#region Namespaces using System; using System.IO; using System.Linq; #endregion namespace ScriptCode { /// <summary> /// Slippage scripts are used for simulating market slippage by setting the final execution price of each simulated order fill. /// /// This script can be used in several ways: /// (1) It can be used to test the impact of various market conditions on a trading strategy's performance. /// (2) It can be used to manipulate the final execution price of each order fill. /// </summary> public partial class MySlippage : SlippageScriptBase // NEVER CHANGE THE CLASS NAME { #region Variables // Use for the maximum number of ticks slippage per order. private int _maxTicks; // Use for the random number generator. private Random _random; #endregion #region OnInitialize /// <summary> /// This function is used for accepting the script parameters and for initializing the script prior to all other function calls. /// Once the script is assigned to a desktop, its parameter values can be specified by the user and can be selected for optimization. /// </summary> /// -------------------------------------------------------------------------------------------------- /// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS /// -------------------------------------------------------------------------------------------------- /// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION. /// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION. /// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS. /// REQUIRED ATTRIBUTES: /// (1) name: The exact parameter name. /// (2) type: The type of data to collect from the user: /// Set to "Integer" when the data type is 'int' /// Set to "IntegerArray" when the data type is 'int[]' /// Set to "DateTime" when the data type is 'long' /// Set to "DateTimeArray" when the data type is 'long[]' /// Set to "Boolean" when the data type is 'bool' /// Set to "BooleanArray" when the data type is 'bool[]' /// Set to "Double" when the data type is 'double' /// Set to "DoubleArray" when the data type is 'double[]' /// Set to "String" when the data type is 'string' /// Set to "StringArray" when the data type is 'string[]' /// OPTIONAL ATTRIBUTES: /// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double, String or an API Type. /// (4) min: The minimum parameter value is only valid when the type is Integer or Double. /// (5) max: The maximum parameter value is only valid when the type is Integer or Double. /// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param> /// -------------------------------------------------------------------------------------------------- /// <param name="maxTicks" type="Integer" default="1">The maximum number of ticks slippage per order.</param> public void OnInitialize( int maxTicks) { // Set the maximum slippage ticks. _maxTicks = maxTicks; // Create the random number generator. _random = new Random(); } #endregion #region OnOrderFillSlippage /// <summary> /// This function is called on each new order fill in order to calculate its slippage. /// </summary> /// <param name="strategyNumber" type="Integer">The desktop strategy number to which the order belongs</param> /// <param name="orderIndex" type="Integer">The order index in the orders table to which the order fill belongs</param> /// <param name="orderFillIndex" type="Integer">The order fill index (0 being the first fill for the order, 1 being the next fill, etc.)</param> /// <param name="fillQuantity" type="Double">The quantity of the new order fill for the specified order</param> /// <param name="fillPrice" type="Double">The price of the new order fill for the specified order</param> /// <returns type="Double">The price of the order fill after slippage (return the specified price if there was no slippage).</returns> public override double OnOrderFillSlippage( int strategyNumber, int orderIndex, int orderFillIndex, double fillQuantity, double fillPrice) { // Get the tick size of the order symbol. double symbolTickSize = SymbolTick(strategyNumber, OrderSymbolIndex(strategyNumber, orderIndex)); // Get the order action type. IQ_ActionType orderActionType = OrderActionType(strategyNumber, orderIndex); // Get the random number of ticks. int ticks = _random.Next(0, _maxTicks + 1); // Check whether the order is a buy order. if (orderActionType == IQ_ActionType.BUY || orderActionType == IQ_ActionType.BUY_TO_COVER) // Calculate the fixed order fill after the slippage. return fillPrice + ticks * symbolTickSize; // Check whether the order is a sell order. if (orderActionType == IQ_ActionType.SELL || orderActionType == IQ_ActionType.SELL_SHORT) // Calculate the fixed order fill after the slippage. return fillPrice - ticks * symbolTickSize; // Return the original fill price. return fillPrice; } #endregion #region OnShutdown /// <summary> /// This function is called when the script is shutdown. /// </summary> public override void OnShutdown() { // OnShutdown Content } #endregion } }

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