fill.hpp File Reference

The backtest fill model: whether a queued order trades against the next bar, and at what price and cost. More...

#include "./cost.hpp"
#include "./ledger.hpp"
#include "../strategy/event.hpp"
#include "../strategy/reconcile.hpp"
#include <algotradelib/core>
#include <optional>
#include <stdexcept>
#include <utility>

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Classes
struct	algotradelib::backtest::FillDecision
	What NextBarFillModel::decide concluded about one order and one bar. More...
struct	algotradelib::backtest::SellTax
	A tax on sales, stated by the caller; see NextBarFillModel::with_sell_tax. More...
class	algotradelib::backtest::NextBarFillModel
	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...

Namespaces
namespace	algotradelib
	The library: broker-neutral types (core), and the modules below.
namespace	algotradelib::backtest
	Replays a strategy over stored bars: fill and cost models, the replay ledger, and the report.

Detailed Description

The backtest fill model: whether a queued order trades against the next bar, and at what price and cost.

An order is always filled against the bar after the one that produced it, so a backtest cannot fill from a bar the strategy has just seen.

Definition in file fill.hpp.