quantlab.execution.rules.OrderPlan#

class quantlab.execution.rules.OrderPlan(target, size, price, sizing, fees, slippage, rejected, settle)[source]#

The orders the market accepts, one row per fill bar.

Every attribute has the shape of the weights it was planned from: [T, S] for a panel, [S] for one bar.

Attributes:

targetnp.ndarray: The weight each bar fills to, as asked; NaN where none is asked.
sizenp.ndarray: The target the market accepts: NaN where an order is rejected or none is sent, 0.0 where a holding is settled.
pricenp.ndarray: The order price: the fill price, last known one included, or the last valuation where a holding is settled.
sizingnp.ndarray: The price a target is sized against under the sizing basis.
fees, slippagenp.ndarray: The fee and slippage fractions of each order: the settings’, or 0.0 on a settlement.
rejectednp.ndarray: Booleans: a weight asked without a raw fill price or a sizing price.
settlenp.ndarray: Booleans: the bar after a symbol’s delisting.