Module fill

Structs§

BestPriceFillModel: Fill model that executes all orders at the best available price with unlimited liquidity.
CompetitionAwareFillModel: Fill model that reduces available liquidity by a factor to simulate market competition.
DefaultFillModel
LimitOrderPartialFillModel: Fill model that simulates partial fills: max 5 contracts at best, unlimited one tick worse.
MarketHoursFillModel: Fill model that simulates varying conditions based on market hours. During low liquidity: wider spreads (one tick worse). Normal hours: standard liquidity.
OneTickSlippageFillModel: Fill model that forces exactly one tick of slippage for all orders.
ProbabilisticFillModel: Fill model with 50/50 chance of best price fill or one tick slippage.
ProbabilisticFillState
SizeAwareFillModel: Fill model that applies different execution based on order size. Small orders (<=10) get 50 contracts at best. Large orders get 10 at best, remainder at +1 tick.
ThreeTierFillModel: Fill model with three tiers: 50 at best, 30 at +1 tick, 20 at +2 ticks.
TwoTierFillModel: Fill model with two tiers: first 10 contracts at best price, remainder one tick worse.
VolumeSensitiveFillModel: Fill model that adjusts liquidity based on recent trading volume. Uses 25% of recent volume at best price, unlimited one tick worse.