Execution

class BestPriceFillModel

Bases: object

Fill model that executes all orders at the best available price with unlimited liquidity.

class CappedOptionFeeModel

Bases: FeeModel

get_commission(order, fill_quantity, fill_px, instrument)

get_commission_with_context(order, fill_quantity, fill_px, instrument, underlying_px=None)

class CompetitionAwareFillModel

Bases: object

Fill model that reduces available liquidity by a factor to simulate market competition.

class DefaultFillModel

Bases: object

class ExecutionEngineConfig

Bases: object

Configuration for ExecutionEngine instances.

allow_overfills

carry_replay_events_on_reopen

debug

external_clients

load_cache

manage_own_order_books

purge_account_events_interval_mins

purge_account_events_lookback_mins

purge_closed_orders_buffer_mins

purge_closed_orders_interval_mins

purge_closed_positions_buffer_mins

purge_closed_positions_interval_mins

purge_from_database

snapshot_orders

snapshot_positions

snapshot_positions_interval_secs

class FeeModel

Bases: object

get_commission(_order, _fill_quantity, _fill_px, _instrument)

get_commission_with_context(order, fill_quantity, fill_px, instrument, _underlying_px=None)

class FillModel

Bases: object

fill_limit_inside_spread()

get_orderbook_for_fill_simulation(_instrument, _order, _best_bid, _best_ask)

is_limit_filled()

is_slipped()

class FixedFeeModel

Bases: FeeModel

get_commission(order, fill_quantity, fill_px, instrument)

class LimitOrderPartialFillModel

Bases: object

Fill model that simulates partial fills: max 5 contracts at best, unlimited one tick worse.

class MakerTakerFeeModel

Bases: FeeModel

get_commission(order, fill_quantity, fill_px, instrument)

class MarketHoursFillModel

Bases: object

Fill model that simulates varying conditions based on market hours. During low liquidity: wider spreads (one tick worse). Normal hours: standard liquidity.

class OneTickSlippageFillModel

Bases: object

Fill model that forces exactly one tick of slippage for all orders.

class OrderEmulatorConfig

Bases: object

Configuration for OrderEmulator instances.

debug

class PerContractFeeModel

Bases: FeeModel

get_commission(order, fill_quantity, fill_px, instrument)

class ProbabilisticFillModel

Bases: object

Fill model with 50/50 chance of best price fill or one tick slippage.

class ProbabilityPriceFeeModel

Bases: FeeModel

Fee model for probability-priced outcome shares.

Applies qty * fee_rate * p * (1 - p) using the instrument’s maker or taker fee rate. This matches venues that represent outcome shares as [InstrumentAny::BinaryOption] instruments quoted on a [0, 1] probability scale.

This model covers quote-currency match-time exchange fees only. Venue-specific rebate programs or non-quote fee assets remain outside the core execution layer.

get_commission(order, fill_quantity, fill_px, instrument)

class SizeAwareFillModel

Bases: object

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.

class StaticLatencyModel

Bases: object

Static latency model with fixed latency values.

Models the latency for different order operations including base network latency and specific operation latencies for insert, update, and delete operations.

The base latency is automatically added to each operation latency, matching Python’s behavior. For example, if base_latency_nanos = 100ms and insert_latency_nanos = 200ms, the effective insert latency will be 300ms.

class ThreeTierFillModel

Bases: object

Fill model with three tiers: 50 at best, 30 at +1 tick, 20 at +2 ticks.

class TieredNotionalOptionFeeModel

Bases: FeeModel

get_commission(order, fill_quantity, fill_px, instrument)

class TwoTierFillModel

Bases: object

Fill model with two tiers: first 10 contracts at best price, remainder one tick worse.

class VolumeSensitiveFillModel

Bases: object

Fill model that adjusts liquidity based on recent trading volume. Uses 25% of recent volume at best price, unlimited one tick worse.