“回测中滑点应用失败‘’

由bq8ispcb创建，最终由small_q更新于2023-12-22 07:44 被浏览 12 用户

交易引擎：初始化函数，只执行一次

def bigquant_run(context):

context.set_commission(PerOrder(buy_cost=0.0001, sell_cost=0.0011, min_cost=0))
context.slippage.VolumeShareSlippage(volume_limit=0.025, price_impact=0.1)

#读取数据
context.ranker_prediction = context.options['data'].read_df()
context.ranker_prediction.set_index('date',inplace=True)

#print(context.ranker_prediction)

报错

30 def m6_initialize_bigquant_run(context): 32 context.set_commission(PerOrder(buy_cost=0.0001, sell_cost=0.0011, min_cost=0)) ---> 33 context.slippage.VolumeShareSlippage(volume_limit=0.025, price_impact=0.1) 36 #读取数据 37 context.ranker_prediction = context.options['data'].read_df() AttributeError: 'StrategyContext' object has no attribute 'slippage'

按照

https://bigquant.com/wiki/doc/5bi455so6k6572u-duEk1kveDh#h-setslippage

中的各种滑点方法都试了下，都不行，是只有特定模块的trade模块才可以用滑点吗，还是bigquant回测不支持滑点呢