From ac4d1107d9a0a5780c80736942420ce9e1110ea0 Mon Sep 17 00:00:00 2001
From: Jack Simonson <jack.simonson@quantconnect.com>
Date: Mon, 18 May 2020 09:46:59 -0700
Subject: [PATCH 1/2] Updated AlphaStreamsSlippageModel

---
 .../Slippage/AlphaStreamsSlippageModel.cs     | 20 ++-------------
 .../Orders/Slippage/SlippageModelsTests.cs    | 25 +------------------
 2 files changed, 3 insertions(+), 42 deletions(-)

diff --git a/Common/Orders/Slippage/AlphaStreamsSlippageModel.cs b/Common/Orders/Slippage/AlphaStreamsSlippageModel.cs
index 2058a9f8dcf5..df9219989da8 100644
--- a/Common/Orders/Slippage/AlphaStreamsSlippageModel.cs
+++ b/Common/Orders/Slippage/AlphaStreamsSlippageModel.cs
@@ -23,16 +23,7 @@ namespace QuantConnect.Orders.Slippage
     /// </summary>
     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}
-        };
+        private const decimal _slippagePercent = 0;
 
         /// <summary>
         /// Initializes a new instance of the <see cref="AlphaStreamsSlippageModel"/> class
@@ -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;
         }
     }
 }
\ No newline at end of file
diff --git a/Tests/Common/Orders/Slippage/SlippageModelsTests.cs b/Tests/Common/Orders/Slippage/SlippageModelsTests.cs
index 0ad292e60b78..d882d72d4b78 100644
--- a/Tests/Common/Orders/Slippage/SlippageModelsTests.cs
+++ b/Tests/Common/Orders/Slippage/SlippageModelsTests.cs
@@ -142,7 +142,7 @@ public void VolumeShareSlippageModel_ForexTest()
         [Test]
         public void AlphaStreamsSlippageModel_EquityTest()
         {
-            decimal slippagePercent = 0.0001m;
+            decimal slippagePercent = 0;
 
             var model = new AlphaStreamsSlippageModel();
 
@@ -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()
         {

From 9f53e65472a3e961a766a1019592b89996e19ebe Mon Sep 17 00:00:00 2001
From: Jack Simonson <jack.simonson@quantconnect.com>
Date: Mon, 18 May 2020 15:50:12 -0700
Subject: [PATCH 2/2] Reinstate slippage

---
 Common/Orders/Slippage/AlphaStreamsSlippageModel.cs | 2 +-
 Tests/Common/Orders/Slippage/SlippageModelsTests.cs | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

diff --git a/Common/Orders/Slippage/AlphaStreamsSlippageModel.cs b/Common/Orders/Slippage/AlphaStreamsSlippageModel.cs
index df9219989da8..5158247cee7e 100644
--- a/Common/Orders/Slippage/AlphaStreamsSlippageModel.cs
+++ b/Common/Orders/Slippage/AlphaStreamsSlippageModel.cs
@@ -23,7 +23,7 @@ namespace QuantConnect.Orders.Slippage
     /// </summary>
     public class AlphaStreamsSlippageModel : ISlippageModel
     {
-        private const decimal _slippagePercent = 0;
+        private const decimal _slippagePercent = 0.0001m;
 
         /// <summary>
         /// Initializes a new instance of the <see cref="AlphaStreamsSlippageModel"/> class
diff --git a/Tests/Common/Orders/Slippage/SlippageModelsTests.cs b/Tests/Common/Orders/Slippage/SlippageModelsTests.cs
index d882d72d4b78..6af4eedee085 100644
--- a/Tests/Common/Orders/Slippage/SlippageModelsTests.cs
+++ b/Tests/Common/Orders/Slippage/SlippageModelsTests.cs
@@ -142,7 +142,7 @@ public void VolumeShareSlippageModel_ForexTest()
         [Test]
         public void AlphaStreamsSlippageModel_EquityTest()
         {
-            decimal slippagePercent = 0;
+            decimal slippagePercent = 0.0001m;
 
             var model = new AlphaStreamsSlippageModel();