Enum FillModel 

pub enum FillModel {
    TakerAtClose,
    Resting,
}

How the replay engine turns orders into fills.

Selected via BacktestConfig::fill_model (builder: .fill_model(FillModel::…)). Defaults to FillModel::TakerAtClose, the engine’s historical behaviour — existing backtests are bit-identical with the default.

Variants

TakerAtClose

Legacy single-candle fills (the default).

Market / IOC / FOK entries and closes fill as takers at the decision candle’s close. Limit / post-only entries fill only if the decision candle itself crosses the level (marketability judged against the candle open; a marketable limit fills at the open as taker, a marketable post-only is rejected) and are dropped otherwise — nothing rests across candles. Protective brackets require both SL and TP legs and fill at their fixed level even when a candle gaps through it.

Resting

Honest resting-order semantics.

Orders reach the synthetic book at the decision candle’s close (the market price at decision time), so the decision candle can never fill a resting order — its range printed before the order existed (no lookahead).

• Market entries and closes fill at the decision close as takers, same as legacy.
• Limit / post-only entries marketable at the close fill immediately at the close as takers (a marketable post-only is rejected). Non-marketable ones rest (GTC) and fill on the first later candle that crosses the level: at the limit price on a cross, or at that candle’s open when the candle gaps through the level — never at a better price than the market offered. Resting fills are makers: maker fee rate, no slippage.
• IOC / FOK entries that are not marketable at the close are cancelled (the engine has no book depth, so both fill in full or not at all).
• Protective stops trigger on a cross and fill at the stop level or worse (gap through → that candle’s open), as takers with slippage. Take-profits are resting limits: level on a cross, open on a gap (price improvement), maker fee, no slippage. Standalone (stop-only or TP-only) brackets are honoured — legacy mode requires both legs.
• Same-candle ambiguity (multiple levels inside one candle’s range, OHLC path unknown) resolves to the worse outcome for the strategy: the stop leg fires before the take-profit leg; on the candle a resting entry fills, its attached stop may fire on that same candle, but its take-profit only becomes eligible from the next candle.
• At most one resting entry per symbol: any later non-Hold decision that passes the risk gates cancels it (cancel-and-replace, where the replacement may be nothing).

Trait Implementations

impl Clone for FillModel

fn clone(&self) -> FillModel

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for FillModel

impl Debug for FillModel

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for FillModel

fn default() -> FillModel

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for FillModel

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Eq for FillModel

impl PartialEq for FillModel

fn eq(&self, other: &FillModel) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl Serialize for FillModel

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for FillModel