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Update forex slippage values, increase pnl weight #612

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Merged
merged 2 commits into from
Oct 9, 2025
Merged

Update forex slippage values, increase pnl weight #612

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954a08a
Update forex slippage values
sli-tao Oct 7, 2025
11e9118
increase pnl weight in weight recent pnl more
derekawender Oct 9, 2025
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2 changes: 1 addition & 1 deletion meta/meta.json
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Original file line number Diff line number Diff line change
@@ -1,3 +1,3 @@
{
"subnet_version": "6.8.6"
"subnet_version": "6.8.7"
}
14 changes: 10 additions & 4 deletions vali_objects/utils/price_slippage_model.py
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Original file line number Diff line number Diff line change
@@ -1,5 +1,6 @@
import math
from collections import defaultdict
from zoneinfo import ZoneInfo

import holidays
import numpy as np
Expand All @@ -22,6 +23,7 @@ class PriceSlippageModel:
slippage_estimates: dict = {}
live_price_fetcher: LivePriceFetcher = None
holidays_nyse = None
eastern_tz = ZoneInfo("America/New_York")
is_backtesting = False
fetch_slippage_data = False
recalculate_slippage = False
Expand Down Expand Up @@ -111,14 +113,18 @@ def calc_slippage_equities(cls, bid:float, ask:float, order:Order) -> float:
@classmethod
def calc_slippage_forex(cls, bid:float, ask:float, order:Order) -> float:
"""
Using the direct BB+ model as a stand-in for forex
V2: 10 bps slippage daily from 5-6 pm EST, and 5 bps slippage otherwise

V1: Using the direct BB+ model as a stand-in for forex
slippage percentage = 0.433 * spread/mid_price + 0.335 * sqrt(annualized_volatility**2 / 3 / 250) * sqrt(volume / (0.3 * estimated daily volume))
"""
if order.processed_ms > SLIPPAGE_V2_TIME_MS:
if order.trade_pair.subcategory == ForexSubcategory.G1:
return 0.001 # 10 bps
order_datetime = TimeUtil.millis_to_datetime(order.processed_ms).astimezone(cls.eastern_tz)
hour = order_datetime.hour
if 17 <= hour < 18: # Daily 5-6 pm EST. Higher slippage during market open/closing hours
return 0.001 # 10 bps
else:
return 0.0015 # 15 bps
return 0.0005 # 5 bps

order_date = TimeUtil.millis_to_short_date_str(order.processed_ms)
annualized_volatility = cls.features[order_date]["vol"][order.trade_pair.trade_pair_id]
Expand Down
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