I think I am right in saying that a custom fill model can only be set where you know upfront what stocvks you will be trading and can set the custom models in "Initialise"?

self.security.SetFeeModel(CustomFeeModel(self))
self.security.SetFillModel(CustomFillModel(self))
self.security.SetSlippageModel(CustomSlippageModel(self))

That being the case, if I want to trade a set of stocks which will vary from day to day based on the Course and Fine Filter modules, would I be right in thinking that I would have to start from scratch and (by way of example) design a series of buy or sell orders which stretch over my given time frame (resolution second or minute) and assume an order will be filled in say 10 different mini orders spread 1 minute or 1 second apart?

I guess many people must have done something like that here?