add pythom implementation as example model

Common/Orders/Slippage/VolumeShareSlippageModel.py

@@ -0,0 +1,61 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from AlgorithmImports import *
+
+class VolumeShareSlippageModel:
+    '''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.'''
+
+    def __init__(self, volume_limit: float = 0.025, price_impact: float = 0.1) -> None:
+        '''Initializes a new instance of the "VolumeShareSlippageModel" class
+        Args:
+            volume_limit:
+            price_impact: Defines how large of an impact the order will have on the price calculation'''
+        self.volume_limit = volume_limit
+        self.price_impact = price_impact
+
+    def get_slippage_approximation(self, asset: Security, order: Order) -> float:
+        '''Slippage Model. Return a decimal cash slippage approximation on the order.
+        Args:
+            asset: The Security instance of the security of the order.
+            order: The Order instance being filled.'''
+        last_data = asset.get_last_data()
+        if not last_data:
+           return 0
+
+        bar_volume = 0
+        slippage_percent = self.volume_limit * self.volume_limit * self.price_impact
+
+        if last_data.data_type == MarketDataType.TRADE_BAR:
+            bar_volume = last_data.volume
+        elif last_data.data_type == MarketDataType.QUOTE_BAR:
+            bar_volume = last_data.last_bid_size if order.direction == OrderDirection.BUY else last_data.last_ask_size
+        else:
+           raise InvalidOperationException(Messages.VolumeShareSlippageModel.InvalidMarketDataType(last_data))
+
+        # If volume is zero or negative, we use the maximum slippage percentage since the impact of any quantity is infinite
+        # In FX/CFD case, we issue a warning and return zero slippage
+        if bar_volume <= 0:
+            security_type = asset.symbol.id.security_type
+            if security_type == SecurityType.CFD or security_type == SecurityType.FOREX or security_type == SecurityType.CRYPTO:
+                Log.error(Messages.VolumeShareSlippageModel.VolumeNotReportedForMarketDataType(security_type))
+                return 0
+
+            Log.error(Messages.VolumeShareSlippageModel.NegativeOrZeroBarVolume(bar_volume, slippage_percent))
+        else:
+            # Ratio of the order to the total volume
+            volume_share = min(order.absolute_quantity / bar_volume, self.volume_limit)
+
+            slippage_percent = volume_share * volume_share * self.price_impact
+
+        return slippage_percent * last_data.Value;