Supported Models

The following table describes the fill price of market orders for each data format and order direction:

The model only fills market orders if the exchange is open and it immediately fills them. If your algorithm places a market order at 10 AM, it fills at 10 AM.

The following table describes the fill logic of limit orders for each data format and order direction:

The model won't fill limit orders with stale data or data with the order timestamp to avoid look-ahead bias.

The model converts a limit if touched order to a limit order when the trigger condition is met. The following table describes the trigger condition of limit if touched orders for each data format and order direction:

Once the limit if touched order triggers, to fill the order, the model checks the bid price for buy orders and the ask price for sell orders.

To get the bid price, the model uses the following procedure:

1. If the subscription provides Tick data and the most recent batch of ticks contains a buy quote, use the bid price of the most recent quote tick.
2. If the subscription provides QuoteBar data, use the closing bid price of the most recent QuoteBar.

To get the ask price, the model uses the following procedure:

1. If the subscription provides Tick data and the most recent batch of ticks contains a sell quote, use the ask price of the most recent quote tick.
2. If the subscription provides QuoteBar data, use the closing ask price of the most recent QuoteBar.

If neither of the preceding procedures yield a result, the model uses the following procedure to get the bid or ask price:

1. If the subscription provides Tick data and the most recent batch of ticks contains a tick of type TickType.Trade, use the last trade price.
2. If the subscription provides TradeBar data, use the closing bid price of the most recent QuoteBar.

Buy orders fill when the bid price <= limit price and sell orders fill when the ask price >= limit price. The order fills at the limit price. The model won't trigger or fill limit if touched orders with stale data or data with the order timestamp to avoid look-ahead bias.

The following table describes the fill logic of stop market orders for each data format and order direction. Once the stop condition is met, the model fills the orders and sets the fill price.

The model only fills stop market orders when the exchange is open.

The model won't fill stop market orders with stale data or data with the order timestamp to avoid look-ahead bias.

The following table describes the fill logic of stop limit orders for each data format and order direction. Once the stop condition is met, the model starts to check the fill condition. Once the fill condition is met, the model fills the orders and sets the fill price.

The model won't fill stop limit orders with stale data or data with the order timestamp to avoid look-ahead bias.

The following table describes the fill logic of trailing stop orders for each data format and order direction. Once the stop condition is met, the model fills the orders and sets the fill price.

While the stop condition is not met, the model updates the stop price under certain conditions. The following table shows the update condition and stop price value for currency-based trailing amounts:

The following table shows the update condition and stop price value for percentage-based trailing amounts.

The model only fills trailing stop orders when the exchange is open.

The model won't fill trailing stop orders with stale data or data with the order timestamp to avoid look-ahead bias.

The following table describes the fill price of market on open orders for each data format and order side:

The model won't fill market on open orders during pre-market hours.

The model won't fill market on open orders with stale data or data with the order timestamp to avoid look-ahead bias.

The following table describes the fill price of market on close orders for each data format and order side:

The model won't fill market on close orders with stale data or data with the order timestamp to avoid look-ahead bias.

The following table describes the fill price of combo market orders for each data format and order direction:

The model only fills combo market orders if all the following conditions are met:

• The exchange is open
• The data isn't stale
• All the legs can fill in the same time step after the order time step

The fill quantity of each leg is the product of the leg order quantity and the combo market order quantity.

To fill combo limit orders, the fill model calculates the aggregate price of the combo order, which is the sum of prices for each security in the order legs. The price of each security is a function of the data format and order direction. Legs with a positive order quantity increase the aggregate price and legs with a negative quantity decrease the aggregate price. The following table shows how the fill model calculates the security prices.

After the fill model calculates the aggregate price of the combo order, it checks if it should fill the order. The following table describes the fill condition of the combo order and the fill price price of each leg:

The model only fills combo limit orders if the data isn't stale and all the legs can fill in the same time step after the order time step. The fill quantity of each leg is the product of the leg order quantity and the combo order quantity.

The following table describes the fill logic of combo leg limit orders for each data format and order direction. The order direction in the table represents the order direction of the order leg, not the order direction of the combo order.

The model only fills combo leg limit orders if all the following conditions are met:

• The exchange is open
• The data isn't stale
• All the legs can fill in the same time step after the order time step

The fill quantity is the product of the leg order quantity and the combo order quantity.