Class LimitFillModel

Namespace

Balsam

Assembly

Balsam.Backtester.dll

Abstract base class for limit fill models that control how limit orders are filled.

public abstract class LimitFillModel : ICloneable

Inheritance

object

LimitFillModel

Implements

ICloneable

Derived

LimitFillRandom

PriceCrossLimit

PriceTouchLimit

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Extension Methods

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Properties

AllowFillOutsideOfRange

Gets/sets whether orders can be filled on the closing price when it is outside of the day's range.

public bool AllowFillOutsideOfRange { get; set; }

Property Value

bool

FillAtLimitPrice

Gets/sets whether limit orders are filled at the limit price even if the market gaps through the limit.

public bool FillAtLimitPrice { get; set; }

Property Value

bool

FillAtLimitTimeout

Gets/sets the amount of time an order must be active before it can be filled on a gap open instead of at the limit price. This allows for fills on bonafide gaps even when FillAtLimitPrice is true. Defaults to one day.

public TimeSpan FillAtLimitTimeout { get; set; }

Property Value

TimeSpan

PriceCross

Price must cross limit to receive a fill.

public static LimitFillModel PriceCross { get; }

Property Value

LimitFillModel

PriceTouch

Price must touch limit to receive a fill.

public static LimitFillModel PriceTouch { get; }

Property Value

LimitFillModel

Methods

Clone()

Returns a copy of this limit fill model.

public LimitFillModel Clone()

Returns

LimitFillModel

GetFill(Order, Bar, SimulationTime)

Called when a limit order is processed.

public double? GetFill(Order order, Bar bar, SimulationTime simulationTime)

Parameters

order Order

bar Bar

simulationTime SimulationTime

Returns

double?

OnClone()

Returns a shallow copy using MemberwiseClone().

protected LimitFillModel OnClone()

Returns

LimitFillModel

OnGetFill(Order, Bar, SimulationTime)

Contains the core limit order fill simulation logic. Override this method to completely change order handling logic.

protected virtual double? OnGetFill(Order order, Bar bar, SimulationTime simulationTime)

Parameters

order Order

bar Bar

simulationTime SimulationTime

Returns

double?

OnPriceEqualsLimit(Order, Bar, SimulationTime)

This method is called when attempting to buy the low or sell the high of a bar. Override to determine whether the order fills or not.

protected abstract bool OnPriceEqualsLimit(Order order, Bar bar, SimulationTime simulationTime)

Parameters

order Order

bar Bar

simulationTime SimulationTime

Returns

bool