Class AtrTransactionCosts

Namespace

Balsam.TransactionCosts

Assembly

Balsam.Backtester.dll

Calculates slippage for market and stop orders as a percent of average true range.

public class AtrTransactionCosts : TransactionCostModel, ICloneable

Inheritance

object

TransactionCostModel

AtrTransactionCosts

Implements

ICloneable

Inherited Members

TransactionCostModel.ApplyToRolls

TransactionCostModel.Calculate(ITrade)

TransactionCostModel.GetSeries(ITrade)

TransactionCostModel.GetAtr(ITrade, int)

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

AtrLength

Gets/sets the length of the atr calculation.

public int AtrLength { get; set; }

Property Value

int

Coefficient

Gets/sets the coefficient to multiplied by Atr.

public double Coefficient { get; set; }

Property Value

double

Commission

Gets/sets the commission per share/contract in local currency terms.

public double Commission { get; set; }

Property Value

double

MinimumTicks

Gets/sets the minimum number of ticks.

public double MinimumTicks { get; set; }

Property Value

double

Methods

OnCalculate(ITrade)

Sets slippage based on Atr.

protected override void OnCalculate(ITrade trade)

Parameters

trade ITrade