Fix MOO slippage reference price

Author: matvt-cell

Common/Orders/Fills/EquityFillModel.cs

@@ -563,9 +563,6 @@ public override OrderEvent MarketOnOpenFill(Security asset, MarketOnOpenOrder or
             fill.FillQuantity = order.Quantity;
             fill.Status = OrderStatus.Filled;
 
-            //Calculate the model slippage: e.g. 0.01c
-            var slip = asset.SlippageModel.GetSlippageApproximation(asset, order);
-
             var bestEffortMessage = "";
 
             // If there is no trade information, get the bid or ask, then apply the slippage
@@ -578,7 +575,7 @@ public override OrderEvent MarketOnOpenFill(Security asset, MarketOnOpenOrder or
                         fill.Message += bestEffortMessage;
                     }
 
-                    fill.FillPrice += slip;
+                    fill.FillPrice += asset.SlippageModel.GetSlippageApproximation(asset, order, fill.FillPrice);
                     break;
                 case OrderDirection.Sell:
                     if (fill.FillPrice == 0)
@@ -587,7 +584,7 @@ public override OrderEvent MarketOnOpenFill(Security asset, MarketOnOpenOrder or
                         fill.Message += bestEffortMessage;
                     }
 
-                    fill.FillPrice -= slip;
+                    fill.FillPrice -= asset.SlippageModel.GetSlippageApproximation(asset, order, fill.FillPrice);
                     break;
             }
 

Common/Orders/Slippage/ConstantSlippageModel.cs

@@ -43,5 +43,18 @@ public decimal GetSlippageApproximation(Security asset, Order order)
 
             return lastData.Value*_slippagePercent;
         }
+
+        /// <summary>
+        /// Slippage Model. Return a decimal cash slippage approximation on the order
+        /// using the provided reference price.
+        /// </summary>
+        /// <param name="asset">The security matching the order</param>
+        /// <param name="order">The order to compute slippage for</param>
+        /// <param name="referencePrice">The price used as the reference for the slippage calculation</param>
+        /// <returns>The slippage approximation</returns>
+        public decimal GetSlippageApproximation(Security asset, Order order, decimal referencePrice)
+        {
+            return referencePrice * _slippagePercent;
+        }
     }
 }

Common/Orders/Slippage/ISlippageModel.cs

@@ -26,5 +26,18 @@ public interface ISlippageModel
         /// Slippage Model. Return a decimal cash slippage approximation on the order.
         /// </summary>
         decimal GetSlippageApproximation(Security asset, Order order);
+
+        /// <summary>
+        /// Slippage Model. Return a decimal cash slippage approximation on the order
+        /// using the provided reference price.
+        /// </summary>
+        /// <param name="asset">The security matching the order</param>
+        /// <param name="order">The order to compute slippage for</param>
+        /// <param name="referencePrice">The price used as the reference for the slippage calculation</param>
+        /// <returns>The slippage approximation</returns>
+        decimal GetSlippageApproximation(Security asset, Order order, decimal referencePrice)
+        {
+            return GetSlippageApproximation(asset, order);
+        }
     }
-}
+}

Tests/Common/Orders/Fills/EquityFillModelTests.cs

@@ -22,6 +22,7 @@
 using QuantConnect.Indicators;
 using QuantConnect.Orders;
 using QuantConnect.Orders.Fills;
+using QuantConnect.Orders.Slippage;
 using QuantConnect.Securities;
 using QuantConnect.Securities.Forex;
 using QuantConnect.Tests.Common.Data;
@@ -446,6 +447,69 @@ public void PerformsMarketOnOpenUsingOpenPriceWithMinuteSubscription(int quantit
             Assert.AreEqual(expected, fill.FillPrice);
         }
 
+        [TestCase(-100, 103.896)]
+        [TestCase(100, 104.104)]
+        public void PerformsMarketOnOpenUsingOpenPriceForConstantSlippageWithDailySubscription(int quantity, decimal expected)
+        {
+            const decimal open = 104m;
+            const decimal baselineClose = 105m;
+            const decimal mutatedClose = 103.5m;
+            const decimal slippagePercent = 0.001m;
+
+            var reference = new DateTime(2015, 06, 05, 12, 0, 0);
+            var config = CreateTradeBarConfig(Symbols.SPY, Resolution.Daily);
+
+            var baselineEquity = CreateEquity(config);
+            var mutatedEquity = CreateEquity(config);
+
+            baselineEquity.SetSlippageModel(new ConstantSlippageModel(slippagePercent));
+            mutatedEquity.SetSlippageModel(new ConstantSlippageModel(slippagePercent));
+
+            var time = baselineEquity.Exchange.Hours.GetNextMarketOpen(reference, false);
+            TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
+
+            TradeBar GetTradeBar(decimal close) => new TradeBar(
+                time.RoundDown(Time.OneDay),
+                Symbols.SPY,
+                open,
+                106m,
+                100m,
+                close,
+                100,
+                Time.OneDay);
+
+            baselineEquity.SetMarketPrice(GetTradeBar(baselineClose));
+            mutatedEquity.SetMarketPrice(GetTradeBar(mutatedClose));
+
+            var baselineOrder = new MarketOnOpenOrder(Symbols.SPY, quantity, reference);
+            var mutatedOrder = new MarketOnOpenOrder(Symbols.SPY, quantity, reference);
+
+            var configProvider = new MockSubscriptionDataConfigProvider(config);
+
+            var baselineFill = ((EquityFillModel)baselineEquity.FillModel)
+                .Fill(new FillModelParameters(
+                    baselineEquity,
+                    baselineOrder,
+                    configProvider,
+                    Time.OneHour,
+                    null))
+                .Single();
+
+            var mutatedFill = ((EquityFillModel)mutatedEquity.FillModel)
+                .Fill(new FillModelParameters(
+                    mutatedEquity,
+                    mutatedOrder,
+                    configProvider,
+                    Time.OneHour,
+                    null))
+                .Single();
+
+            Assert.AreEqual(quantity, baselineFill.FillQuantity);
+            Assert.AreEqual(quantity, mutatedFill.FillQuantity);
+            Assert.AreEqual(expected, baselineFill.FillPrice);
+            Assert.AreEqual(baselineFill.FillPrice, mutatedFill.FillPrice);
+        }
+
         [TestCase(-100)]
         [TestCase(100)]
         public void PerformsMarketOnOpenUsingOpenPriceWithDailySubscription(int quantity)

Tests/Common/Orders/Slippage/SlippageModelsTests.cs

@@ -161,5 +161,22 @@ public void AlphaStreamsSlippageModel_ForexTest()
             var actual = model.GetSlippageApproximation(_forex, _forexBuyOrder);
             Assert.AreEqual(expected, actual);
         }
+        [Test]
+        public void SlippageModelReferencePriceOverloadIsBackwardsCompatible()
+        {
+            ISlippageModel model = new LegacySlippageModel();
+
+            var actual = model.GetSlippageApproximation(_equity, _equityBuyOrder, 123m);
+
+            Assert.AreEqual(42m, actual);
+        }
+
+        private sealed class LegacySlippageModel : ISlippageModel
+        {
+            public decimal GetSlippageApproximation(Security asset, Order order)
+            {
+                return 42m;
+            }
+        }
     }
 }