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Override Option limit fill model

I am noticing that limit orders do not fill for a very long time regardless of the price you set. For example, I purchased an option using a limit order at the Ask price and it didn't fill until hours later in the backtest. In reality, I place option orders at 70 to 80% of the ask price and they will frequently fill within 10 or so minutes.

How do we change the default fill model for options?

Update Backtest








We have a section in our documentation that address this issue.
Here is how to do it for all securities and overriding the limit fill logic:

// Set the fill model for all securities in initialize:
SetSecurityInitializer(x => x.FillModel = new CustomFillModel());

// Custom fill model implementation stub
public class CustomFillModel : ImmediateFillModel {
public override OrderEvent LimitFill(Security asset, LimitOrder order) {
//Override order event handler and return custom order fills,
}
}

 

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Update Backtest





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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.


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