A signal is a decision; a fill is what the market gives you for it. The gap between them, the price you get against the price you saw, is often what separates a strategy that works on paper from one that works. This page explains how AlgoLift turns each order into a fill, and what it charges for it.
Trade or Book fills
Under Fills in Run settings, choose how orders are filled:
- Trade, the default, fills each order at the price of the print it lands on. There is no slippage, so the commission is the only cost. It ignores the spread and the size of the print: any size fills at that price.
- Book fills against the order book as it stood just before the print, the ten best levels on the far side. An entry, a stop or an exit walks those levels until its size is filled and pays their average price, so slippage is measured, not assumed. It costs twice the credits.
With Book fills, three more things happen:
- A target fills at its own price, with no check of the depth behind it.
- A large entry can fill partly. If ten levels can't take its size, the trade opens smaller. Exits always fill their whole size.
- An entry waits for a normal spread. If the spread is unusually wide for that time of day when the entry fires, it tries again for up to a second while the signal holds, and is skipped if the spread doesn't settle.
The orders it supports
Entries are market orders. The Entry node's limit option isn't simulated yet: a limit entry fills like a market order. There are no stop or stop-limit entries.
Exits come from a Bracket Order on each entry:
- A stop and a target, fixed when the trade fills, measured from the fill price, the signal bar's high or low, or a level, by points or a multiple of a value. The target can be turned off.
- Stop modes: Fixed, Trailing, Armed trailing, Breakeven and ATR trailing, recalculated on every print.
- A time exit, after a number of minutes or bars, at a clock time, or a set time before the close.
- An exit condition, one per leg.
- Several legs to scale out at different targets.
A trade can also be closed for it: at the end of the Daily Time Window, by a daily limit or the drawdown limit, by a regime change, at a month's end with Parallel on, and when the data ends.
How each fill is priced
| The order | When it triggers | The price, with Trade fills |
|---|---|---|
| Entry | On its signal's print | That print's price |
| Stop | The first print at or through the stop | That print's price, which in a fast market or across a gap can be well past the stop |
| Target | The first print at or through the target | That print's price, which can be better than the target (Book fills use the target's own price) |
| Exit condition, time exit, a forced close | The print that triggers it | That print's price |
A bracket can't trigger on the print that opened the trade. An entry whose stop or target would already be crossed at its fill price is undone and tried again on the next print.
With latency set, each order instead fills on the first print after its delay.
The same print
The engine walks the prints in order, so whichever level the market reaches first is hit first. Only when the stop and the target are both crossed by the same print does the engine have to choose, and it chooses the stop, the cautious answer. On one print, the order is: the stop, then the target, then an exit condition, then a time exit.
Slippage and commission
Slippage is how far the fill's average price landed from a reference print: the signal's print for an entry, the triggering print for an exit. Results show it in dollars. With Trade fills it is always zero.
Commission is charged once per contract or share for the whole trade, in and out, when the trade closes: it is a round-trip rate, in dollars. Each market starts with a typical rate you can change in Account & Risk. Set it as a fixed amount: a percent rate is charged as that many dollars today.