Struct VolumeSensitiveFillModel 

pub struct VolumeSensitiveFillModel { /* private fields */ }

Fill model that adjusts liquidity based on recent trading volume. Uses 25% of recent volume at best price, unlimited one tick worse.

Implementations

impl VolumeSensitiveFillModel

pub fn new( prob_fill_on_limit: f64, prob_slippage: f64, random_seed: Option<u64>, ) -> Result<Self>

Creates a new VolumeSensitiveFillModel instance.

Errors

Returns an error if probability parameters are not in range [0, 1].

pub fn set_recent_volume(&mut self, volume: f64)

Trait Implementations

impl Clone for VolumeSensitiveFillModel

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for VolumeSensitiveFillModel

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

Formats the value using the given formatter.

impl Default for VolumeSensitiveFillModel

fn default() -> Self

Returns the “default value” for a type.

impl FillModel for VolumeSensitiveFillModel

fn is_limit_filled(&mut self) -> Result<bool>

Returns true if a limit order should be filled based on the model.

fn is_slipped(&mut self) -> Result<bool>

Returns true if an order fill should slip by one tick.

fn get_orderbook_for_fill_simulation( &mut self, instrument: &InstrumentAny, _order: &OrderAny, best_bid: Price, best_ask: Price, ) -> Result<Option<OrderBook>>

Returns a simulated OrderBook for fill simulation.

fn fill_limit_inside_spread(&self) -> Result<bool>

Returns whether limit orders at or inside the spread are fillable.