quantlab.execution.rules.ExecutionReplay

class quantlab.execution.rules.ExecutionReplay(shares, cash, rejected, settled)

Bases: object

The holdings after each bar’s orders, and what happened to them.

Attributes:

sharesnp.ndarray

Signed shares of each symbol after each bar, on [T, S].

cashnp.ndarray

Cash after each bar, on [T].

rejected, settlednp.ndarray

Booleans on [T, S], as BarExecution reports them per bar.