FillModelPythonWrapper

QuantConnect.Python.FillModelPythonWrapper

FillModelPythonWrapper(model: Any)

Bases: FillModel

Wraps a PyObject object that represents a model that simulates order fill events

Constructor for initialising the FillModelPythonWrapper class with wrapped PyObject object

Parameters:

Name	Type	Description	Default
model	Any	Represents a model that simulates order fill events	required

parameters

parameters: FillModelParameters

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

This codeEntityType 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 codeEntityType is protected.

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.

fill

fill(parameters: FillModelParameters) -> Fill

Return an order event with the fill details

Parameters:

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

Returns:

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

get_prices

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

Get the minimum and maximum price for this security in the last bar:

This codeEntityType 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

limit_fill

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

Limit Fill Model. Return an order event with the fill details.

Parameters:

Name	Type	Description	Default
asset	Security	Stock Object to use to help model limit fill	required
order	LimitOrder	Order to fill. Alter the values directly if filled.	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

Limit if Touched Fill Model. Return an order event with the fill details.

Parameters:

Name	Type	Description	Default
asset	Security	Asset we're trading this order	required
order	LimitIfTouchedOrder	LimitIfTouchedOrder Order to Check, return filled if true	required

Returns:

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

market_fill

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

Model the slippage on a market order: fixed percentage of order price

Parameters:

Name	Type	Description	Default
asset	Security	Asset we're trading this order	required
order	MarketOrder	Order to update	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.

stop_limit_fill

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

Stop Limit Fill Model. Return an order event with the fill details.

Parameters:

Name	Type	Description	Default
asset	Security	Asset we're trading this order	required
order	StopLimitOrder	Stop Limit Order to Check, return filled if true	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

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

Parameters:

Name	Type	Description	Default
asset	Security	Asset we're trading this order	required
order	StopMarketOrder	Trailing Stop Order to check, return filled if true	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

Trailing Stop Fill Model. Return an order event with the fill details.

Parameters:

Name	Type	Description	Default
asset	Security	Asset we're trading this order	required
order	TrailingStopOrder	Stop Order to Check, return filled if true	required

Returns:

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

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 codeEntityType is protected.

get_subscribed_types

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

Get data types the Security is subscribed to

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
asset	Security	Security which has subscribed data types	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 codeEntityType is protected.

set_python_wrapper

set_python_wrapper(
    python_wrapper: FillModelPythonWrapper,
) -> None

Used to set the FillModelPythonWrapper instance if any