Namespace Balsam.TransactionCosts
Classes
- AtrTransactionCosts
Calculates slippage for market and stop orders as a percent of average true range.
- BasisPointTransactionCosts
Calculates slippage as a percent of fill price.
- CostCurve
Encapsulates a series of CostCurvePoints to provide a transaction cost curve estimate.
- CostCurveCollection
A collection of cost curves indexed by symbol.
- CostCurvePoint
A single transaction cost estimate
- FillToExtremeTransactionCosts
Calculates slippage for stop orders based on percent of fill price to extreme of the bar. Market orders have fixed slippage.
- FixedTransactionCosts
Sets a fixed currency amount of slippage for each trade.
- InstrumentTransactionCosts
Sets transaction costs based on instrument defined values.
- NoTransactionCosts
Explicitly zeros out commissions and slippage. Can be applied to a MoneyManager to override previously saved tcosts.
- TickTransactionCosts
Applies a fixed number of ticks slippage.