FIX slippage: k*sigma_daily*sqrt(Q/ADV), realized vol from data

crypto_eval/costs.py

@@ -17,18 +17,28 @@ import pandas as pd
 TAKER_FEE = 0.0005
 MAKER_FEE = 0.0002
 SLIPPAGE_FLOOR_BPS = 2.0
-IMPACT_K = 0.5  # calibrated against Binance 20-level books; conservative
+IMPACT_K = 0.5  # square-root impact constant
+DAILY_VOL_BPS_FALLBACK = 200.0  # used only if the caller cannot supply realized vol
 
 
 def fee(notional: float, side: str = "taker") -> float:
     return abs(notional) * (TAKER_FEE if side == "taker" else MAKER_FEE)
 
 
-def slippage_cost(notional: float, adv_notional: float) -> float:
-    """Square-root impact cost in quote currency."""
+def slippage_cost(notional: float, adv_notional: float,
+                  daily_vol_bps: float = DAILY_VOL_BPS_FALLBACK) -> float:
+    """Square-root impact cost in quote currency.
+
+    impact_bps = k * sigma_daily_bps * sqrt(Q / ADV)
+    sigma_daily_bps is REALIZED daily volatility (the engine passes the
+    value computed from the data); the floor is 2 bps.
+    """
     if adv_notional <= 0:
         raise ValueError("adv_notional must be positive")
-    bps = max(SLIPPAGE_FLOOR_BPS, IMPACT_K * np.sqrt(abs(notional) / adv_notional) * 1e4)
+    bps = max(
+        SLIPPAGE_FLOOR_BPS,
+        IMPACT_K * daily_vol_bps * np.sqrt(abs(notional) / adv_notional),
+    )
     return abs(notional) * bps / 1e4