Slippage

[markxbaker]

How do I make sure the random slippage works when I set price type? Only seems to work on the stoploss.

I can't enter a trade on the close of the signal bars so i need to set to the open of the next bar but I'm getting fills at the open price with no slippage which i don't think would reflect a true simulation.

I've checked against the price data using the trades and they are the same

if not long_pos and cross_up:

  target_shares = 100

  ctx.buy_shares = target_shares
  ctx.buy_fill_price = PriceType.OPEN
  ctx.hold_bars = 12
  ctx.stop_loss = ATR

elif long_pos and cross_down:
ctx.sell_all_shares()
ctx.sell_fill_price = pybroker.common.PriceType.OPEN

strategy = Strategy(data_source_M30, start_date, end_date, config)

strategy.add_execution(exec_fn, tickers, indicators=list(indicators.values()))

strategy.set_slippage_model(RandomSlippageModel(min_pct=5.0, max_pct=10.0))
result = strategy.backtest(warmup=260, calc_bootstrap=True)

result.trades

[edtechre]

Hi @markxbaker,

The RandomSlippageModel only applies slippage to the number of shares filled, not price.

You can implement your own PriceSlippageModel though by extending SlippageModel and setting ctx.sell_price.