Struct MidpointFillModel 

pub struct MidpointFillModel;

Fills at the midpoint of best bid and best ask.

Falls back to order_price, then last_price when the book is incomplete.

Useful when modelling execution quality between taker (crossing spread) and maker (resting at the limit), or when bid/ask data is always available in the backtest feed.

Note on order_price (limit orders)

Unlike BidAskFillModel, this model does not honour order_price when both bid and ask are present — it always fills at the midpoint regardless of the limit price. When the book is incomplete (only one side present or neither), order_price is preferred over last_price to avoid a fill at a worse price than the limit due to a stale last-trade price (above the limit for buys, below the limit for sells).

The caller is responsible for invoking fill_price only when a limit order is marketable (i.e., the limit has already been crossed). Using MidpointFillModel for strategies that require limit-price guarantees may result in fills at the midpoint rather than the limit.

Trait Implementations

impl Clone for MidpointFillModel

fn clone(&self) -> MidpointFillModel

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for MidpointFillModel

impl Debug for MidpointFillModel

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

Formats the value using the given formatter.

impl Default for MidpointFillModel

fn default() -> MidpointFillModel

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for MidpointFillModel

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Eq for MidpointFillModel

impl FillModel for MidpointFillModel

fn fill_price( &self, _side: Side, order_price: Option<Decimal>, best_bid: Option<Decimal>, best_ask: Option<Decimal>, last_price: Option<Decimal>, ) -> Option<Decimal>

impl Hash for MidpointFillModel

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 MidpointFillModel

fn cmp(&self, other: &MidpointFillModel) -> 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.

impl PartialEq for MidpointFillModel

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

Tests for self and other values to be equal, and is used by ==.

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

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl PartialOrd for MidpointFillModel

fn partial_cmp(&self, other: &MidpointFillModel) -> 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 MidpointFillModel

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 MidpointFillModel