Merge pull request QuantConnect#4429 from simonsonjack/update-AlphaSt…

…reamsSlippageModel Updated AlphaStreamsSlippageModel
Coulbe · May 20, 2020 · 770f8b5 · 770f8b5
2 parents 3ca41c4 + 9f53e65
commit 770f8b5
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Showing 2 changed files with 1 addition and 40 deletions.
diff --git a/Common/Orders/Slippage/AlphaStreamsSlippageModel.cs b/Common/Orders/Slippage/AlphaStreamsSlippageModel.cs
@@ -25,15 +25,6 @@ public class AlphaStreamsSlippageModel : ISlippageModel
     {
         private const decimal _slippagePercent = 0.0001m;
 
-        /// <summary>
-        /// Unfortunate dictionary of ETFs and their spread on 10/10 so that we can better approximate
-        /// slippage for the competition
-        /// </summary>
-        private readonly IDictionary<string, decimal> _spreads = new Dictionary<string, decimal>
-        {
-            {"PPLT",  0.13m}, {"DGAZ", 0.135m}, {"EDV", 0.085m}, {"SOXL", 0.1m}
-        };
-
         /// <summary>
         /// Initializes a new instance of the <see cref="AlphaStreamsSlippageModel"/> class
         /// </summary>
@@ -49,14 +40,7 @@ public decimal GetSlippageApproximation(Security asset, Order order)
                 return 0;
             }
 
-            decimal slippageValue;
-
-            if (!_spreads.TryGetValue(asset.Symbol.Value, out slippageValue))
-            {
-                return _slippagePercent * asset.GetLastData()?.Value ?? 0;
-            }
-
-            return slippageValue;
+            return _slippagePercent * asset.GetLastData()?.Value ?? 0;
         }
     }
 }
diff --git a/Tests/Common/Orders/Slippage/SlippageModelsTests.cs b/Tests/Common/Orders/Slippage/SlippageModelsTests.cs
@@ -151,29 +151,6 @@ public void AlphaStreamsSlippageModel_EquityTest()
             Assert.AreEqual(expected, actual);
         }
 
-        [Test]
-        public void AlphaStreamsSlippageModel_HardCodedEquityTest()
-        {
-            Symbol symbol = Symbol.Create("DGAZ", SecurityType.Equity, Market.USA);
-            Equity equity = new Equity(
-                symbol,
-                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
-                new Cash(Currencies.USD, 0, 1m),
-                SymbolProperties.GetDefault(Currencies.USD),
-                ErrorCurrencyConverter.Instance,
-                RegisteredSecurityDataTypesProvider.Null,
-                new SecurityCache()
-            );
-
-            equity.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.SPY, 100m, 100m, 100m, 100m, 1));
-            Order equityBuyOrder = new MarketOrder(symbol, 1, DateTime.Now);
-
-            var model = new AlphaStreamsSlippageModel();
-
-            var actual = model.GetSlippageApproximation(equity, equityBuyOrder);
-            Assert.AreEqual(0.135m, actual);
-        }
-
         [Test]
         public void AlphaStreamsSlippageModel_ForexTest()
         {