peer review

QuantConnect · Dec 6, 2024 · b28c98b · b28c98b
1 parent 00de10f
commit b28c98b
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Showing 3 changed files with 5 additions and 5 deletions.
diff --git a/Algorithm.CSharp/VolumeShareSlippageModelAlgorithm.cs b/Algorithm.CSharp/VolumeShareSlippageModelAlgorithm.cs
@@ -1,4 +1,3 @@
-
 /*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.

diff --git a/Algorithm.Python/VolumeShareSlippageModelAlgorithm.py b/Algorithm.Python/VolumeShareSlippageModelAlgorithm.py
@@ -12,6 +12,7 @@
 # limitations under the License.
 
 from AlgorithmImports import *
+from Orders.Slippage.VolumeShareSlippageModel import VolumeShareSlippageModel
 
 ### <summary>
 ### Example algorithm implementing VolumeShareSlippageModel.
@@ -33,7 +34,7 @@ def initialize(self) -> None:
         self.universe_settings.schedule.on(self.date_rules.week_start())
         # Add universe to trade on the most and least liquid stocks among QQQ constituents.
         self.add_universe(
-            self.universe.etf(qqq.value, Market.USA, self.universe_settings, lambda constituents: [c.symbol for c in constituents]),
+            self.universe.etf(qqq, Market.USA, self.universe_settings, lambda constituents: [c.symbol for c in constituents]),
             self.fundamental_selection
         )
 

diff --git a/Common/Orders/Slippage/VolumeShareSlippageModel.py b/Common/Orders/Slippage/VolumeShareSlippageModel.py
@@ -41,17 +41,17 @@ def get_slippage_approximation(self, asset: Security, order: Order) -> float:
         elif last_data.data_type == MarketDataType.QUOTE_BAR:
             bar_volume = last_data.last_bid_size if order.direction == OrderDirection.BUY else last_data.last_ask_size
         else:
-           raise InvalidOperationException(Messages.VolumeShareSlippageModel.InvalidMarketDataType(last_data))
+           raise InvalidOperationException(Messages.VolumeShareSlippageModel.invalid_market_data_type(last_data))
 
         # If volume is zero or negative, we use the maximum slippage percentage since the impact of any quantity is infinite
         # In FX/CFD case, we issue a warning and return zero slippage
         if bar_volume <= 0:
             security_type = asset.symbol.id.security_type
             if security_type == SecurityType.CFD or security_type == SecurityType.FOREX or security_type == SecurityType.CRYPTO:
-                Log.error(Messages.VolumeShareSlippageModel.VolumeNotReportedForMarketDataType(security_type))
+                Log.error(Messages.VolumeShareSlippageModel.volume_not_reported_for_market_data_type(security_type))
                 return 0
 
-            Log.error(Messages.VolumeShareSlippageModel.NegativeOrZeroBarVolume(bar_volume, slippage_percent))
+            Log.error(Messages.VolumeShareSlippageModel.negative_or_zero_bar_volume(bar_volume, slippage_percent))
         else:
             # Ratio of the order to the total volume
             volume_share = min(order.absolute_quantity / bar_volume, self.volume_limit)