QuantConnect / QuantConnect/Lean
Implement FixedSlippageModel and VolumeShareSlippageModel
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feature
- Dominant language
- C#
- Stars
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- Forks
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- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
Provide the following built-in models:
FixedSlippageModel: Simple model assuming a fixed-size spread for all assets.
VolumeShareSlippageModel: Model slippage as a quadratic function of the percentage of historical volume.
Actual Behavior
Only ConstantSlippageModel.
Potential Solution
Implement these models.
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start by locating the existing ConstantSlippageModel and the surrounding slippage-model interfaces or tests. Define the expected behavior for FixedSlippageModel and VolumeShareSlippageModel from the issue, then verify that both built-in models are available and covered by relevant tests.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Feature
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100