CoachA fill model decides from market data whether a working order executes, at what price and for what quantity. The touch fill fills a limit order in full when a bar trades at its price; the penetration fill only when the bar trades a given number of ticks beyond it; a volume participation cap limits the quantity filled in a bar to a share of the bar’s volume.
Quantitative Finance · Glossary
What is Fill model, touch fill, penetration fill, volume participation cap?
Also known as: fill model · touch fill · penetration fill · volume participation cap