Wraps a PyObject object that represents a model that simulates order fill events More...

Inheritance diagram for QuantConnect.Python.FillModelPythonWrapper:

Public Member Functions
	FillModelPythonWrapper (PyObject model)
	Constructor for initialising the FillModelPythonWrapper class with wrapped PyObject object More...

override Fill	Fill (FillModelParameters parameters)
	Return an order event with the fill details More...

override OrderEvent	LimitFill (Security asset, LimitOrder order)
	Limit Fill Model. Return an order event with the fill details. More...

override OrderEvent	LimitIfTouchedFill (Security asset, LimitIfTouchedOrder order)
	Limit if Touched Fill Model. Return an order event with the fill details. More...

override OrderEvent	MarketFill (Security asset, MarketOrder order)
	Model the slippage on a market order: fixed percentage of order price More...

override OrderEvent	MarketOnCloseFill (Security asset, MarketOnCloseOrder order)
	Market on Close Fill Model. Return an order event with the fill details More...

override OrderEvent	MarketOnOpenFill (Security asset, MarketOnOpenOrder order)
	Market on Open Fill Model. Return an order event with the fill details More...

override OrderEvent	StopLimitFill (Security asset, StopLimitOrder order)
	Stop Limit Fill Model. Return an order event with the fill details. More...

override OrderEvent	StopMarketFill (Security asset, StopMarketOrder order)
	Stop Market Fill Model. Return an order event with the fill details. More...

override OrderEvent	TrailingStopFill (Security asset, TrailingStopOrder order)
	Trailing Stop Fill Model. Return an order event with the fill details. More...

override 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...

override 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...

override 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...

Public Member Functions inherited from QuantConnect.Orders.Fills.FillModel
void	SetPythonWrapper (FillModelPythonWrapper pythonWrapper)
	Used to set the FillModelPythonWrapper instance if any More...

Protected Member Functions
override Prices	GetPrices (Security asset, OrderDirection direction)
	Get the minimum and maximum price for this security in the last bar: 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
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

Wraps a PyObject object that represents a model that simulates order fill events

Definition at line 27 of file FillModelPythonWrapper.cs.

Constructor & Destructor Documentation

◆ FillModelPythonWrapper()

QuantConnect.Python.FillModelPythonWrapper.FillModelPythonWrapper ( PyObject model )

Constructor for initialising the FillModelPythonWrapper class with wrapped PyObject object

Parameters

model Represents a model that simulates order fill events

Definition at line 35 of file FillModelPythonWrapper.cs.

Here is the call graph for this function:

Member Function Documentation

◆ Fill()

override Fill QuantConnect.Python.FillModelPythonWrapper.Fill ( FillModelParameters parameters )

virtual

Return an order event with the fill details

Parameters

parameters A parameters object containing the security and order

Returns: Order fill information detailing the average price and quantity filled.

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 49 of file FillModelPythonWrapper.cs.

◆ LimitFill()

override OrderEvent QuantConnect.Python.FillModelPythonWrapper.LimitFill	(	Security	asset,
		LimitOrder	order
	)

virtual

Limit Fill Model. Return an order event with the fill details.

Parameters

asset	Stock Object to use to help model limit fill
order	Order to fill. Alter the values directly if filled.

Returns: Order fill information detailing the average price and quantity filled.

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 61 of file FillModelPythonWrapper.cs.

◆ LimitIfTouchedFill()

override OrderEvent QuantConnect.Python.FillModelPythonWrapper.LimitIfTouchedFill	(	Security	asset,
		LimitIfTouchedOrder	order
	)

virtual

Limit if Touched Fill Model. Return an order event with the fill details.

Parameters

asset	Asset we're trading this order
order	LimitIfTouchedOrder Order to Check, return filled if true

Returns: Order fill information detailing the average price and quantity filled.

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 72 of file FillModelPythonWrapper.cs.

◆ MarketFill()

override OrderEvent QuantConnect.Python.FillModelPythonWrapper.MarketFill	(	Security	asset,
		MarketOrder	order
	)

virtual

Model the slippage on a market order: fixed percentage of order price

Parameters

asset	Asset we're trading this order
order	Order to update

Returns: Order fill information detailing the average price and quantity filled.

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 83 of file FillModelPythonWrapper.cs.

◆ MarketOnCloseFill()

override OrderEvent QuantConnect.Python.FillModelPythonWrapper.MarketOnCloseFill	(	Security	asset,
		MarketOnCloseOrder	order
	)

virtual

Market on Close Fill Model. Return an order event with the fill details

Parameters

asset	Asset we're trading with this order
order	Order to be filled

Returns: Order fill information detailing the average price and quantity filled.

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 94 of file FillModelPythonWrapper.cs.

◆ MarketOnOpenFill()

override OrderEvent QuantConnect.Python.FillModelPythonWrapper.MarketOnOpenFill	(	Security	asset,
		MarketOnOpenOrder	order
	)

virtual

Market on Open Fill Model. Return an order event with the fill details

Parameters

asset	Asset we're trading with this order
order	Order to be filled

Returns: Order fill information detailing the average price and quantity filled.

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 105 of file FillModelPythonWrapper.cs.

◆ StopLimitFill()

override OrderEvent QuantConnect.Python.FillModelPythonWrapper.StopLimitFill	(	Security	asset,
		StopLimitOrder	order
	)

virtual

Stop Limit Fill Model. Return an order event with the fill details.

Parameters

asset	Asset we're trading this order
order	Stop Limit Order to Check, return filled if true

Returns: Order fill information detailing the average price and quantity filled.

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 116 of file FillModelPythonWrapper.cs.

◆ StopMarketFill()

override OrderEvent QuantConnect.Python.FillModelPythonWrapper.StopMarketFill	(	Security	asset,
		StopMarketOrder	order
	)

virtual

Stop Market Fill Model. Return an order event with the fill details.

Parameters

asset	Asset we're trading this order
order	Trailing Stop Order to check, return filled if true

Returns: Order fill information detailing the average price and quantity filled.

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 127 of file FillModelPythonWrapper.cs.

◆ TrailingStopFill()

override OrderEvent QuantConnect.Python.FillModelPythonWrapper.TrailingStopFill	(	Security	asset,
		TrailingStopOrder	order
	)

virtual

Trailing Stop Fill Model. Return an order event with the fill details.

Parameters

asset	Asset we're trading this order
order	Stop Order to Check, return filled if true

Returns: Order fill information detailing the average price and quantity filled.

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 138 of file FillModelPythonWrapper.cs.

◆ ComboMarketFill()

override List<OrderEvent> QuantConnect.Python.FillModelPythonWrapper.ComboMarketFill	(	Order	order,
		FillModelParameters	parameters
	)

virtual

Default combo market fill model for the base security class. Fills at the last traded price for each leg.

Parameters

order	Order to fill
parameters	Fill parameters for the order

Returns: Order fill information detailing the average price and quantity filled for each leg. If any of the fills fails, none of the orders will be filled and the returned list will be empty

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 149 of file FillModelPythonWrapper.cs.

◆ ComboLimitFill()

override List<OrderEvent> QuantConnect.Python.FillModelPythonWrapper.ComboLimitFill	(	Order	order,
		FillModelParameters	parameters
	)

virtual

Default combo limit fill model for the base security class. Fills at the sum of prices for the assets of every leg.

Parameters

order	Order to fill
parameters	Fill parameters for the order

Returns: Order fill information detailing the average price and quantity filled for each leg. If any of the fills fails, none of the orders will be filled and the returned list will be empty

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 160 of file FillModelPythonWrapper.cs.

◆ ComboLegLimitFill()

override List<OrderEvent> QuantConnect.Python.FillModelPythonWrapper.ComboLegLimitFill	(	Order	order,
		FillModelParameters	parameters
	)

virtual

Default combo limit fill model for the base security class. Fills at the limit price for each leg

Parameters

order	Order to fill
parameters	Fill parameters for the order

Returns: Order fill information detailing the average price and quantity filled for each leg. If any of the fills fails, none of the orders will be filled and the returned list will be empty

Reimplemented from QuantConnect.Orders.Fills.FillModel.

Definition at line 171 of file FillModelPythonWrapper.cs.

◆ GetPrices()

override Prices QuantConnect.Python.FillModelPythonWrapper.GetPrices	(	Security	asset,
		OrderDirection	direction
	)

protectedvirtual

Get the minimum and maximum price for this security in the last bar:

Parameters

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 181 of file FillModelPythonWrapper.cs.

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

Common/Python/FillModelPythonWrapper.cs

Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FillModelPythonWrapper()

Member Function Documentation

◆ Fill()

◆ LimitFill()

◆ LimitIfTouchedFill()

◆ MarketFill()

◆ MarketOnCloseFill()

◆ MarketOnOpenFill()

◆ StopLimitFill()

◆ StopMarketFill()

◆ TrailingStopFill()

◆ ComboMarketFill()

◆ ComboLimitFill()

◆ ComboLegLimitFill()

◆ GetPrices()