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) -> bool

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

fn is_slipped(&mut self) -> 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, ) -> Option<OrderBook>

Returns a simulated OrderBook for fill simulation.

fn fill_limit_inside_spread(&self) -> bool

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

impl<'a, 'py> FromPyObject<'a, 'py> for VolumeSensitiveFillModel

where Self: Clone,

type Error = PyClassGuardError<'a, 'py>

The type returned in the event of a conversion error.

fn extract( obj: Borrowed<'a, 'py, PyAny>, ) -> Result<Self, <Self as FromPyObject<'a, 'py>>::Error>

Extracts Self from the bound smart pointer obj.

impl<'py> IntoPyObject<'py> for VolumeSensitiveFillModel

type Target = VolumeSensitiveFillModel

The Python output type

type Output = Bound<'py, <VolumeSensitiveFillModel as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PyClass for VolumeSensitiveFillModel

const NAME: &str = "VolumeSensitiveFillModel"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for VolumeSensitiveFillModel

const MODULE: Option<&str>

Module which the class will be associated with.

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

const RAW_DOC: &'static CStr = /// Fill model that adjusts liquidity based on recent trading volume. /// Uses 25% of recent volume at best price, unlimited one tick worse.

Docstring for the class provided on the struct or enum.

const DOC: &'static CStr

Fully rendered class doc, including the text_signature if a constructor is defined.

type Layout = <<VolumeSensitiveFillModel as PyClassImpl>::BaseNativeType as PyClassBaseType>::Layout<VolumeSensitiveFillModel>

Description of how this class is laid out in memory

type BaseType = PyAny

Base class

type ThreadChecker = ThreadCheckerImpl

This handles following two situations:

type Inventory = Pyo3MethodsInventoryForVolumeSensitiveFillModel

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<PyObjectOffset>

Used to provide the dictoffset slot (equivalent to tp_dictoffset)

fn weaklist_offset() -> Option<PyObjectOffset>

Used to provide the weaklistoffset slot (equivalent to tp_weaklistoffset

impl PyClassNewTextSignature for VolumeSensitiveFillModel

const TEXT_SIGNATURE: &'static str = "(prob_fill_on_limit=1.0, prob_slippage=0.0, random_seed=None)"

impl PyStubType for VolumeSensitiveFillModel

fn type_output() -> TypeInfo

The type to be used in the output signature, i.e. return type of the Python function or methods.

fn type_input() -> TypeInfo

The type to be used in the input signature, i.e. the arguments of the Python function or methods.

impl PyTypeInfo for VolumeSensitiveFillModel

const NAME: &str = <Self as ::pyo3::PyClass>::NAME

👎Deprecated since 0.28.0:

prefer using ::type_object(py).name() to get the correct runtime value

Class name.

const MODULE: Option<&str> = <Self as ::pyo3::impl_::pyclass::PyClassImpl>::MODULE

👎Deprecated since 0.28.0:

prefer using ::type_object(py).module() to get the correct runtime value

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

impl DerefToPyAny for VolumeSensitiveFillModel