How to add slippage?

[jiangjiu]

Expected Behavior

https://www.backtrader.com/docu/slippage/slippage/

backtrader can set a slippage via percentage or fixed value like 0.01

Actual Behavior

not a feature

thinking about this feature please？

[jiangjiu]

Slippage can greatly affect returns

[kernc]

Would something like this work?

SPREAD = .0002
SLIPPAGE = .0001

...

bt = Backtest(..., commission=SPREAD + SLIPPAGE)

[jiangjiu]

good idea, well, commission can add this slippage percent，but can not set fixed value

[kernc]

Related issue: #113.

[ibaris]

How would be to add the a random variable during the _process_orders to simulate slippage? One would need 2 variables:

• slippage range : Tuple[float, float] = Indicates the slippage range of the close price like [0.98, 1.03]. This would mean the price could range between 98% and 103%.
• slippage probability: float = A probability that a slippage will appear, e.g. 0.5 which says, that 50% of the time you experience a slippage.

Here is the basic idea:

import numpy as np

slippage_probability = 0.25
slippage_range = (0.98, 1.03)
close = 105

if np.random.rand() < slippage_probability:
    close *= np.random.uniform(slippage_range[0], slippage_range[1])