rustico/core
2
0
Fork 0
Code Issues 9 Pull Requests Projects Releases Wiki Activity

added slippage when submitting stop order

Browse Source
This commit is contained in:
Giulio De Pasquale 2021-02-22 10:03:48 +00:00
parent 0df1511a59
commit 4df9e38569
1 changed files with 7 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

9
src/strategy.rs
View File

@ -280,13 +280,18 @@ impl PositionStrategy for HiddenTrailingStop {
}) })
.next().map_or_else(|| 0.0, |&x| x); .next().map_or_else(|| 0.0, |&x| x);
// we need to consider possible slippage when executing the stop order
let slippage_percentage = self.max_loss_percentage * 0.05;
// calculating the stop price based on short/long position
let stop_loss_price = { let stop_loss_price = {
if position.is_short() { if position.is_short() {
position.base_price() * (1.0 - (self.max_loss_percentage - taker_fee) / 100.0) position.base_price() * (1.0 - (self.max_loss_percentage - taker_fee - slippage_percentage) / 100.0)
} else { } else {
position.base_price() * (1.0 + (self.max_loss_percentage - taker_fee) / 100.0) position.base_price() * (1.0 + (self.max_loss_percentage - taker_fee - slippage_percentage) / 100.0)
} }
}; };
let close_position_orders_msg = ActionMessage::ClosePositionOrders { let close_position_orders_msg = ActionMessage::ClosePositionOrders {
position_id: position.id(), position_id: position.id(),
}; };