Execution Models¶

Execution models convert strategy intent into fills while modeling cost and latency. Configuration is under execution.

Execution Model¶

execution.model or execution.type selects a model.
basic is the built-in model and supports slippage, commission, market impact, and latency.
Plugins can provide custom execution models.

Slippage¶

Config keys:

execution.slippage.type: zero, fixed_bps, regime_bps, or plugin name.
execution.slippage.bps for fixed_bps.
execution.slippage.default_bps for regime_bps.
execution.slippage.regime_bps.<regime> per-regime bps.

Commission¶

Config keys:

execution.commission.type: zero, fixed, or plugin name.
execution.commission.amount for fixed.

Transaction Cost¶

Config keys:

execution.transaction_cost.type: zero, fixed_bps, per_share, per_order, tiered.
execution.transaction_cost.bps for fixed_bps.
execution.transaction_cost.per_share for per_share.
execution.transaction_cost.per_order for per_order.
execution.transaction_cost.maker_rebate_bps and execution.transaction_cost.taker_fee_bps for maker_taker.
execution.transaction_cost.tiers for tiered with bps and optional max_notional.

Market Impact¶

Config keys:

execution.market_impact.type: zero, fixed_bps, order_book.
execution.market_impact.bps for fixed_bps.
execution.market_impact.max_bps for order_book.

Latency¶

execution.latency.ms adds a fixed latency model.

Backtest Simulation¶

Execution can also control how OHLC bars are replayed during backtests:

execution.simulation.bar_mode: close_only, open_only, or intrabar_ohlc.
execution.simulation.tick_mode: synthetic_ticks or real_ticks.
execution.simulation.synthetic_tick_profile: bar_close, bar_open, or ohlc_4tick.

close_only uses the bar close, open_only uses the bar open, and intrabar_ohlc replays a deterministic synthetic path so resting orders can react to the bar range even when no tick stream is available.

synthetic_ticks turns each bar into an internal execution tick stream. bar_close emits one synthetic tick at the close, bar_open emits one at the open, and ohlc_4tick emits an ordered four-price path. real_ticks prefers live tick/quote/order-book events for execution; once a symbol has seen real tick-like data, later bars no longer trigger fills for that symbol.

Fill Policy And Drift Controls¶

The execution pipeline can also enforce broker-style fill handling for orders that do not already request IOC or FOK explicitly.

execution.policy.fill: preserve, return, ioc, or fok.
execution.policy.max_deviation_bps: allowed adverse move before a drift rule is applied.
execution.policy.price_drift_action: ignore, reject, or requote.

return keeps the residual quantity working, ioc cancels any remainder, and fok rejects the order if it cannot be completed in full.

When max_deviation_bps is set, RegimeFlow compares the current executable price to the order's requested price when the order becomes executable:

reject fails the order when the move exceeds the allowed deviation.
requote emits an order update with the new executable price and waits for the next market event before retrying.

Latency now gates when an order becomes eligible for execution. The execution pipeline records the order's activation time as created_at + latency, then evaluates fills, rejects, or requotes only when market data reaches or passes that timestamp.

Queue Position And Maker/Taker¶

RegimeFlow can simulate resting queue position for limit orders that become maker orders at the touch.

execution.queue.enabled: enable queue progression.
execution.queue.progress_fraction: fraction of visible queue cleared on each qualifying touch event.
execution.queue.default_visible_qty: fallback displayed size when quotes/books do not expose one.
execution.queue.depth_mode: top_only, price_level, or full_depth.

When enabled:

a resting limit order that fills exactly at its limit price advances through a simulated queue first
if the queue is not yet depleted, the order stays live
once the simulated queue is cleared, the fill is marked as maker
if the market moves through the limit price before the queue clears, the fill is marked as taker

top_only uses only the best visible same-side level, price_level uses the resting order's own price level even when it is not at the top of book, and full_depth sums better-priced same-side levels plus the order's own price level.

Smart Order Routing¶

Smart routing can auto-convert market orders to limit orders when spreads are tight and tag orders with a default venue. Routing settings live under execution.routing.

Config keys:

execution.routing.enabled enables routing.
execution.routing.mode: smart or none.
execution.routing.max_spread_bps: max spread for auto limit routing.
execution.routing.passive_offset_bps: limit price offset for passive routes.
execution.routing.aggressive_offset_bps: limit price offset for aggressive routes.
execution.routing.default_venue: venue tag applied when none is supplied by the strategy.
execution.routing.venues: optional array of {name, weight} entries. The highest weight is used as the default venue tag.

Each venue entry can also carry venue-specific microstructure overrides:

maker_rebate_bps
taker_fee_bps
price_adjustment_bps
latency_ms
queue_enabled
queue_progress_fraction
queue_default_visible_qty
queue_depth_mode

These values are attached to routed child orders so split routing can simulate venue-specific queue, fee, latency, and executable-price behavior.

Routing uses the latest order book/quote when available and falls back to the last trade price.

Split Routing¶

Split routing fans a parent order into multiple child orders using the venue weights.

Config keys:

execution.routing.split.enabled enables splitting.
execution.routing.split.mode: parallel or sequential.
execution.routing.split.min_child_qty minimum quantity per child.
execution.routing.split.max_children cap on the number of child orders.
execution.routing.split.parent_aggregation: none, final, or partial.

The parent order acts as a routing container; child orders carry the per-venue quantities.

Time-In-Force Semantics¶

Time-in-force is configured per order via Order.tif:

DAY: orders expire at the first market event of the next calendar day.
IOC: fill immediately and cancel any remaining quantity.
FOK: reject if the order cannot be filled in full.
GTD: requires expire_at and cancels when the timestamp is reached.

Example¶

execution:
  model: basic
  slippage:
    type: fixed_bps
    bps: 1.0
  commission:
    type: fixed
    amount: 0.005
  transaction_cost:
    type: maker_taker
    maker_rebate_bps: 1
    taker_fee_bps: 2
  market_impact:
    type: order_book
    max_bps: 50
  latency:
    ms: 5
  simulation:
    tick_mode: real_ticks
    synthetic_tick_profile: ohlc_4tick
    bar_mode: intrabar_ohlc
  policy:
    fill: return
    max_deviation_bps: 25
    price_drift_action: requote
  queue:
    enabled: true
    progress_fraction: 0.5
    default_visible_qty: 10
    depth_mode: full_depth
  routing:
    enabled: true
    mode: smart
    max_spread_bps: 8
    passive_offset_bps: 0.0
    default_venue: lit_primary
    venues:
      - name: lit_primary
        weight: 0.6
      - name: lit_mid
        weight: 0.4