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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

mermaid 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.