Slippage

The backtest engine applies slippage to market-style fills: market orders, triggered stop-market orders, and triggered trailing stops. Limit orders trade at their posted price; queue simulation handles their realism separately.

Slippage is configured per BacktestConfig with a default profile and optional per-symbol overrides.

SlippageProfile

enum class SlippageModel : uint8_t { NONE, FIXED_TICKS, FIXED_BPS, VOLUME_IMPACT };

struct SlippageProfile
{
  SlippageModel model{SlippageModel::NONE};
  int32_t ticks{0};         // FIXED_TICKS: number of ticks against the taker
  Price tickSize{};         // FIXED_TICKS: price per tick; zero falls back to one raw price unit
  double bps{0.0};          // FIXED_BPS: basis points against the taker
  double impactCoeff{0.0};  // VOLUME_IMPACT: coeff * (orderQty / levelQty)
};

Model	Meaning
NONE	Fill at the book-reported best price.
FIXED_TICKS	Shift the fill by ticks * tickSize against the taker (buys pay more, sells receive less). Set tickSize to the venue's minimum price increment; leaving it zero falls back to one raw price unit, which is rarely what you want for real instruments.
FIXED_BPS	Shift the fill by bps basis points of the fill price. bps = 10.0 is 10 bps = 0.10%.
VOLUME_IMPACT	Shift proportional to impactCoeff * (orderQty / levelQty). Larger orders relative to top-of-book size move the price more.

Applying slippage

BacktestConfig cfg;
cfg.defaultSlippage = {SlippageModel::FIXED_BPS, 0, Price{}, 5.0, 0.0};  // 5 bps default
cfg.perSymbolSlippage.emplace_back(
    kBtcUsd, SlippageProfile{SlippageModel::VOLUME_IMPACT, 0, Price{}, 0.0, 0.01});

BacktestRunner runner(cfg);  // config is forwarded to the simulated executor

For direct-executor use:

SimulatedExecutor exec(clock);
exec.setDefaultSlippage({SlippageModel::FIXED_BPS, 0, Price{}, 5.0, 0.0});
exec.setSymbolSlippage(kBtcUsd,
                       {SlippageModel::FIXED_TICKS, 3, Price::fromDouble(0.25), 0.0, 0.0});

Bindings

Language	Entry point
Python	SimulatedExecutor.set_default_slippage(model, ticks, tick_size, bps, impact_coeff) / set_symbol_slippage(symbol, ...)
C API	flox_executor_set_default_slippage(exec, model, ticks, tick_size, bps, impact)
Codon	SimulatedExecutor.set_default_slippage(model, ticks, tick_size, bps, impact_coeff)
JavaScript	executor.setDefaultSlippage("fixed_bps", 0, 0, 5.0, 0)

All bindings accept the same model values (none, fixed_ticks, fixed_bps, volume_impact) either as strings (Python, JS, Codon enum constants) or as the FloxSlippageModel enum in the C API. Pass tick_size = 0.0 for NONE / FIXED_BPS / VOLUME_IMPACT; it is only meaningful for FIXED_TICKS.