# Copyright 2019 The TensorTrade Authors.
#
# 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 abc import abstractmethod
from tensortrade.core import Component
from tensortrade.oms.orders import Trade
[docs]class SlippageModel(Component):
"""A model for simulating slippage on an exchange trade."""
registered_name = "slippage"
def __init__(self):
pass
[docs] @abstractmethod
def adjust_trade(self, trade: Trade, **kwargs) -> Trade:
"""Simulate slippage on a trade ordered on a specific exchange.
Parameters
----------
trade : `Trade`
The trade executed on the exchange.
**kwargs : keyword arguments
Any other arguments necessary for the model.
Returns
-------
`Trade`
A filled trade with the `price` and `size` adjusted for slippage.
"""
raise NotImplementedError()