LatestPriceFillModel

QuantConnect.Orders.Fills.LatestPriceFillModel

Bases: ImmediateFillModel

This fill model is provided for cases where the trade/quote distinction should be ignored and the fill price should be determined from the latest pricing information.

parameters

parameters: FillModelParameters

The parameters instance to be used by the different XxxxFill() implementations

This Property is protected.

python_wrapper

python_wrapper: FillModelPythonWrapper

This is required due to a limitation in PythonNet to resolved overriden methods. When Python calls a C# method that calls a method that's overriden in python it won't run the python implementation unless the call is performed through python too.

This Property is protected.

get_prices

get_prices(
    asset: Security, direction: OrderDirection
) -> Prices

Get the minimum and maximum price for this security in the last bar Ignore the Trade/Quote distinction - fill with the latest pricing information

This Class is protected.

Parameters:

Name	Type	Description	Default
asset	Security	Security asset we're checking	required
direction	OrderDirection	The order direction, decides whether to pick bid or ask	required

fill

fill(parameters: FillModelParameters) -> Fill

Return an order event with the fill details

Parameters:

Name	Type	Description	Default
parameters	FillModelParameters	A FillModelParameters object containing the security and order	required

Returns:

Type	Description
Fill	Order fill information detailing the average price and quantity filled.

combo_leg_limit_fill

combo_leg_limit_fill(
    order: Order, parameters: FillModelParameters
) -> List[OrderEvent]

Default combo limit fill model for the base security class. Fills at the limit price for each leg

Parameters:

Name	Type	Description	Default
order	Order	Order to fill	required
parameters	FillModelParameters	Fill parameters for the order	required

Returns:

Type	Description
List[OrderEvent]	Order fill information detailing the average price and quantity filled for each leg. If any of the fills fails, none of the orders will be filled and the returned list will be empty.

combo_limit_fill

combo_limit_fill(
    order: Order, parameters: FillModelParameters
) -> List[OrderEvent]

Default combo limit fill model for the base security class. Fills at the sum of prices for the assets of every leg.

Parameters:

Name	Type	Description	Default
order	Order	Order to fill	required
parameters	FillModelParameters	Fill parameters for the order	required

Returns:

Type	Description
List[OrderEvent]	Order fill information detailing the average price and quantity filled for each leg. If any of the fills fails, none of the orders will be filled and the returned list will be empty.

combo_market_fill

combo_market_fill(
    order: Order, parameters: FillModelParameters
) -> List[OrderEvent]

Default combo market fill model for the base security class. Fills at the last traded price for each leg.

Parameters:

Name	Type	Description	Default
order	Order	Order to fill	required
parameters	FillModelParameters	Fill parameters for the order	required

Returns:

Type	Description
List[OrderEvent]	Order fill information detailing the average price and quantity filled for each leg. If any of the fills fails, none of the orders will be filled and the returned list will be empty.

get_market_fill_price

get_market_fill_price(
    asset: Security,
    order: Order,
    prices: Prices,
    subscription_configs: List[
        SubscriptionDataConfig
    ] = None,
) -> float

Gets the fill price for a market order. A hour/daily market order that was resting before the current bar opened - it predates the bar, e.g. it was placed after the previous close or while waiting for fresh data - fills at the bar open (the price when trading resumed, like a MarketOnOpenOrder) instead of the bar close. An order placed during the bar still fills at the current price.

This Class is protected.

Parameters:

Name	Type	Description	Default
asset	Security	Security being filled	required
order	Order	Order being filled	required
prices	Prices	The prices for the bar being filled on	required
subscription_configs	List[SubscriptionDataConfig]	The subscription configs for the security, including internal configurations. When not provided, they are fetched from the configuration provider	None

get_prices_checking_python_wrapper

get_prices_checking_python_wrapper(
    asset: Security, direction: OrderDirection
) -> Prices

This is required due to a limitation in PythonNet to resolved overriden methods. get_prices

This Class is protected.

get_subscribed_types

get_subscribed_types(asset: Security) -> HashSet[Type]

Get data types the Security is subscribed to

This Class is protected.

Parameters:

Name	Type	Description	Default
asset	Security	Security which has subscribed data types	required

get_subscription_data_configs

get_subscription_data_configs(
    asset: Security,
) -> List[SubscriptionDataConfig]

Gets the subscription data configs for the security, including internal configurations. Even though data from internal configurations is not sent to the algorithm.OnData, it still drives the security cache and the data used for the fill. This is specially relevant for the continuous contract underlying mapped contracts, which are internal configurations.

This Class is protected.

Parameters:

Name	Type	Description	Default
asset	Security	Security to get the subscription configs for	required

is_exchange_open

is_exchange_open(
    asset: Security, is_extended_market_hours: bool
) -> bool

Determines if the exchange is open using the current time of the asset

This Class is protected.

limit_fill

limit_fill(
    asset: Security, order: LimitOrder
) -> OrderEvent

Default limit order fill model in the base security class.

Parameters:

Name	Type	Description	Default
asset	Security	Security asset we're filling	required
order	LimitOrder	Order packet to model	required

Returns:

Type	Description
OrderEvent	Order fill information detailing the average price and quantity filled.

limit_if_touched_fill

limit_if_touched_fill(
    asset: Security, order: LimitIfTouchedOrder
) -> OrderEvent

Default limit if touched fill model implementation in base class security. (Limit If Touched Order Type)

Parameters:

Name	Type	Description	Default
asset	Security		required
order	LimitIfTouchedOrder		required

Returns:

Type	Description
OrderEvent	Order fill information detailing the average price and quantity filled.

market_fill

market_fill(
    asset: Security, order: MarketOrder
) -> OrderEvent

Default market fill model for the base security class. Fills at the last traded price.

Parameters:

Name	Type	Description	Default
asset	Security	Security asset we're filling	required
order	MarketOrder	Order packet to model	required

Returns:

Type	Description
OrderEvent	Order fill information detailing the average price and quantity filled.

market_on_close_fill

market_on_close_fill(
    asset: Security, order: MarketOnCloseOrder
) -> OrderEvent

Market on Close Fill Model. Return an order event with the fill details

Parameters:

Name	Type	Description	Default
asset	Security	Asset we're trading with this order	required
order	MarketOnCloseOrder	Order to be filled	required

Returns:

Type	Description
OrderEvent	Order fill information detailing the average price and quantity filled.

market_on_open_fill

market_on_open_fill(
    asset: Security, order: MarketOnOpenOrder
) -> OrderEvent

Market on Open Fill Model. Return an order event with the fill details

Parameters:

Name	Type	Description	Default
asset	Security	Asset we're trading with this order	required
order	MarketOnOpenOrder	Order to be filled	required

Returns:

Type	Description
OrderEvent	Order fill information detailing the average price and quantity filled.

set_python_wrapper

set_python_wrapper(
    python_wrapper: FillModelPythonWrapper,
) -> None

Used to set the FillModelPythonWrapper instance if any

should_wait_for_fresh_data

should_wait_for_fresh_data(
    asset: Security,
    subscription_configs: List[
        SubscriptionDataConfig
    ] = None,
) -> bool

Determines whether a market order filling on stale data should wait for fresh data instead of filling on the stale price. This is only done for coarse resolutions (hour/daily), where the stale bar is the previous close and a fresh bar (the next close/open) is expected. For minute/second/tick subscriptions the previous behavior is kept (fill on the stale price with a warning), since stale data there represents a genuine gap rather than a bar still forming.

This Class is protected.

Parameters:

Name	Type	Description	Default
asset	Security	Security being filled	required
subscription_configs	List[SubscriptionDataConfig]	The subscription configs for the security, including internal configurations. When not provided, they are fetched from the configuration provider	None

should_wait_for_fresh_data_on_stale

should_wait_for_fresh_data_on_stale(
    asset: Security,
    data_end_time_utc: Union[datetime, date],
    order_time_utc: Union[datetime, date],
    subscription_configs: List[
        SubscriptionDataConfig
    ] = None,
) -> bool

Determines whether a market order that would be filled on stale data should wait for fresh data instead of filling on the stale price. The order waits when the latest available data is more than one subscribed resolution span behind the order submission time, i.e. the data is older than a single bar so a newer one is still expected. This is independent of the time of day: it covers the market open (the first bar of the session has not been emitted yet) as well as any intraday data gap larger than the resolution.

Coarse resolutions (hour/daily) always wait, since there the stale bar is the previous close and the gap to the order time can be smaller than the resolution while a fresh bar is still expected. Tick subscriptions never wait, since there is no bar to expect.

This Class is protected.

Parameters:

Name	Type	Description	Default
asset	Security	Security being filled	required
data_end_time_utc	Union[datetime, date]	End time, in UTC, of the latest data available for the fill	required
order_time_utc	Union[datetime, date]	Order submission time, in UTC	required
subscription_configs	List[SubscriptionDataConfig]	The subscription configs for the security, including internal configurations. When not provided, they are fetched from the configuration provider	None

stop_limit_fill

stop_limit_fill(
    asset: Security, order: StopLimitOrder
) -> OrderEvent

Default stop limit fill model implementation in base class security. (Stop Limit Order Type)

Parameters:

Name	Type	Description	Default
asset	Security	Security asset we're filling	required
order	StopLimitOrder	Order packet to model	required

Returns:

Type	Description
OrderEvent	Order fill information detailing the average price and quantity filled.

stop_market_fill

stop_market_fill(
    asset: Security, order: StopMarketOrder
) -> OrderEvent

Default stop fill model implementation in base class security. (Stop Market Order Type)

Parameters:

Name	Type	Description	Default
asset	Security	Security asset we're filling	required
order	StopMarketOrder	Order packet to model	required

Returns:

Type	Description
OrderEvent	Order fill information detailing the average price and quantity filled.

trailing_stop_fill

trailing_stop_fill(
    asset: Security, order: TrailingStopOrder
) -> OrderEvent

Default trailing stop fill model implementation in base class security. (Trailing Stop Order Type)

Parameters:

Name	Type	Description	Default
asset	Security	Security asset we're filling	required
order	TrailingStopOrder	Order packet to model	required

Returns:

Type	Description
OrderEvent	Order fill information detailing the average price and quantity filled.