Interface SlippageModel

All Known Implementing Classes:
FixedBpsSlippage, NoSlippage
public interface SlippageModel
Adjusts a signal price into the price a backtest fill actually executes at .

  • Method Summary

    Modifier and Type
    Method
    Description
    BigDecimal
    adjust(SlippageContext ctx)
    Returns the adjusted execution price for the given signal.

  • Method Details

    • adjust

      BigDecimal adjust(SlippageContext ctx)
      Returns the adjusted execution price for the given signal.
      Parameters:
      ctx - the slippage context (side, signal price)
      Returns:
      the execution price after slippage