Add example on volume share slippage model

Algorithm.CSharp/VolumeShareSlippageModelAlgorithm.cs

@@ -0,0 +1,135 @@
+/*
+ * 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.
+*/
+
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders.Slippage;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Example algorithm implementing VolumeShareSlippageModel.
+    /// </summary>
+    public class VolumeShareSlippageModelAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private List<Symbol> _longs = new();
+        private List<Symbol> _shorts = new();
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 11, 29);
+            SetEndDate(2020, 12, 2);
+            // To set the slippage model to limit to fill only 30% volume of the historical volume, with 5% slippage impact.
+            SetSecurityInitializer((security) => security.SetSlippageModel(new VolumeShareSlippageModel(0.3m, 0.05m)));
+
+            // Create SPY symbol to explore its constituents.
+            var spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+
+            UniverseSettings.Resolution = Resolution.Daily;
+            // Add universe to trade on the most and least weighted stocks among SPY constituents.
+            AddUniverse(Universe.ETF(spy, universeFilterFunc: Selection));
+        }
+
+        private IEnumerable<Symbol> Selection(IEnumerable<ETFConstituentUniverse> constituents)
+        {
+            var sortedByDollarVolume = constituents.OrderBy(x => x.Weight).ToList();
+            // Add the 10 most weighted stocks to the universe to long later.
+            _longs = sortedByDollarVolume.TakeLast(10)
+                .Select(x => x.Symbol)
+                .ToList();
+            // Add the 10 least weighted stocks to the universe to short later.
+            _shorts = sortedByDollarVolume.Take(10)
+                .Select(x => x.Symbol)
+                .ToList();
+
+            return _longs.Union(_shorts);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            // Equally invest into the selected stocks to evenly dissipate capital risk.
+            // Dollar neutral of long and short stocks to eliminate systematic risk, only capitalize the popularity gap.
+            var targets = _longs.Select(symbol => new PortfolioTarget(symbol, 0.05m)).ToList();
+            targets.AddRange(_shorts.Select(symbol => new PortfolioTarget(symbol, -0.05m)).ToList());
+
+            // Liquidate the ones not being the most and least popularity stocks to release fund for higher expected return trades.
+            SetHoldings(targets, liquidateExistingHoldings: true);
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 1035;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "4"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "20.900%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100190.84"},
+            {"Net Profit", "0.191%"},
+            {"Sharpe Ratio", "9.794"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.297"},
+            {"Beta", "-0.064"},
+            {"Annual Standard Deviation", "0.017"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-18.213"},
+            {"Tracking Error", "0.099"},
+            {"Treynor Ratio", "-2.695"},
+            {"Total Fees", "$4.00"},
+            {"Estimated Strategy Capacity", "$4400000000.00"},
+            {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "4.22%"},
+            {"OrderListHash", "9d2bd0df7c094c393e77f72b7739bfa0"}
+        };
+    }
+}

Algorithm.Python/VolumeShareSlippageModelAlgorithm.py

@@ -0,0 +1,53 @@
+# 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 *
+from Orders.Slippage.VolumeShareSlippageModel import VolumeShareSlippageModel
+
+### <summary>
+### Example algorithm implementing VolumeShareSlippageModel.
+### </summary>
+class VolumeShareSlippageModelAlgorithm(QCAlgorithm):
+    longs = []
+    shorts = []
+
+    def initialize(self) -> None:
+        self.set_start_date(2020, 11, 29)
+        self.set_end_date(2020, 12, 2)
+        # To set the slippage model to limit to fill only 30% volume of the historical volume, with 5% slippage impact.
+        self.set_security_initializer(lambda security: security.set_slippage_model(VolumeShareSlippageModel(0.3, 0.05)))
+
+        # Create SPY symbol to explore its constituents.
+        spy = Symbol.create("SPY", SecurityType.EQUITY, Market.USA)
+
+        self.universe_settings.resolution = Resolution.DAILY
+        # Add universe to trade on the most and least weighted stocks among SPY constituents.
+        self.add_universe(self.universe.etf(spy, universe_filter_func=self.selection))
+
+    def selection(self, constituents: List[ETFConstituentUniverse]) -> List[Symbol]:
+        sorted_by_weight = sorted(constituents, key=lambda c: c.weight)
+        # Add the 10 most weighted stocks to the universe to long later.
+        self.longs = [c.symbol for c in sorted_by_weight[-10:]]
+        # Add the 10 least weighted stocks to the universe to short later.
+        self.shorts = [c.symbol for c in sorted_by_weight[:10]]
+
+        return self.longs + self.shorts
+
+    def on_data(self, slice: Slice) -> None:
+        # Equally invest into the selected stocks to evenly dissipate capital risk.
+        # Dollar neutral of long and short stocks to eliminate systematic risk, only capitalize the popularity gap.
+        targets = [PortfolioTarget(symbol, 0.05) for symbol in self.longs]
+        targets += [PortfolioTarget(symbol, -0.05) for symbol in self.shorts]
+
+        # Liquidate the ones not being the most and least popularity stocks to release fund for higher expected return trades.
+        self.set_holdings(targets, liquidate_existing_holdings=True)

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.invalid_market_data_type(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.volume_not_reported_for_market_data_type(security_type))
+                return 0
+
+            Log.error(Messages.VolumeShareSlippageModel.negative_or_zero_bar_volume(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;

Common/QuantConnect.csproj

@@ -63,5 +63,8 @@
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
       <PackageCopyToOutput>true</PackageCopyToOutput>
     </Content>
+      <Content Include="Orders\Slippage\VolumeShareSlippageModel.py">
+        <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+      </Content>
   </ItemGroup>
 </Project>