SPXW Custom Fill

Based on the provided code and the information from the knowledge sources, it seems like the MidPriceFillModel is correctly implemented and set for the SPX options. However, there are a few things to note:

1. The FillModel is used by the algorithm to simulate order fills during backtesting. It does not affect live trading. In live trading, order fills are determined by the exchange or broker (source).

2. The ComboMarketOrder and ComboLimitOrder are not listed as methods that can be overridden in the FillModel class. The methods listed for overriding are specific to different types of orders such as MarketFill, LimitFill, StopMarketFill, etc. (source).

3. The ComboLimitOrder and ComboMarketOrder are not standard order types in QuantConnect. If these are custom order types you've created, you need to ensure they are correctly implemented and handled in your fill model.

4. If you're still getting the same results with and without the SetFillModel line, it might be worth checking if the MidPriceFillModel is being correctly applied to the SPX options. You can do this by adding some logging statements in the MarketFill and LimitFill methods of your MidPriceFillModel to see if they are being called.

5. If the MidPriceFillModel is not being used, it could be due to an issue with the order types or the way the fill model is set for the SPX options. You might need to debug your code to find out what's going wrong.

Remember, this is a simplified analysis and may not cover all possible edge cases. You may need to add additional error checking and handling code to make this robust for a live trading environment.

https://www.quantconnect.com/docs/v2/writing-algorithms/reality-modeling/trade-fills/key-concepts

This shows the order types are accepted in the Custom Fill Model.

Hi Chris

A few issues:

1. You are trading on the option contracts not the canonical option symbol, so you'll need to set the fill model on a custom security initializer:

def Initialize(self):
    self.set_security_initializer(self.custom_security_initializer)
     
def custom_security_initializer(self, security):
    security.set_fill_model(MidPriceFillModel())

2. You need to override the combo_market_fill, combo_limit_fill method instead of market_fill and limit_fill.

3. Just letting you know the correct zero-fee model should be set as

def CustomSecurityInitializer(self, security):
    security.set_fee_model(ConstantFeeModel(fee=0))

Best
Louis