priceimpact

tradingstrategy.priceimpact Python module in Trading Strategy framework.

Module description

Price impact calculations.

Classes

HistoricalXYPriceImpactCalculator	Calculates the Uniswap slippage, old price and new price based on XY liquidity model.
LiquiditySampleMeasure	For liquidity samples, which measurement we use for a price impact.
PriceImpact	How much price impact a potential trade would have.

Functions

estimate_xyk_price_impact(liquidity, ...)

Calculates XY liquidity model slippage.