Slippage Model

Overview

In real life trading, orders are usually not filled at the ticker price for various reasons. In order to make backtest results reliable, Nyxar takes slippage into account at various levels (see Slippage). In particular, slippage models are responsible to simulate market impact of the order. Nyxar has two builtin slippage models, and users can easily create their own more sophisticated slippage models.

By default, BackExchange doesn’t use any slippage model. To set up slippage model, assign BackExchange.slippage_model to be an instance of slippage model class.

from Nyxar import VolumeSlippage, SpreadSlippage, SpreadVolumeSlippage
ex.slippage_model = VolumeSlippage(tradable_rate=2.5)
ex.slippage_model = SpreadSlippage(bidask=data, spread_rate=50)
ex.slippage_model = SpreadVolumeSlippage(bidask=data, spread_rate=50, tradable_rate=2.5)

Orders will be automatically processed with the slippage model.

Slippage Models

Volume Slippage

Volume slippage model uses the volume data provided by BackExchange. At each time bar, at most tradable_rate% of total volume can be filled per order. The remaining amount of the order will be processed at next time bar. By default, tradable_rate=2.5.

Volume slippage model is only applicable to limit or stop limit orders. Market orders will always be filled in full. Avoid placing large market orders with volume slippage model.

Spread Slippage

Spread slippage model uses additional bid-ask spread data provided by the user through BidAsks. All buy/sell orders are filled at price additional spread_rate% * spread higher/lower. By default, spread_rate=50.

Spread slippage model is applicable to all order types.

Volume-Spread Slippage

Volume-spread slippage is simply a combination of the volume slippage model and spread slippage model.

Custom Slippage

Users can define their own slippage model by defining a child class of SlippageBase.

class SlippageBase(*args, **kwargs)

__init__(*args, **kwargs)

User should overwrite __init__() method doing necessary data feeding or initialization.

generate_tx(price, amount, order_type, order_side, symbol, ticker, timestamp)

• price: The original tentative ticker price for the order to fill at.
• amount: The remaining amount in the order to fill.
• order_type: Order type as a OrderType enumeration class.
• order_side: Order side as a OrderSide enumeration class.
• symbol: Trading pair symbol of the order.

This method should return a tuple (tx_price, tx_amount) which represents a tentative transaction. In the transaction, tx_amount is filled at price tx_price. BackExchange will check if the tentative transaction will actually happen (for example, if tx_price is in the range of the limit price of the limit order), and will generate the transaction for you.

However, it is user’s responsibility to make sure (tx_price, tx_amount) is valid. For example, tx_amount == amount for market orders. Otherwise SlippageModelError will be raised by BackExchange.