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trading.execution.backtester.orders.order_filler

trading.execution.backtester.orders.order_filler

OrderFiller 

OrderFiller(config: BacktesterConfig, event_bus: EventBus)

Fills all orders made by accepting OrderEvent instances and publishing filled events.

Initializes ExecutionEngine.

Parameters:

Name Type Description Default
config BacktesterConfig

The BacktesterConfig to determine fill behavior from.

 required
event_bus EventBus

The event bus to publish filled events to.

 required
Source code in src\contango\trading\execution\backtester\orders\order_filler.py 
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def __init__(
    self,
    config: BacktesterConfig,
    event_bus: EventBus
) -> None:
    """
    Initializes `ExecutionEngine`.

    Args:
        config: The `BacktesterConfig` to determine fill behavior from.
        event_bus: The event bus to publish filled events to.
    """
    self._config = config
    self._event_bus = event_bus

    self._last_market_event: MarketDataEvent | None = None
    self._last_portfolio_snapshot: PortfolioSnapshotEvent | None = None

collect_market_data 

collect_market_data(market_data: MarketDataEvent) -> None

Collects & stores the current market event upon the event being published.

Source code in src\contango\trading\execution\backtester\orders\order_filler.py 
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def collect_market_data(self, market_data: MarketDataEvent) -> None:
    """
    Collects & stores the current market event upon the event being published.
    """
    self._last_market_event = market_data

collect_portfolio_snapshot 

collect_portfolio_snapshot(event: PortfolioSnapshotEvent) -> None

Collects & stores the current portfolio snapshot upon the event being published.

Source code in src\contango\trading\execution\backtester\orders\order_filler.py 
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def collect_portfolio_snapshot(self, event: PortfolioSnapshotEvent) -> None:
    """
    Collects & stores the current portfolio snapshot upon the event being published.
    """
    self._last_portfolio_snapshot = event

fill_order_event 

fill_order_event(order_event: OrderEvent) -> None

Publishes an accepted or rejected filled event order whenever an OrderEvent is created.

Parameters:

Name Type Description Default
order_event OrderEvent

The order event to process & create a FillOrder for.

 required

Raises:

Type Description
RuntimeError

Upon an order being made before required events being injected into the OrderFiller.
Source code in src\contango\trading\execution\backtester\orders\order_filler.py 
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def fill_order_event(self, order_event: OrderEvent) -> None:
    """
    Publishes an accepted or rejected filled event order whenever an `OrderEvent` is created.

    Args:
        order_event: The order event to process & create a `FillOrder` for.

    Raises:
        RuntimeError: Upon an order being made before required events being injected into the `OrderFiller`.
    """
    market_event = self._last_market_event
    portfolio_snapshot = self._last_portfolio_snapshot

    if market_event is None:
        raise RuntimeError("Tried to execute orders before market event was registered in the order filler.")
    if portfolio_snapshot is None:
        raise RuntimeError("Tried to execute orders before a portfolio snapshot was registered in the order filler.")

    fill_price = self._resolve_fill_price(market_event)
    price_with_slippage = self._apply_slippage(order_event, fill_price)
    commission = self._calculate_commission(order_event)

    order_cost = price_with_slippage * order_event.quantity
    total_cost = order_cost + commission

    # Any prohibited behavior (these are intentionally separated as they will likely be allowed in later updates).
    invalid_reason = self._validate_position_transition(order_event, portfolio_snapshot)
    if invalid_reason is not None:
        self._event_bus.publish(RejectedFillEvent(
            timestamp=market_event.timestamp,
            market_event=market_event,
            order_event=order_event,
            reason=invalid_reason
        ))
        return

    if total_cost > portfolio_snapshot.cash:
        self._event_bus.publish(RejectedFillEvent(
            timestamp=market_event.timestamp, 
            market_event=market_event,
            order_event=order_event,
            reason="Insufficient available cash (slippage & commission applied)"
        ))
        return

    if order_event.quantity + portfolio_snapshot.position < 0:
        self._event_bus.publish(RejectedFillEvent(
            timestamp=market_event.timestamp, 
            market_event=market_event,
            order_event=order_event,
            reason="Insufficient position"
        ))
        return

    fill_event = AcceptedFillEvent(
        timestamp=market_event.timestamp,
        market_event=market_event,
        order_event=order_event,
        fill_price=fill_price,
        total_cost=total_cost
    )

    self._event_bus.publish(fill_event)