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Execution Models

Execution models are responsible for turning strategy intent into fills with realistic cost and latency. RegimeFlow wires execution through ExecutionFactory.

Model Diagram

flowchart LR
  A[Order] --> B[Execution Model]
  B --> C[Slippage]
  B --> D[Commission]
  B --> E[Impact]
  B --> F[Latency]
  B --> G[Fill]

Model Types

  • Basic: default model that combines slippage, commission, impact, and latency.
  • Plugin: custom execution models via execution_model plugins.

Cost Components

  • 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: fixed latency in milliseconds.

See guide/execution-models.md for configuration.