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import numpy as np
import pandas as pd
import logging
logger = logging.getLogger(__name__)
class ExecutionEngine:
"""
Models realistic slippage based on notional vs. ADV.
"""
def __init__(self, slippage_coefficient: float):
"""
:param slippage_coefficient: e.g., 0.0001 (1 bp per 0.1% ADV)
"""
self.slip_coeff = slippage_coefficient
def compute_slippage(
self,
notional: pd.Series,
volume: pd.Series,
price: pd.Series
) -> pd.Series:
"""
Computes slippage cost = slip_coeff * (notional / (ADV * price)).
:param notional: Series of absolute dollar notional traded.
:param volume: Series of share volume (ADV proxy).
:param price: Series of price to convert volume to ADV notional.
:return: Series of slippage costs (as fraction of capital).
"""
# ADV dollar volume
adv_dollar = volume * price
adv_dollar = adv_dollar.replace(0, np.nan).fillna(method="ffill").fillna(1e9)
slip = self.slip_coeff * (notional / adv_dollar)
return slip
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