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Add example on volume share slippage model #8437

Merged
merged 7 commits into from
Dec 9, 2024
Merged

Add example on volume share slippage model #8437

merged 7 commits into from
Dec 9, 2024

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LouisSzeto
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Description

Add example on VolumeShareSlippageModel to demonstrate the usage of the slippage model.

Related Issue

Motivation and Context

No example yet.

Requires Documentation Change

Add link reference in Writing Algorithms / Reality Modeling / Slippage / Key Concepts

How Has This Been Tested?

Regression test

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@LouisSzeto LouisSzeto marked this pull request as draft December 3, 2024 13:53
@LouisSzeto
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JB comment: Add python version of the model.

@LouisSzeto LouisSzeto marked this pull request as ready for review December 5, 2024 13:49
jhonabreul
jhonabreul reviewed Dec 5, 2024
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@jhonabreul jhonabreul left a comment

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Nice, thank you! Leaving a couple minor comments

Common/Orders/Slippage/VolumeShareSlippageModel.py Outdated Show resolved Hide resolved
Algorithm.CSharp/VolumeShareSlippageModelAlgorithm.cs Outdated Show resolved Hide resolved
Algorithm.CSharp/VolumeShareSlippageModelAlgorithm.cs Outdated Show resolved Hide resolved
jhonabreul
jhonabreul reviewed Dec 5, 2024
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Leaving another comment

Algorithm.Python/VolumeShareSlippageModelAlgorithm.py Show resolved Hide resolved
@LouisSzeto LouisSzeto force-pushed the feature-volume-share-slippage-model-example branch from bf3bda5 to 00de10f Compare December 5, 2024 15:54
Martin-Molinero
Martin-Molinero approved these changes Dec 9, 2024
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Thank you 👍

@Martin-Molinero Martin-Molinero merged commit 9865ce9 into QuantConnect:master Dec 9, 2024
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@jhonabreul jhonabreul jhonabreul approved these changes

@Martin-Molinero Martin-Molinero Martin-Molinero approved these changes

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3 participants
@LouisSzeto @Martin-Molinero @jhonabreul