Class SorExecution

java.lang.Object

com.quantfinlib.backtest.SorExecution

All Implemented Interfaces:

ExecutionModel

public final class SorExecution
extends Object
implements ExecutionModel

Smart-order-routed execution over a synthetic fragmented market. Each bar, a top-of-book is derived from the bar (close ± half-spread; each venue's touch size = its liquidity share of the bar volume) and the parent order is split by SmartOrderRouter. Liquidity is finite per bar, so large parents fill across several bars — making liquidity cost and fill duration part of the backtest instead of an assumption.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	SorExecution.VenueConfig

Constructor Summary

Constructors

Constructor	Description
SorExecution(List<SorExecution.VenueConfig> venues, double halfSpreadBps, boolean preferDark)

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.
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

SorExecution

public SorExecution(List<SorExecution.VenueConfig> venues,
 double halfSpreadBps,
 boolean preferDark)

Method Details

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