Merge pull request #20 from SaguaroCapital/dev

Rework VolumeSharesSlippageModel, expand tests

src/broker/simulated_broker.jl

@@ -84,7 +84,7 @@ end
 
 function withdraw_funds!(broker::Broker, amount::Real, currency::String)
     @assert amount >= 0 "Can not debit negative amount: $amount"
-    @assert currency in broker.cash_balances "Unknown currency $currency"
+    @assert currency in keys(broker.cash_balances) "Unknown currency $currency"
     error_msg = "Can not withdraw $amount, because it is more than the cash balance of $(broker.cash_balances[currency])"
     @assert amount <= broker.cash_balances[currency] error_msg
 
@@ -186,7 +186,9 @@ function _execute_order(broker::Broker, dt::DateTime, portfolio_id::String, orde
     else # sell
         price = bid_ask[1]
     end
-    price = broker.slippage_model(order.direction; price, volume)
+    price = broker.slippage_model(
+        order.direction; price, volume, order_quantity=order.quantity
+    )
 
     consideration = round(price * order.quantity; digits=2)
     fee = calculate_fee(broker.fee_model, order.quantity, price)

src/slippage_model/slippage_model.jl

@@ -17,7 +17,7 @@ Returns
 struct ZeroSlippageModel <: SlippageModel end
 
 function (slippage_model::ZeroSlippageModel)(
-    direction::Int; price::Float64=0.0, volume::Float64=0.0
+    direction::Int; price::Float64=0.0, volume::Float64=0.0, order_quantity::Real=0.0
 )
     return price
 end
@@ -41,7 +41,7 @@ struct FixedSlippageModel <: SlippageModel
 end
 
 function (slippage_model::FixedSlippageModel)(
-    direction::Int; price::Float64=0.0, volume::Float64=0.0
+    direction::Int; price::Float64=0.0, volume::Float64=0.0, order_quantity::Real=0.0
 )
     return price + (slippage_model.spread / 2.0) * direction
 end
@@ -65,32 +65,33 @@ struct PercentSlippageModel <: SlippageModel
 end
 
 function (slippage_model::PercentSlippageModel)(
-    direction::Int; price::Float64=0.0, volume::Float64=0.0
+    direction::Int; price::Float64=0.0, volume::Float64=0.0, order_quantity::Real=0.0
 )
     return price + ((slippage_model.slippage_pct / 100) * price / 2.0) * direction
 end
 
 """
 Slippage is based on the ratio of order volume to total volume
 
-Buy orders will execute at `ask * (1 + (volume_shares_pct/100) * order.volume / total_volume)`
-Sell orders will execute at `bid * (1 - (volume_shares_pct/100) * order.volume / total_volume)`
+Buy orders will execute at `ask + (volume_share^2 * price_impact * price * direction)`
+Sell orders will execute at `bid - (volume_share^2 * price_impact * price * direction)`
 
 Fields
 ------
-- `volume_shares_pct::Float64`
+- `price_impact::Float64=0.1` - The scaling coefficient for price impact. Larger values will result in larger price impacts.
 
 Returns
 -------
 - `Float64`: The price including slippage
 """
 struct VolumeSharesSlippageModel <: SlippageModel
-    volume_shares_pct::Float64
+    price_impact::Float64
 end
 
 function (slippage_model::VolumeSharesSlippageModel)(
-    direction::Int; price::Float64=0.0, volume::Float64=0.0
+    direction::Int; price::Float64=0.0, volume::Float64=0.0, order_quantity::Real=0.0
 )
-    ratio = order.volume / volume
-    return price + ((slippage_model.volume_shares_pct / 100) * price * ratio) * direction
+    volume_share = order_quantity / volume
+    simulated_impact = volume_share^2 * slippage_model.price_impact * price * direction
+    return price + simulated_impact
 end

test/broker.jl

@@ -26,4 +26,11 @@
     @test broker.portfolios["test_port"].cash == 75198.0
     withdraw_funds_from_portfolio!(broker, "test_port", 5_000)
     @test broker.portfolios["test_port"].cash == 70198.0
+    subscribe_funds!(broker, 25_000, "USD")
+    @test broker.cash_balances["USD"] == 50_000.0
+    withdraw_funds!(broker, 25_000, "USD")
+    @test broker.cash_balances["USD"] == 25_000.0
+
+    @test SaguaroTrader.get_total_market_value(broker) == 4802.0
+    @test SaguaroTrader.get_account_total_equity(broker) == 100000.0
 end

test/slippage_model.jl

@@ -23,10 +23,12 @@
     @test slippage_model(1; price) == 10.01
 
     # VolumeSharesSlippageModel
-    slippage_model = PercentSlippageModel(0.0)
-    @test slippage_model(-1; price) == 10.0
-    slippage_model = PercentSlippageModel(0.2)
-    @test slippage_model(-1; price) == 9.99
-    slippage_model = PercentSlippageModel(0.2)
-    @test slippage_model(1; price) == 10.01
+    slippage_model = VolumeSharesSlippageModel(0.0)
+    volume = 1e7
+    order_quantity = 10_000.0
+    @test slippage_model(-1; price, volume, order_quantity) == 10.0
+    @test slippage_model(1; price, volume, order_quantity) == 10.0
+    slippage_model = VolumeSharesSlippageModel(0.2)
+    @test slippage_model(-1; price, volume, order_quantity) == 9.999998
+    @test slippage_model(1; price, volume, order_quantity) == 10.000002
 end