Execution Flow

Execution is modeled explicitly so backtests reflect realistic cost and fill behavior.

Execution Diagram

sequenceDiagram
  participant Strategy
  participant Engine
  participant Execution
  participant Portfolio

  Strategy->>Engine: submit_order
  Engine->>Execution: apply slippage/commission/impact
  Execution->>Engine: fill
  Engine->>Portfolio: update positions + cash

Steps

1. Strategy submits an order via StrategyContext.
2. The execution pipeline applies slippage, commission, impact, and latency.
3. Fills update the portfolio and metrics.

Execution Configuration

Execution is configured under execution.* and implemented by ExecutionFactory:

• Slippage models: zero, fixed_bps, regime_bps.
• Commission models: zero, fixed.
• Transaction cost models: zero, fixed_bps, per_share, per_order, tiered.
• Market impact models: zero, fixed_bps, order_book.
• Latency model: latency.ms.

See guide/execution-models.md for full config details.