Class TransactionCostModel

Namespace

Balsam

Assembly

Balsam.Backtester.dll

Abstract base class for all transaction cost models.

public abstract class TransactionCostModel : ICloneable

Inheritance

object

TransactionCostModel

Implements

ICloneable

Derived

AtrTransactionCosts

BasisPointTransactionCosts

FillToExtremeTransactionCosts

FixedTransactionCosts

InstrumentTransactionCosts

NoTransactionCosts

TickTransactionCosts

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Extension Methods

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Properties

ApplyToRolls

Gets/sets whether the transaction cost model should be applied to rolls.

public bool ApplyToRolls { get; set; }

Property Value

bool

Methods

Calculate(ITrade)

Calculate transaction costs for the specified trade.

public void Calculate(ITrade trade)

Parameters

trade ITrade

GetAtr(ITrade, int)

Returns a simple average of the true range over the specified length up until the time of trade execution.

protected double GetAtr(ITrade trade, int length)

Parameters

trade ITrade

length int

Returns

double

Exceptions

InvalidOperationException

GetSeries(ITrade)

Returns the BarSeries associated with this trade object. Typically this will only be available for orders generated by a strategy.

protected static BarSeries GetSeries(ITrade trade)

Parameters

trade ITrade

Returns

BarSeries

OnCalculate(ITrade)

Override to set the Commission and Slippage properties for the specified trade.

protected abstract void OnCalculate(ITrade trade)

Parameters

trade ITrade