

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so that would be like this:

class CustomSlippageModel:
def GetSlippageApproximation(self, asset, order):
return np.float( asset.Price ) * 0.002
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Update Backtest





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