Class ImmediateFill

java.lang.Object

com.wualabs.qtsurfer.engine.strategy.backtest.simulation.ImmediateFill

All Implemented Interfaces:

FillPolicy

public class ImmediateFill
extends Object
implements FillPolicy

The DEFAULT FillPolicy: every signal fills on the same tick it was raised on — reproducing today's inline fill timing byte-for-byte. The pending queue that would call resolvePending(MarketHintSignal, Ticker) for non-immediate policies is wired in P3, so this policy never has resolvePending(MarketHintSignal, Ticker) invoked in practice.

Constructor Summary

Constructors

Constructor	Description
ImmediateFill()

Method Summary

Modifier and Type	Method	Description
boolean	isImmediate(MarketHintSignal signal)	Returns whether the given signal fills immediately (same tick), or must be queued and resolved against a later tick.
BigDecimal	resolvePending(MarketHintSignal signal, Ticker ticker)	Resolves the price at which a queued (non-immediate) signal fills against the given ticker, or null if it does not resolve yet.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

ImmediateFill

public ImmediateFill()

Method Details

isImmediate

public boolean isImmediate(MarketHintSignal signal)

Description copied from interface: FillPolicy

Returns whether the given signal fills immediately (same tick), or must be queued and resolved against a later tick.

Specified by:

isImmediate in interface FillPolicy

Parameters:

signal - the market hint signal (buy/sell) about to be routed to an executor

Returns:

true if the signal should fill on the current tick

resolvePending

public BigDecimal resolvePending(MarketHintSignal signal,
 Ticker ticker)

Description copied from interface: FillPolicy

Resolves the price at which a queued (non-immediate) signal fills against the given ticker, or null if it does not resolve yet. Only consulted for signals where FillPolicy.isImmediate(MarketHintSignal) returned false; the pending queue that calls this is wired in P3.

Specified by:

resolvePending in interface FillPolicy

Parameters:

signal - the pending market hint signal

ticker - the current tick being evaluated against the pending signal

Returns:

the resolved execution price, or null if still pending