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Orders and Fills

Backtesting

The event-driven engines of the Python and C++ SDKs share one set of order types and fill rules, so the same strategy fills identically in both languages and on the Quatick server.

Order types

Type	Fills	Price
market	at the next bar’s open (this bar’s close with trade_on_close)	open (or close) plus slippage
limit	buy when price at or below the limit; sell at or above	the limit, or the open if it gapped through (maker fee)
stop	buy when price at or above the stop; sell at or below	the stop, or the open on a gap, plus slippage
stop_limit	a stop that then rests as a limit; may on one bar and fill on a later one	the price if within the limit, else the limit
trailing	a stop that follows the by trail_pct or trail_amount, updated at each close	like a stop

Order options

Option	Effect
sl / tp	bracket: when the order , a stop-loss and a take-profit are placed for the quantity , as an OCO pair
sl_pct / tp_pct	the same, as a percent from the fill price
reduce_only	may only the position: clipped to it, cancelled when the position is flat
oco	orders sharing a group each other when one
tif = "day"	expires after its first active bar
expire_bars	expires after this many active bars
tag	a label carried to the fill and the trade (entry_tag / exit_tag)

Timeline of a bar

Orders active on the bar are tested against its price and in the order the path reaches them.
The bar closes: trailing stops move, stop-limit triggers are remembered, expiring orders expire, equity is marked.
The limit is checked; if hit, open orders are cancelled, the position is closed at the next open and trading stops.
on_bar runs with bars up to this one and may send orders. They are active from the next bar (plus delay_bars). Bracket children are active from the bar after their entry .

The intrabar path

A bar only records open, high, low and close, so the engine assumes a : open → low → high → close on a bar that closed up and open → high → low → close on one that closed down. When a stop-loss and a take-profit both lie inside one bar, the one the reaches first and the other is cancelled. The rule is deterministic, so never depend on chance.

ℹ

Note:The assumption is conservative for longs on up bars (the low comes first, so stops are tested before targets) and optimistic for the opposite case. If many open and close inside one bar, test on a lower .

Accounting and risk

Setting	Effect
costs / slippage	the engine’s cost models (percent, per unit, per order, India schedules, crypto maker / taker) and slippage (bps, ticks, square-root impact); limit pay maker fees and no slippage
allow_short = false	sells beyond the position are clipped; a short entry is
max_leverage	orders that would raise gross exposure above this multiple of equity are (reason "margin")
max_participation	are capped at this share of the bar’s volume; the rest stays working
max_drawdown_stop_pct	flatten and halt at this from the equity peak
lot_size	helpers down to lots

are matched first-in first-out from the , costs are split across partial closes, and open positions are marked at the last close. Each trade records its maximum adverse and favourable excursion (MAE / MFE) in percent of the .

Appearance

Orders and Fills

Order types

Order options

Timeline of a bar

The intrabar path

Accounting and risk

See also

Related articles

Appearance

Order types

Order options

Timeline of a bar

The intrabar path

Accounting and risk

See also

Related articles

Related to Orders and Fills