Interface TradeCostModel

Functional Interface:

This is a functional interface and can therefore be used as the assignment target for a lambda expression or method reference.

@FunctionalInterface
public interface TradeCostModel

A pluggable per-trade cost model — the ONE definition of "what a trade costs" shared by the backtest engines, so an execution-aware number and a survivorship-aware number can come out of the same run:

• flat(double) — a fixed all-in bps (the classic commission assumption, and the exact equivalent of the legacy commissionRate configs);
• institutional(double, double, double, int) — commission + half-spread + slippage + square-root market impact, with per-symbol ADV/vol estimated from the trailing bars via MarketImpactModel.estimate(com.quantfinlib.core.BarSeries, int, int). This is the same four-component decomposition alpha.AlphaBacktester charges, expressed at the shared seam — the impact term is what makes cost grow with book size, i.e. what turns "capacity" into a number.

The contract prices ONE side of a trade (a buy or a sell), all-in, in basis points of traded notional. Implementations must be pure functions of their arguments — engines may call them at any bar in any order.

Method Summary

Modifier and Type	Method	Description
double	costBps(BarSeries series, int index, double notional)	All-in one-way cost, in bps of traded notional, for trading notional (currency units, always positive) of series at bar index.
static TradeCostModel	flat(double bps)	Fixed all-in bps per trade — commission-only, size-independent.
static TradeCostModel	institutional(double commissionBps, double halfSpreadBps, double slippageBps, int impactWindow)	The institutional four-component model.

Method Details

costBps

double costBps(BarSeries series,
 int index,
 double notional)

All-in one-way cost, in bps of traded notional, for trading notional (currency units, always positive) of series at bar index.

flat

static TradeCostModel flat(double bps)

Fixed all-in bps per trade — commission-only, size-independent.

institutional

static TradeCostModel institutional(double commissionBps,
 double halfSpreadBps,
 double slippageBps,
 int impactWindow)

The institutional four-component model. Impact needs trailing ADV/vol: bars before impactWindow charge the flat components only (rather than reading before bar 0), as do series without volume data — documented degradation, never a crash.

Parameters:

commissionBps - commission per side

halfSpreadBps - half the quoted spread, paid on every trade

slippageBps - fixed implementation noise

impactWindow - trailing bars for ADV/vol estimation (>= 2)