QuantConnect.Algorithm.Framework.Execution.SpreadExecutionModel Class Reference

Execution model that submits orders while the current spread is in desirably tight extent. More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Execution.SpreadExecutionModel:

Public Member Functions
	SpreadExecutionModel (decimal acceptingSpreadPercent=0.005m)
	Initializes a new instance of the SpreadExecutionModel class More...
override void	Execute (QCAlgorithm algorithm, IPortfolioTarget[] targets)
	Submit orders for the specified portfolio targets if the spread is tighter/equal to preset level More...
Public Member Functions inherited from QuantConnect.Algorithm.Framework.Execution.ExecutionModel
virtual void	OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes)
	Event fired each time the we add/remove securities from the data feed More...

Protected Member Functions
virtual bool	PriceIsFavorable (Security security)
	Determines if the current spread is equal or tighter than preset level More...

Detailed Description

Execution model that submits orders while the current spread is in desirably tight extent.

Note this execution model will not work using Resolution.Daily since Exchange.ExchangeOpen will be false, suggested resolution is Resolution.Minute

Definition at line 28 of file SpreadExecutionModel.cs.

Constructor & Destructor Documentation

SpreadExecutionModel()

QuantConnect.Algorithm.Framework.Execution.SpreadExecutionModel.SpreadExecutionModel

(

decimal

acceptingSpreadPercent = 0.005m

)

Initializes a new instance of the SpreadExecutionModel class

Parameters

acceptingSpreadPercent

Maximum spread accepted comparing to current price in percentage.

Definition at line 37 of file SpreadExecutionModel.cs.

Member Function Documentation

Execute()

override void QuantConnect.Algorithm.Framework.Execution.SpreadExecutionModel.Execute ( QCAlgorithm  algorithm, IPortfolioTarget[]  targets  )

virtual

Submit orders for the specified portfolio targets if the spread is tighter/equal to preset level

Parameters

algorithm	The algorithm instance
targets	The portfolio targets to be ordered

Reimplemented from QuantConnect.Algorithm.Framework.Execution.ExecutionModel.

Definition at line 48 of file SpreadExecutionModel.cs.

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PriceIsFavorable()

virtual bool QuantConnect.Algorithm.Framework.Execution.SpreadExecutionModel.PriceIsFavorable ( Security  security )

protectedvirtual

Determines if the current spread is equal or tighter than preset level

Definition at line 82 of file SpreadExecutionModel.cs.

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The documentation for this class was generated from the following file:

• Algorithm.Framework/Execution/SpreadExecutionModel.cs