public void VolumeShareSlippageModelInitializationTests()
{
// These are low volume tests, since the order quantity and the volume are the same
// These are the default values for the VolumeShareSlippageModel
var priceImpact = 0.1m;
var volumeLimit = 0.025m;
var model = new VolumeShareSlippageModel();
var expected = _equity.Price * priceImpact * volumeLimit * volumeLimit;
var actual = model.GetSlippageApproximation(_equity, _equityBuyOrder);
Assert.AreEqual(expected, actual);
// Double the values
priceImpact *= 2;
volumeLimit *= 2;
model = new VolumeShareSlippageModel(volumeLimit, priceImpact);
expected = _equity.Price * priceImpact * volumeLimit * volumeLimit;
actual = model.GetSlippageApproximation(_equity, _equityBuyOrder);
Assert.AreEqual(expected, actual);
// Half the values
priceImpact /= 4;
volumeLimit /= 4;
model = new VolumeShareSlippageModel(volumeLimit, priceImpact);
expected = _equity.Price * priceImpact * volumeLimit * volumeLimit;
actual = model.GetSlippageApproximation(_equity, _equityBuyOrder);
Assert.AreEqual(expected, actual);
}
public void VolumeShareSlippageModel_ForexTest()
{
var model = new VolumeShareSlippageModel();
// Since FX/CFD often have zero volume, the model returns zero slippage
var expected = 0;
var actual = model.GetSlippageApproximation(_forex, _forexBuyOrder);
Assert.AreEqual(expected, actual);
}
public void VolumeShareSlippageModel_HighVolumeTest()
{
// These are the default values for the VolumeShareSlippageModel
var priceImpact = 0.1m;
var volumeLimit = 0.025m;
var model = new VolumeShareSlippageModel();
// High volume: volume > volumeLimit x order.Quantity
var volume = 100;
var volumeShare = _equityBuyOrder.Quantity / (decimal)volume;
Assert.Greater(volume, volumeLimit * _equityBuyOrder.Quantity);
_equity.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.SPY, 100m, 100m, 100m, 100m, volume));
var expected = _equity.Price * priceImpact * volumeShare * volumeShare;
var actual = model.GetSlippageApproximation(_equity, _equityBuyOrder);
Assert.AreEqual(expected, actual);
}
