Struct SlippageConfig 

pub struct SlippageConfig(/* private fields */);

How far the simulated venue moves a taker fill against the order, as a fraction of the price the fill would otherwise get.

A buy fills at reference × (1 + s) and a sell at reference × (1 − s), where reference is what the venue’s FillModel priced the fill at, and s is a rate this configuration gives:

• none, the default: s = 0, and the fill is exactly the reference.
• fixed: the same s for every fill.
• uniform: a fresh s for each fill, drawn uniformly from [low, high], both ends included, from a random stream seeded by the configured seed.

The rate is a fraction rather than basis points, so 0.01 is one percent. Several percent per side is accepted, and so is anything up to but not including 1, past which a sell would fill at or below zero.

What it applies to

Every fill that takes liquidity: a market order, and a limit order that is marketable when it arrives. The venue clamps the slipped price to a limit order’s own limit, so slippage can cost a limit order its price improvement, but never fill it past its limit. A resting order that the market later reaches fills at its own limit exactly, with no slippage, as a maker’s fill does.

A slipped fill is not bounded by the bar’s or the book’s range: a large rate on a short bar can print outside that bar’s high and low. Capping it would silently erase most of the rate. Nor is it rounded to the instrument’s tick, which the venue does not know.

Reproducibility

uniform draws from its own generator, seeded by the u64 in this configuration and used for nothing else, so a run is reproducible from its seed: the same seed and the same sequence of orders give the same fill prices. The generator is xoshiro256++, which the rand crate documents as portable, and a test pins the rates a seed gives. One draw is made for each fill that trades: an order that is refused, cancelled on arrival or rests without trading takes none. A rate whose two ends are equal makes no draw at all, so a zero rate is identical to configuring no slippage.

A rate drawn between the two ends is rounded to RATE_DECIMAL_PLACES decimal places, a resolution far finer than any price tick. So with ends given to at most that many places, a slipped price carries at most that many more decimal places than the price it slipped.

Validation

The constructors refuse a rate outside 0 ≤ low ≤ high < 1, and so does deserialising one, so a SlippageConfig that exists is one the venue can apply.

Implementations

impl SlippageConfig

pub const fn none() -> Self

No slippage: every fill is exactly the price the fill model gives. The default.

pub fn fixed(rate: Decimal) -> Result<Self, SlippageConfigError>

The same rate for every fill.

Errors

Returns SlippageConfigError unless 0 ≤ rate < 1.

pub fn uniform( low: Decimal, high: Decimal, seed: u64, ) -> Result<Self, SlippageConfigError>

A rate drawn for each fill, uniformly from [low, high] with both ends included, from a generator seeded by seed.

Errors

Returns SlippageConfigError unless 0 ≤ low ≤ high < 1.

pub fn low(&self) -> Decimal

The lowest rate this configuration can give a fill: zero for none, the rate for fixed.

pub fn high(&self) -> Decimal

The highest rate this configuration can give a fill: zero for none, the rate for fixed.

pub fn seed(&self) -> Option<u64>

The seed of a uniform configuration, None for any other.

Trait Implementations

impl Clone for SlippageConfig

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for SlippageConfig

impl Debug for SlippageConfig

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

Formats the value using the given formatter.

impl Default for SlippageConfig

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for SlippageConfig

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Eq for SlippageConfig

impl Hash for SlippageConfig

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl Ord for SlippageConfig

fn cmp(&self, other: &Self) -> Ordering

This method returns an Ordering between self and other.

fn max(self, other: Self) -> Self

where Self: Sized,

Compares and returns the maximum of two values.

fn min(self, other: Self) -> Self

where Self: Sized,

Compares and returns the minimum of two values.

fn clamp(self, min: Self, max: Self) -> Self

where Self: Sized,

Restrict a value to a certain interval.

fn clamp_to<R>(self, range: R) -> Self

where Self: Sized, R: ClampBounds<Self>,

🔬This is a nightly-only experimental API. (clamp_to)

Restrict a value to a certain range.

impl PartialEq for SlippageConfig

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

Equality operator ==.

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

Inequality operator !=.

impl PartialOrd for SlippageConfig

fn partial_cmp(&self, other: &Self) -> Option<Ordering>

This method returns an ordering between self and other values if one exists.

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

Tests less than (for self and other) and is used by the < operator.

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

Tests less than or equal to (for self and other) and is used by the <= operator.

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

Tests greater than (for self and other) and is used by the > operator.

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

Tests greater than or equal to (for self and other) and is used by the >= operator.

impl Serialize for SlippageConfig

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 SlippageConfig