Class LimitFillRandom

Namespace

Balsam

Assembly

Balsam.Backtester.dll

Fills are determined by FillProbability when limit price equals extreme of the bar.

public class LimitFillRandom : LimitFillModel, ICloneable

Inheritance

object

LimitFillModel

LimitFillRandom

Implements

ICloneable

Inherited Members

LimitFillModel.PriceCross

LimitFillModel.PriceTouch

LimitFillModel.FillAtLimitPrice

LimitFillModel.AllowFillOutsideOfRange

LimitFillModel.FillAtLimitTimeout

LimitFillModel.Clone()

LimitFillModel.GetFill(Order, Bar, SimulationTime)

LimitFillModel.OnGetFill(Order, Bar, SimulationTime)

LimitFillModel.OnClone()

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)

Constructors

LimitFillRandom()

Instantiates a new random limit fill model.

public LimitFillRandom()

LimitFillRandom(double)

Instantiates a new random limit fill model with the specified fill probability.

public LimitFillRandom(double fillProbability)

Parameters

fillProbability double

Properties

FillProbability

Gets/sets the probability a limit order will be filled when the limit price is equal to the low of the bar for buys (high of the bar for sells).

public double FillProbability { get; set; }

Property Value

double

FillProbabilitySeed

Gets/sets the seed for the random number generator used to fill limit orders. Specify a seed value in order to get reproducible results.

public int FillProbabilitySeed { get; set; }

Property Value

int

Methods

GetFillProbability()

Returns a random number from 0 to 1 from a thread-safe random number generator.

protected double GetFillProbability()

Returns

double

OnPriceEqualsLimit(Order, Bar, SimulationTime)

This method is called when price exactly equals limit. Currently returns true if random number between 0 and 1 is less than the fill probability.

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

Parameters

order Order

bar Bar

simulationTime SimulationTime

Returns

bool