In This Page

Introduction

Market Orders

Limit Orders

Limit if Touched Orders

Stop Market Orders

Stop Limit Orders

Trailing Stop Orders

Market on Open Orders

Market on Close Orders

Combo Market Orders

Combo Limit Orders

Combo Leg Limit Orders

Supported Models

Equity Model

Introduction

The EquityFillModel is the default fill model if you trade Equity assets with the DefaultBrokerageModel. This fill model fills trades completely and immediately.

security.SetFillModel(new EquityFillModel());

security.set_fill_model(EquityFillModel())

The fill logic of each order depends on the order type, the data format of the security subscription, and the order direction. The following sections explain the fill logic of each order given these factors.

To view the implementation of this model, see the LEAN GitHub repository.

Market Orders

The model fills buy market orders at the best effort ask price plus slippage and fills sell market orders at the best effort bid price minus slippage.

To get the best effort bid price, the model uses the following procedure:

If the subscription provides Tick data and the most recent batch of ticks contains a buy quote, use the bid price of the most recent quote tick.
If the subscription provides QuoteBar data, use the closing bid price of the most recent QuoteBar.

To get the best effort ask price, the model uses the following procedure:

If the subscription provides Tick data and the most recent batch of ticks contains a sell quote, use the ask price of the most recent quote tick.
If the subscription provides QuoteBar data, use the closing ask price of the most recent QuoteBar.

If neither of the preceding procedures yield a result, the model uses the following procedure to get the best effort bid or ask price:

If the subscription provides Tick data and the most recent batch of ticks contains a tick of type TickType.Trade, use the last trade price.
If the subscription provides TradeBar data, use the closing bid price of the most recent QuoteBar.

The model only fills market orders during regular trading hours.

Limit Orders

To fill limit orders, the model first gets the best effort TradeBar. To get the best effort TradeBar, the model checks the resolution of your security subscription. If your subscription provies Tick data, it gets the most recent batch of trade ticks and consolidates them to build a TradeBar. If your subscription provies TradeBar data, it gets the most recent TradeBar. If the EndTimeend_time of the best effort TradeBar is less than or equal to the time you placed the order, the model waits until the next best effort TradeBar to fill the order.

Once the model has a valid best effort TradeBar, it can fill the order. The following table shows the fill condition and fill price of limit orders. The model only fills the order once the fill condition is met.

Order Direction	Fill Condition	Fill Price
Buy	low price < limit price	min(open price, limit price)
Sell	high price > limit price	max(open price, limit price)

The model only fills limit orders when the exchange is open.

The model won't fill limit orders with stale data or data with the order timestamp to avoid look-ahead bias.

Limit if Touched Orders

To fill limit if touched orders, the model first gets the best effort TradeBar. To get the best effort TradeBar, the model checks the resolution of your security subscription. If your subscription provies Tick data, it gets the most recent batch of trade ticks and consolidates them to build a TradeBar. If your subscription provies TradeBar data, it gets the most recent TradeBar. If the EndTimeend_time of the best effort TradeBar is less than or equal to the time you placed the order, the model waits until the next best effort TradeBar to fill the order.

After the model has a valid best effort TradeBar, it can check if the trigger price has been touched. The following table describes the trigger condition of limit if touched orders for each order direction:

Order Direction	Trigger Condition
Buy	low price <= trigger price
Sell	high price >= trigger price

Once the limit if touched order triggers, the model starts to check if it should fill the order. The following table shows the fill condition and fill price of limit if touched orders. The model only fills the order once the fill condition is met

Order Direction	Fill Condition	Fill Price
Buy	Best effort ask price <= limit price	min(best effort ask price, limit price)
Sell	Best effort bid price >= limit price	max(best effort bid price, limit price)

To get the best effort bid price, the model uses the following procedure:

If the subscription provides Tick data and the most recent batch of ticks contains a buy quote, use the bid price of the most recent quote tick.
If the subscription provides QuoteBar data, use the closing bid price of the most recent QuoteBar.

To get the best effort ask price, the model uses the following procedure:

If the subscription provides Tick data and the most recent batch of ticks contains a sell quote, use the ask price of the most recent quote tick.
If the subscription provides QuoteBar data, use the closing ask price of the most recent QuoteBar.

If neither of the preceding procedures yield a result, the model uses the following procedure to get the best effort bid or ask price:

If the subscription provides Tick data and the most recent batch of ticks contains a tick of type TickType.Trade, use the last trade price.
If the subscription provides TradeBar data, use the closing bid price of the most recent QuoteBar.

The model only fills limit orders when the exchange is open.

The model won't trigger or fill limit if touched orders with stale data.

Stop Market Orders

To fill stop market orders, the model first gets the best effort TradeBar. To get the best effort TradeBar, the model checks the resolution of your security subscription. If your subscription provies Tick data, it gets the most recent batch of trade ticks and consolidates them to build a TradeBar. If your subscription provies TradeBar data, it gets the most recent TradeBar. If the EndTimeend_time of the best effort TradeBar is less than or equal to the time you placed the order, the model waits until the next best effort TradeBar to fill the order.

Once the stop condition is met, the model fills the orders and sets the fill price.

Once the model has a valid best effort TradeBar, it can fill the order. The following table shows the stop condition and fill price of stop market orders. The model only fills the order once the stop condition is met.

Order Direction	Fill Condition	Fill Price
Buy	high price >= stop price	max(open price, stop price) + slippage
Sell	low price <= stop price	min(open price, stop price) - slippage

The model only fills stop market orders during regular trading hours.

The model won't fill stop market orders with stale data or data with the order timestamp to avoid look-ahead bias.

Stop Limit Orders

The fill logic of stop limit orders depends on the data format of the security subscription and the order direction. The following table shows the fill price of stop limit orders given these factors. To determine the fill price of the order, the fill model first checks the most recent tick for the security. If your security subscription doesn't provide tick data, the fill model checks the most recent QuoteBar. If your security subscription doesn't provide quote data, the fill model checks the most recent TradeBar.

The following table describes how the fill model processes the order given the data format and order direction. Once the stop condition is met, the model starts to check the fill condition. Once the fill condition is met, the model fills the orders and sets the fill price.

Data Format	`TickType`	Order Direction	Stop Condition	Fill Condition	Fill Price
`Tick`	`Quote`	Buy	quote price > stop price	quote price < limit price	min(quote price, limit price)
`Tick`	`Quote`	Sell	quote price < stop price	quote price > limit price	max(quote price, limit price)
`Tick`	`Trade`	Buy	trade price > stop price	trade price < limit price	min(trade price, limit price)
`Tick`	`Trade`	Sell	trade price < stop price	trade price > limit price	max(trade price, limit price)
`QuoteBar`		Buy	ask high price > stop price	ask close price < limit price	min(ask high price, limit price)
`QuoteBar`		Sell	bid low price < stop price	bid close price > limit price	max(bid low price, limit price)
`TradeBar`		Buy	high price > stop price	close price < limit price	min(high price, limit price)
`TradeBar`		Sell	low price < stop price	close price > limit price	max(low price, limit price)

The model won't fill stop limit orders with stale data or data with the order timestamp to avoid look-ahead bias.

The model only fills stop limit orders when the exchange is open.

Trailing Stop Orders

To fill trailing stop orders, the model first gets the best effort TradeBar. To get the best effort TradeBar, the model checks the resolution of your security subscription. If your subscription provies Tick data, it gets the most recent batch of trade ticks and consolidates them to build a TradeBar. If your subscription provies TradeBar data, it gets the most recent TradeBar. If the EndTimeend_time of the best effort TradeBar is less than or equal to the time you placed the order, the model waits until the next best effort TradeBar to fill the order.

Once the stop condition is met, the model fills the orders and sets the fill price.

Once the model has a valid best effort TradeBar, it can fill the order. The following table shows the stop condition and fill price of trailing stop orders. The model only fills the order once the stop condition is met.

Order Direction	Fill Condition	Fill Price
Buy	high price >= stop price	max(open price, stop price) + slippage
Sell	low price <= stop price	min(open price, stop price) - slippage

While the stop condition is not met, the model updates the stop price under certain conditions. The following table shows the update condition and stop price value for currency-based trailing amounts:

Order Direction	Update Condition	Stop Price
Buy	stop price - low price <= trailing amount	low price + trailing amount
Sell	high price - stop price <= trailing amount	high price - trailing amount

The following table shows the update condition and stop price value for percentage-based trailing amounts:

Order Direction	Update Condition	Stop Price
Buy	stop price - low price <= low price * trailing amount	low price * (1 + trailing amount)
Sell	high price - stop price <= high price * trailing amount	high price * (1 - trailing amount)

The model only fills trailing stop orders during regular trading hours.

The model won't fill trailing stop orders with stale data or data with the order timestamp to avoid look-ahead bias.

Market on Open Orders

The following table describes the fill price of market on open orders for each data format and order direction:

Data Format	Order Direction	Fill Price
`Tick`	Buy	If the model receives the official opening auction price within one minute, the order fills at official open price + slippage. After one minute, the order fills at the most recent trade price + slippage. If the security doesn't trade within the first two minutes, the order fills at the best effort ask price + slippage.
`Tick`	Sell	If the model receives the official opening auction price within one minute, the order fills at the official open price - slippage. After one minute, the order fills at the most recent trade price - slippage. If the security doesn't trade within the first two minutes, the order fills at the best effort bid price - slippage.
`TradeBar`	Buy	Open price + slippage
`TradeBar`	Sell	Open price - slippage
`QuoteBar`	Buy	Best effort ask price + slippage
`QuoteBar`	Sell	Best effort bid price - slippage

The model checks the data format in the following order:

Tick
TradeBar
QuoteBar

To get the best effort bid price, the model uses the following procedure:

If the subscription provides Tick data and the most recent batch of ticks contains a buy quote, use the bid price of the most recent quote tick.
If the subscription provides QuoteBar data, use the closing bid price of the most recent QuoteBar.

To get the best effort ask price, the model uses the following procedure:

If the subscription provides Tick data and the most recent batch of ticks contains a sell quote, use the ask price of the most recent quote tick.
If the subscription provides QuoteBar data, use the closing ask price of the most recent QuoteBar.

If neither of the preceding procedures yield a result, the model uses the following procedure to get the best effort bid or ask price:

If the subscription provides Tick data and the most recent batch of ticks contains a tick of type TickType.Trade, use the last trade price.
If the subscription provides TradeBar data, use the closing bid price of the most recent QuoteBar.

Market on Close Orders

The following table describes the fill price of market on close orders for each data format and order direction:

Data Format	Order Direction	Fill Price
`Tick`	Buy	If the model receives the official closing auction price within one minute after the close, the order fills at official close price + slippage. After one minute, the order fills at the most recent trade price + slippage. If the security doesn't trade within the first two minutes, the order fills at the best effort ask price + slippage.
`Tick`	Sell	If the model receives the official closing auction price within one minute after the close, the order fills at the official close price - slippage. After one minute, the order fills at the most recent trade price - slippage. If the security doesn't trade within the first two minutes after the close, the order fills at the best effort bid price - slippage.
`TradeBar`	Buy	Open price + slippage
`TradeBar`	Sell	Open price - slippage
`QuoteBar`	Buy	Best effort ask price + slippage
`QuoteBar`	Sell	Best effort bid price - slippage

The model checks the data format in the following order:

Tick
TradeBar
QuoteBar

To get the best effort bid price, the model uses the following procedure:

If the subscription provides Tick data and the most recent batch of ticks contains a buy quote, use the bid price of the most recent quote tick.
If the subscription provides QuoteBar data, use the closing bid price of the most recent QuoteBar.

To get the best effort ask price, the model uses the following procedure:

If the subscription provides Tick data and the most recent batch of ticks contains a sell quote, use the ask price of the most recent quote tick.
If the subscription provides QuoteBar data, use the closing ask price of the most recent QuoteBar.

If neither of the preceding procedures yield a result, the model uses the following procedure to get the best effort bid or ask price:

If the subscription provides Tick data and the most recent batch of ticks contains a tick of type TickType.Trade, use the last trade price.
If the subscription provides TradeBar data, use the closing bid price of the most recent QuoteBar.

Combo Market Orders

The fill logic of combo market orders depends on the data format of the security subscription and the order direction. The following table shows the fill price of combo market orders given these factors. To determine the fill price of the order, the fill model first checks the most recent tick for the security. If your security subscription doesn't provide tick data, the fill model checks the most recent QuoteBar. If your security subscription doesn't provide quote data, the fill model checks the most recent TradeBar.

Data Format	`TickType`	Order Direction	Fill Price
`Tick`	`Quote`	Buy	Ask quote price + slippage
`Tick`	`Quote`	Sell	Bid quote price - slippage
`Tick`	`Trade`	Buy	Trade price + slippage
`Tick`	`Trade`	Sell	Trade price - slippage
`QuoteBar`		Buy	Ask close price + slippage
`QuoteBar`		Sell	Bid close price - slippage
`TradeBar`		Buy	Close price + slippage
`TradeBar`		Sell	Close price - slippage

The model only fills combo market orders if all the following conditions are met:

The exchange is open
The data isn't stale
All the legs can fill in the same time step after the order time step

The fill quantity of each leg is the product of the leg order quantity and the combo market order quantity.

Combo Limit Orders

The fill logic of combo limit orders depends on the data format of the security subscription and the order direction. To determine the fill price of the order, the fill model first checks the most recent tick for the security. If your security subscription doesn't provide tick data, the fill model checks the most recent QuoteBar. If your security subscription doesn't provide quote data, the fill model checks the most recent TradeBar.

To fill combo limit orders, the fill model calculates the aggregate price of the combo order, which is the sum of prices for each security in the order legs. The price of each security is a function of the data format and order direction. Legs with a positive order quantity increase the aggregate price and legs with a negative quantity decrease the aggregate price. The following table shows how the fill model calculates the security prices.

Data Format	`TickType`	Combo Order Direction	Leg Order Direction	Price
`Tick`	`Quote`	Buy or sell	Buy	Ask price
`Tick`	`Quote`	Buy or sell	Sell	Bid price
`Tick`	`Trade`	Buy or sell	Buy or sell	Trade price
`QuoteBar`		Buy	Buy	Ask low price
`QuoteBar`		Buy	Sell	Bid low price
`QuoteBar`		Sell	Buy	Ask high price
`QuoteBar`		Sell	Sell	Bid high price
`TradeBar`		Buy	Buy or sell	Low price
`TradeBar`		Sell	Buy or sell	High price

After the fill model calculates the aggregate price of the combo order, it checks if it should fill the order. The following table describes the fill condition of the combo order and the fill price price of each leg:

Data Format	`TickType`	Combo Order Direction	Fill Condition	Leg Order Direction	Fill Price
`Tick`	`Quote`	Buy	Aggregate price < combo limit price	Buy or sell	Quote price
`Tick`	`Quote`	Sell	Aggregate price > combo limit price	Buy or sell	Quote price
`Tick`	`Trade`	Buy	Aggregate price < combo limit price	Buy or sell	Trade price
`Tick`	`Trade`	Sell	Aggregate price > combo limit price	Buy or sell	Trade price
`QuoteBar`		Buy	Aggregate price < combo limit price	Buy	Ask low price
`QuoteBar`		Buy	Aggregate price < combo limit price	Sell	Bid low price
`QuoteBar`		Sell	Aggregate price > combo limit price	Buy	Ask high price
`QuoteBar`		Sell	Aggregate price > combo limit price	Sell	Bid high price
`TradeBar`		Buy	Aggregate price < combo limit price	Buy or sell	Low price
`TradeBar`		Sell	Aggregate price > combo limit price	Buy or sell	High price

The model only fills combo limit orders if the data isn't stale and all the legs can fill in the same time step after the order time step. The fill quantity of each leg is the product of the leg order quantity and the combo order quantity.

Combo Leg Limit Orders

The fill logic of combo leg limit orders depends on the data format of the security subscription and the order direction. The following table shows the fill price of combo leg limit orders given these factors. To determine the fill price of the order, the fill model first checks the most recent tick for the security. If your security subscription doesn't provide tick data, the fill model checks the most recent QuoteBar. If your security subscription doesn't provide quote data, the fill model checks the most recent TradeBar.

The order direction in the table represents the order direction of the order leg, not the order direction of the combo order.

Data Format	`TickType`	Order Direction	Fill Condition	Fill Price
`Tick`	`Quote`	Buy	Ask price < limit price	min(ask price, limit price)
`Tick`	`Quote`	Sell	Bid price > limit price	max(bid price, limit price)
`Tick`	`Trade`	Buy	Trade price < limit price	min(trade price, limit price)
`Tick`	`Trade`	Sell	Trade price > limit price	max(trade price, limit price)
`QuoteBar`		Buy	Ask low price < limit price	min(ask high price, limit price)
`QuoteBar`		Sell	Bid high price > limit price	max(bid low price, limit price)
`TradeBar`		Buy	Low price < limit price	min(high price, limit price)
`TradeBar`		Sell	High price > limit price	max(low price, limit price)

The model only fills combo leg limit orders if all the following conditions are met:

The exchange is open
The data isn't stale
All the legs can fill in the same time step after the order time step

The fill quantity is the product of the leg order quantity and the combo order quantity.

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Supported Models

Equity Model

Introduction

Market Orders

Limit Orders

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Combo Leg Limit Orders

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