Interface ExecutionModel

All Known Implementing Classes:

IcebergExecution, InstantExecution, LastLookExecution, SorExecution

public interface ExecutionModel

How parent orders turn into fills in an execution-aware backtest (ExecutionAwareBacktester). The engine calls execute(com.quantfinlib.orderbook.Side, long, com.quantfinlib.core.BarSeries, int) once per bar while a parent order is working; anything not filled carries over to the next bar.

Returned fill prices are all-in (fees and spread folded in), so the engine's cash accounting is simply price × quantity.

Method Summary

Modifier and Type	Method	Description
List<Execution>	execute(Side side, long requestedQty, BarSeries series, int index)	Executes up to requestedQty on this bar.
default void	onParentOrder(Side side, long totalQuantity, int signalIndex)	Notification that a new parent order has been created (entry or exit).
default double	referencePrice(BarSeries series, int index)	The price this model's fills are anchored to on the given bar — the engine budgets entry requests as cash / (referencePrice * (1 + worstCaseCostFraction())).
default double	worstCaseCostFraction()	Upper bound on this model's all-in cost as a fraction of referencePrice(com.quantfinlib.core.BarSeries, int) (spread + fees + slippage).

Method Details

onParentOrder

default void onParentOrder(Side side,
 long totalQuantity,
 int signalIndex)

Notification that a new parent order has been created (entry or exit). Stateful models (e.g. IcebergExecution) reset per-parent state here.

execute

List<Execution> execute(Side side,
 long requestedQty,
 BarSeries series,
 int index)

Executes up to requestedQty on this bar. Must never fill more than requested; may fill less (or nothing) — the remainder is retried on subsequent bars.

referencePrice

default double referencePrice(BarSeries series,
 int index)

The price this model's fills are anchored to on the given bar — the engine budgets entry requests as cash / (referencePrice * (1 + worstCaseCostFraction())). Default: the bar close. A model that fills off a different price point (e.g. LastLookExecution fills at the OPEN) must override this, or a gap between close and its actual anchor lets a fully-filled request overdraw cash.

worstCaseCostFraction

default double worstCaseCostFraction()

Upper bound on this model's all-in cost as a fraction of referencePrice(com.quantfinlib.core.BarSeries, int) (spread + fees + slippage). The engine uses it to size entries so that a fully-filled parent can never overdraw cash — a model whose fills can cost more than referencePrice * (1 + worstCaseCostFraction()) MUST override one or both methods, or the backtest silently trades on margin it doesn't have. Wrappers must DELEGATE both to the model that actually prices the fills. Default 1%.