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Execution Model

The engine simulates realistic execution:

  • Latency: configurable delay between order submission and fill
  • Slippage: basis‑point or custom models
  • Commission: per‑share or percentage models
  • Order types: market, limit, stop, stop‑limit

The simulator processes events in time order across symbols to avoid look‑ahead bias.

Fee Models

GlowBack supports two fee models via FeeModel:

Model Use Case Fields
PerShare Equities, commodities per_share, percentage, minimum
MakerTaker Crypto, FX maker_fee_pct, taker_fee_pct

Use ExecutionConfig::for_asset_class() for sensible defaults per asset class.

Market Hours

Market hours are asset-class-aware via MarketHours::for_asset_class():

  • Crypto: 24/7 — no market close, weekends active
  • Forex: 24 hours on weekdays (Sunday evening – Friday evening)
  • Equity: US market hours (14:00–21:00 UTC, weekdays only)