The fill model: market orders at the next bar's open, limit orders when the next bar's range reaches them, stop-limit orders once released. More...

#include <algotradelib/src/backtest/fill.hpp>

Public Member Functions
	NextBarFillModel (CommissionModel commission=CommissionModel::none(), SlippageModel slippage=SlippageModel::none(), LimitFillPrice limit_price=LimitFillPrice::AT_LIMIT)
	Constructs a model with a flat commission.
	NextBarFillModel (CommissionPolicy commission, SlippageModel slippage=SlippageModel::none(), LimitFillPrice limit_price=LimitFillPrice::AT_LIMIT)
	Constructs a model with a commission policy, which may resolve a schedule per execution.
const CommissionPolicy &	commission () const noexcept
	Returns the commission policy.
const SlippageModel &	slippage () const noexcept
	Returns the slippage model.
LimitFillPrice	limit_price () const noexcept
	Returns which price a filled limit order is credited.
NextBarFillModel	with_sell_tax (SellTax tax) const
	Returns a copy of this model that charges a tax on sales.
const std::optional< SellTax > &	sell_tax () const noexcept
	Returns the tax on sales.
FillDecision	decide (const strategy::PlannedOrder &order, const strategy::BarEvent &next, const PriceRule &rule, const Date &date, const std::optional< Date > &open_date=std::nullopt, bool released=false) const
	Decides whether an order trades against a bar, and at what price and cost.

Static Public Member Functions
static constexpr bool	limit_priced (OrderType type) noexcept
	Tests whether the model prices an order type against its limit (a limit order, and a stop-limit once released).
static bool	rests_unfilled (const strategy::PlannedOrder &order) noexcept
	Tests whether an order that did not fill stays queued for a later bar of its session.

Detailed Description

The fill model: market orders at the next bar's open, limit orders when the next bar's range reaches them, stop-limit orders once released.

Works the same for any bar interval. Volume is not consulted: a fill is never partial or capped by what traded (the report states this).

Definition at line 68 of file fill.hpp.

Constructor & Destructor Documentation

◆ NextBarFillModel() [1/2]

algotradelib::backtest::NextBarFillModel::NextBarFillModel	(	CommissionModel	commission = CommissionModel::none(),
		SlippageModel	slippage = SlippageModel::none(),
		LimitFillPrice	limit_price = LimitFillPrice::AT_LIMIT )

inlineexplicit

Constructs a model with a flat commission.

Parameters

commission	The commission model, charged on every execution.
slippage	The slippage model.
limit_price	Which price a filled limit order is credited.

Definition at line 76 of file fill.hpp.

Referenced by with_sell_tax().

◆ NextBarFillModel() [2/2]

algotradelib::backtest::NextBarFillModel::NextBarFillModel	(	CommissionPolicy	commission,
		SlippageModel	slippage = SlippageModel::none(),
		LimitFillPrice	limit_price = LimitFillPrice::AT_LIMIT )

inlineexplicit

Constructs a model with a commission policy, which may resolve a schedule per execution.

Parameters

commission	The commission policy.
slippage	The slippage model.
limit_price	Which price a filled limit order is credited.

Definition at line 91 of file fill.hpp.

Member Function Documentation

◆ commission()

const CommissionPolicy & algotradelib::backtest::NextBarFillModel::commission ( ) const

inlinenoexcept

Returns the commission policy.

Returns: The policy in force.

Definition at line 104 of file fill.hpp.

Referenced by NextBarFillModel(), and NextBarFillModel().

◆ decide()

FillDecision algotradelib::backtest::NextBarFillModel::decide	(	const strategy::PlannedOrder &	order,
		const strategy::BarEvent &	next,
		const PriceRule &	rule,
		const Date &	date,
		const std::optional< Date > &	open_date = std::nullopt,
		bool	released = false ) const

inline

Decides whether an order trades against a bar, and at what price and cost.

Market: the bar's open (its close if it has no open).
Limit: only if the bar reached the limit (low at or below a buy limit, high at or above a sell limit). Credited the limit, or under AT_OPEN_IF_BETTER the open if better; the credit is kept within the bar's range and never through the limit, even after slippage.
Stop-limit: dormant until the bar reaches the trigger (a sell stop when the low reaches it, a buy stop when the high does). Released at the open, it is priced as a limit. Released inside the bar, it fills only when the bar proves a price after the release: at the worst bar price the limit allows if the limit was marketable at the trigger, at the limit if the close is through the limit; otherwise it rests. No favourable slippage applies after an intrabar release.

Slippage, then commission and any sale tax, are applied to a fill. The execution is stamped at next.period_end_.

Parameters

order	The queued order.
next	The bar after the one the order was decided on.
rule	The instrument's price grid, for tick slippage.
date	The market-local trading date of the fill, for the commission rate (see SessionWindow::local_date).
open_date	The market-local date of the bar's open, if known; used instead of date for a fill priced at the open. For a fill inside a multi-day bar date is used, which can be a later day than the fill.
released	Whether an earlier bar already released this stop-limit order.

Returns: The decision. A stop-limit order not yet released without both a trigger and a limit price neither trades nor rests (a released stop must still have its limit price).

Definition at line 220 of file fill.hpp.

◆ limit_price()

LimitFillPrice algotradelib::backtest::NextBarFillModel::limit_price ( ) const

inlinenoexcept

Returns which price a filled limit order is credited.

Returns: The choice.

Definition at line 116 of file fill.hpp.

Referenced by NextBarFillModel(), and NextBarFillModel().

◆ limit_priced()

constexpr bool algotradelib::backtest::NextBarFillModel::limit_priced ( OrderType type )

inlinestaticconstexprnoexcept

Tests whether the model prices an order type against its limit (a limit order, and a stop-limit once released).

Parameters

type	The order type.

Returns: true for LIMIT and STOP_LIMIT; the model fills every other type it accepts at the open.

Definition at line 151 of file fill.hpp.

Referenced by decide(), and rests_unfilled().

◆ rests_unfilled()

bool algotradelib::backtest::NextBarFillModel::rests_unfilled ( const strategy::PlannedOrder & order )

inlinestaticnoexcept

Tests whether an order that did not fill stays queued for a later bar of its session.

Only DAY limit and stop-limit orders rest; immediate-or-cancel, fill-or-kill and market orders do not. Backtester withdraws a resting DAY order when its session ends (on daily bars, after one bar).

Parameters

order The order.

Returns: true if it rests.

Definition at line 178 of file fill.hpp.

Referenced by decide().

◆ sell_tax()

const std::optional< SellTax > & algotradelib::backtest::NextBarFillModel::sell_tax ( ) const

inlinenoexcept

Returns the tax on sales.

Returns: The tax, or std::nullopt if none is modelled.

Definition at line 143 of file fill.hpp.

◆ slippage()

const SlippageModel & algotradelib::backtest::NextBarFillModel::slippage ( ) const

inlinenoexcept

Returns the slippage model.

Returns: The model in force.

Definition at line 110 of file fill.hpp.

Referenced by NextBarFillModel(), and NextBarFillModel().

◆ with_sell_tax()

NextBarFillModel algotradelib::backtest::NextBarFillModel::with_sell_tax ( SellTax tax ) const

inline

Returns a copy of this model that charges a tax on sales.

The library has no tax rate of its own (Korean securities transaction tax changes yearly); one rate applies to the whole replay. The tax is truncated to whole currency units and reported apart from commission (Execution::tax_, Report::tax_paid_). Only sales of instruments in tax.country_ pay it; exempt instruments (Korean ETFs and ETNs) need a replay without it.

Parameters

tax	The rate and market.

Returns: The new model.

Exceptions

std::invalid_argument if the rate is below 0 or not below 1.

Definition at line 130 of file fill.hpp.

The documentation for this class was generated from the following file:

algotradelib/src/backtest/fill.hpp

Public Member Functions

Static Public Member Functions

Detailed Description

Constructor & Destructor Documentation

◆ NextBarFillModel() [1/2]

◆ NextBarFillModel() [2/2]

Member Function Documentation

◆ commission()

◆ decide()

◆ limit_price()

◆ limit_priced()

◆ rests_unfilled()

◆ sell_tax()

◆ slippage()

◆ with_sell_tax()