Leading up to the launch of futures in backtesting, the Quantopian research team has been developing a slippage model for futures. This notebook gives a technical overview of the model, which will be used in backtests after the full release of futures at QuantCon.
The attached notebook explains how the model works, and then goes into how we find the necessary constants by fitting to futures pricing data.
For the ambitious, you may want to do things like extend this code to US equities, or implement a form of it within your algorithm to predict trade costs. Let us know what you think, and feel free to ask any questions.
