Struct SizeAwareFillModel 

pub struct SizeAwareFillModel { /* private fields */ }

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.

Implementations

impl SizeAwareFillModel

pub fn new( prob_fill_on_limit: f64, prob_slippage: f64, random_seed: Option<u64>, ) -> Result<Self>

Creates a new SizeAwareFillModel instance.

Errors

Returns an error if probability parameters are not in range [0, 1].

Trait Implementations

impl Clone for SizeAwareFillModel

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for SizeAwareFillModel

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for SizeAwareFillModel

fn default() -> Self

Returns the “default value” for a type.

impl FillModel for SizeAwareFillModel

fn is_limit_filled(&mut self) -> bool

Returns true if a limit order should be filled based on the model.

fn is_slipped(&mut self) -> bool

Returns true if an order fill should slip by one tick.

fn get_orderbook_for_fill_simulation( &mut self, instrument: &InstrumentAny, order: &OrderAny, best_bid: Price, best_ask: Price, ) -> Option<OrderBook>

Returns a simulated OrderBook for fill simulation.