Class InstantExecution

java.lang.Object

com.quantfinlib.backtest.InstantExecution

All Implemented Interfaces:

ExecutionModel

public final class InstantExecution
extends Object
implements ExecutionModel

Baseline execution model: the full quantity fills at the bar close with commission and slippage folded into the all-in price — equivalent to the classic Backtester fill assumption.

Constructor Summary

Constructors

Constructor	Description
InstantExecution(double commissionRate, double slippageRate)

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.
static InstantExecution	from(BacktestConfig config)
double	worstCaseCostFraction()	Upper bound on this model's all-in cost as a fraction of ExecutionModel.referencePrice(com.quantfinlib.core.BarSeries, int) (spread + fees + slippage).

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface com.quantfinlib.backtest.ExecutionModel

onParentOrder, referencePrice

Constructor Details

InstantExecution

public InstantExecution(double commissionRate,
 double slippageRate)

Method Details

from

public static InstantExecution from(BacktestConfig config)

worstCaseCostFraction

public double worstCaseCostFraction()

Description copied from interface: ExecutionModel

Upper bound on this model's all-in cost as a fraction of ExecutionModel.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%.

Specified by:

worstCaseCostFraction in interface ExecutionModel

execute

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

Description copied from interface: ExecutionModel

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.

Specified by:

execute in interface ExecutionModel