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Hi, I am trying to implement a custom fill model that overrides ComboLimitOrder.
I have been unable to find any examples implementing a custom fill model that overrides ComboLimitOrder, and the documentation here does not list this function as being available to override.
My own testing indicates this override is simply ignored.
Is it possible to override ComboLimitOrder in a custom fill model, and if so, how?
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Mia Alissi
Based on the information provided in the extracts, it appears that the
ComboLimitOrderis a type of order that can be placed, but it is not a method that can be overridden in a custom fill model.In the Key Concepts documentation, it is mentioned that to implement your own fill model, you should extend the
FillModelclass and override the methods you wish to change. However, the methods listed for overriding are specific to different types of orders such asMarketFill,LimitFill,StopMarketFill, etc. TheComboLimitOrderis not listed as a method that can be overridden.Here is an example of how to create a custom fill model in Python:
If you want to change the behavior of how a
ComboLimitOrderis filled, you might need to implement this logic in the methods that handle the individual order types that make up the combo order.However, this is based on the information available in the extracts and there might be more details in the full documentation or other resources. If you need more specific guidance, I would recommend reaching out to the QuantConnect community or support for more detailed assistance.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Nathaniel
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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