Represents the fill model used to simulate order fills for futures More...
Public Member Functions | |
| override OrderEvent | MarketFill (Security asset, MarketOrder order) |
| Default market fill model for the base security class. Fills at the last traded price. More... | |
| override OrderEvent | StopMarketFill (Security asset, StopMarketOrder order) |
| Stop fill model implementation for Future. More... | |
 Public Member Functions inherited from QuantConnect.Orders.Fills.FillModel | |
| void | SetPythonWrapper (FillModelPythonWrapper pythonWrapper) |
| Used to set the FillModelPythonWrapper instance if any More... | |
| virtual Fill | Fill (FillModelParameters parameters) |
| Return an order event with the fill details More... | |
| virtual List< OrderEvent > | ComboMarketFill (Order order, FillModelParameters parameters) |
| Default combo market fill model for the base security class. Fills at the last traded price for each leg. More... | |
| virtual List< OrderEvent > | ComboLimitFill (Order order, FillModelParameters parameters) |
| Default combo limit fill model for the base security class. Fills at the sum of prices for the assets of every leg. More... | |
| virtual List< OrderEvent > | ComboLegLimitFill (Order order, FillModelParameters parameters) |
| Default combo limit fill model for the base security class. Fills at the limit price for each leg More... | |
| virtual OrderEvent | TrailingStopFill (Security asset, TrailingStopOrder order) |
| Default trailing stop fill model implementation in base class security. (Trailing Stop Order Type) More... | |
| virtual OrderEvent | StopLimitFill (Security asset, StopLimitOrder order) |
| Default stop limit fill model implementation in base class security. (Stop Limit Order Type) More... | |
| virtual OrderEvent | LimitIfTouchedFill (Security asset, LimitIfTouchedOrder order) |
| Default limit if touched fill model implementation in base class security. (Limit If Touched Order Type) More... | |
| virtual OrderEvent | LimitFill (Security asset, LimitOrder order) |
| Default limit order fill model in the base security class. More... | |
| virtual OrderEvent | MarketOnOpenFill (Security asset, MarketOnOpenOrder order) |
| Market on Open Fill Model. Return an order event with the fill details More... | |
| virtual OrderEvent | MarketOnCloseFill (Security asset, MarketOnCloseOrder order) |
| Market on Close Fill Model. Return an order event with the fill details More... | |
Additional Inherited Members | |
| Protected Member Functions inherited from QuantConnect.Orders.Fills.FillModel | |
| virtual HashSet< Type > | GetSubscribedTypes (Security asset) |
| Get data types the Security is subscribed to More... | |
| virtual Prices | GetPricesCheckingPythonWrapper (Security asset, OrderDirection direction) |
| This is required due to a limitation in PythonNet to resolved overriden methods. GetPrices More... | |
| virtual Prices | GetPrices (Security asset, OrderDirection direction) |
| Get the minimum and maximum price for this security in the last bar: More... | |
| virtual bool | IsExchangeOpen (Security asset, bool isExtendedMarketHours) |
| Determines if the exchange is open using the current time of the asset More... | |
| Properties inherited from QuantConnect.Orders.Fills.FillModel | |
| FillModelParameters | Parameters [get, set] |
| The parameters instance to be used by the different XxxxFill() implementations More... | |
| FillModelPythonWrapper | PythonWrapper [get, set] |
| This is required due to a limitation in PythonNet to resolved overriden methods. When Python calls a C# method that calls a method that's overriden in python it won't run the python implementation unless the call is performed through python too. More... | |
Detailed Description
Represents the fill model used to simulate order fills for futures
Definition at line 27 of file FutureFillModel.cs.
Member Function Documentation
◆ MarketFill()
|
virtual |
Default market fill model for the base security class. Fills at the last traded price.
- Parameters
-
asset Security asset we're filling order Order packet to model
- Returns
- Order fill information detailing the average price and quantity filled.
Reimplemented from QuantConnect.Orders.Fills.FillModel.
Definition at line 35 of file FutureFillModel.cs.
◆ StopMarketFill()
|
virtual |
Stop fill model implementation for Future.
- Parameters
-
asset Security asset we're filling order Order packet to model
- Returns
- Order fill information detailing the average price and quantity filled.
A Stop order is an instruction to submit a buy or sell market order if and when the user-specified stop trigger price is attained or penetrated.
A Sell Stop order is always placed below the current market price. We assume a fluid/continuous, high volume market. Therefore, it is filled at the stop trigger price if the current low price of trades is less than or equal to this price.
A Buy Stop order is always placed above the current market price. We assume a fluid, high volume market. Therefore, it is filled at the stop trigger price if the current high price of trades is greater or equal than this price.
The continuous market assumption is not valid if the market opens with an unfavorable gap. In this case, a new bar opens below/above the stop trigger price, and the order is filled with the opening price.
- See also
- MarketFill(Security, MarketOrder)
Reimplemented from QuantConnect.Orders.Fills.FillModel.
Definition at line 100 of file FutureFillModel.cs.
The documentation for this class was generated from the following file:
- Common/Orders/Fills/FutureFillModel.cs
