QuantConnect.Orders.Fills.LatestPriceFillModel Class Reference
This fill model is provided for cases where the trade/quote distinction should be ignored and the fill price should be determined from the latest pricing information. More...
Inheritance diagram for QuantConnect.Orders.Fills.LatestPriceFillModel:
Protected Member Functions | |
| override Prices | GetPrices (Security asset, OrderDirection direction) |
| Get the minimum and maximum price for this security in the last bar Ignore the Trade/Quote distinction - fill with the latest pricing information More... | |
 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 bool | IsExchangeOpen (Security asset, bool isExtendedMarketHours) |
| Determines if the exchange is open using the current time of the asset More... | |
Additional Inherited Members | |
| 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 | MarketFill (Security asset, MarketOrder order) |
| Default market fill model for the base security class. Fills at the last traded price. More... | |
| virtual OrderEvent | StopMarketFill (Security asset, StopMarketOrder order) |
| Default stop fill model implementation in base class security. (Stop Market Order Type) 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... | |
| 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
This fill model is provided for cases where the trade/quote distinction should be ignored and the fill price should be determined from the latest pricing information.
Definition at line 27 of file LatestPriceFillModel.cs.
Member Function Documentation
◆ GetPrices()
|
protectedvirtual |
Get the minimum and maximum price for this security in the last bar Ignore the Trade/Quote distinction - fill with the latest pricing information
- Parameters
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asset Security asset we're checking direction The order direction, decides whether to pick bid or ask
Reimplemented from QuantConnect.Orders.Fills.FillModel.
Definition at line 35 of file LatestPriceFillModel.cs.
Here is the call graph for this function:
The documentation for this class was generated from the following file:
- Common/Orders/Fills/LatestPriceFillModel.cs
