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Hi everyone,
Does someone know how to do a custom fill model that fills order based on the set price of a limit order and a stopmarket order instead of getting the min and max between 2 prices as stated in the documentation?
Thanks,
Herald
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Derek Melchin
Hi Herald,
To change the fill price, we just need to take the template code and extend the definitions of the LimitFill and StopMarketFill methods. The methods of the base class already return OrderEvent objects, so we could just change their FillPrice properties. To view the definition of these methods in the base fill model class, see FillModel.cs in the LEAN GitHub repository.
Best,
Derek Melchin
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Herald L
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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