Enum Class FillPolicy

java.lang.Object

java.lang.Enum<FillPolicy>

com.quantfinlib.backtest.FillPolicy

All Implemented Interfaces:

Serializable, Comparable<FillPolicy>, Constable

public enum FillPolicy
extends Enum<FillPolicy>

When an order decided on bar t is filled. Shared by every bar engine (Backtester, backtest.portfolio.PortfolioBacktester, alpha.AlphaBacktester).

Signals in this library are computed from bars up to and including close(t). A fill at that same close assumes the order went in before the closing print using a price that did not exist yet, which is not attainable. NEXT_OPEN is the default everywhere: decide on the close, trade at the next bar's open. The gap between a CLOSE run and a NEXT_OPEN run measures how much of a strategy's edge lives inside one bar of latency; fast mean-reversion signals often lose most of it.

Nested Class Summary

Nested classes/interfaces inherited from class Enum

Enum.EnumDesc<E>

Enum Constant Summary

Enum Constants

Enum Constant	Description
CLOSE	Fill at close(t), the decision bar's own close.
NEXT_CLOSE	Fill at close(t + 1): a market-on-close order submitted one bar after the decision, the usual convention in daily cross-sectional research.
NEXT_OPEN	Fill at open(t + 1).

Method Summary

Modifier and Type	Method	Description
int	lagBars()	Bars between the decision bar and the fill bar (0 or 1).
static FillPolicy	valueOf(String name)	Returns the enum constant of this class with the specified name.
static FillPolicy[]	values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods inherited from class Enum

clone, compareTo, describeConstable, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Details

CLOSE

public static final FillPolicy CLOSE

Fill at close(t), the decision bar's own close. Optimistic: use it to measure the zero-latency upper bound, not to report results.

NEXT_OPEN

public static final FillPolicy NEXT_OPEN

Fill at open(t + 1). The default.

NEXT_CLOSE

public static final FillPolicy NEXT_CLOSE

Fill at close(t + 1): a market-on-close order submitted one bar after the decision, the usual convention in daily cross-sectional research.

Method Details

values

public static FillPolicy[] values()

Returns an array containing the constants of this enum class, in the order they are declared.

Returns:

an array containing the constants of this enum class, in the order they are declared

valueOf

public static FillPolicy valueOf(String name)

Returns the enum constant of this class with the specified name. The string must match exactly an identifier used to declare an enum constant in this class. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum class has no constant with the specified name

NullPointerException - if the argument is null

lagBars

public int lagBars()

Bars between the decision bar and the fill bar (0 or 1).