XXSim 0.17.0

Exchange Execution Simulator - stock exchange single bar execution simulator

XXSim

Exchange Execution Simulator — simulates order execution against OHLCV candlebar data.

Disclaimer

Own risk warning — Execution prices are best estimations based on worst-case scenarios and statistics. There will be price differences between simulations and real-world execution. By using this package the user acknowledges consent and takes full responsibility for any implications caused by errors or misinterpretation of results.

The challenge

The golden standard of market data comes in OHLCV candlebars (1-min, 5-min, daily, etc.). Within each bar, the intra-bar price path is unknown. Fill prices depend on rules and order formations that are hard to simulate exactly.

The solution

XXSim reconstructs a plausible intra-bar price path from OHLC data and evaluates orders against it, producing realistic fill prices within statistical uncertainty.

Supported order types

• MarketOrder
• LimitOrder
• StopOrder
• StopLimitOrder
• TrailingStopMarket
• TrailingStopLimit
• MarketOnCloseOrder (MOC) — fills at bar.close only on bars where BarData.is_close_bar=True

Not supported

• Limit-on-Close (LOC)
• Market-if-Touched (MIT)

Execution algorithm assumptions

• No partial fills — orders fill entirely or not at all
• Aggressive approach — order fills if there is any plausible price path through the bar that would trigger it
• Intra-bar price path for trailing stops:
  • Bullish bar (close > open): open → low → high → close
  • Bearish bar (close ≤ open): open → high → low → close
• Optional fill drift — volatility-based normal distribution drift, configurable via SimulatorConfig:
  • fill_drift_model="none" (default): deterministic fills at exact price
  • fill_drift_model="normal": drift drawn from N(0, bar_range / std_divider)
  • Result always clamped to [bar.low, bar.high]
  • Use random_seed for reproducible backtests
• goodAfterTime format: '%Y%m%d %H:%M:%S' with optional timezone suffix, e.g. '20260115 09:30:00 US/Eastern'

Installation

pip install XXSim

Usage

Single-Bar Execution

from XXSim import ExecutionEngine
from xtrading_models import MarketOrder, BarData
from datetime import datetime

engine = ExecutionEngine()
bar = BarData(
    date=datetime(2025, 1, 1, 9, 30),
    open=100.00, high=105.00, low=95.00, close=102.00, volume=1000000,
)
order = MarketOrder(action='BUY', totalQuantity=100)
fills = engine.execute(order, bar)
print(fills)

Multi-Bar Simulation

from XXSim import Simulator, SimulatorConfig
from xtrading_models import MarketOrder, LimitOrder

sim = Simulator()

# Register callbacks
sim.on_fill(lambda trade, fill: print(f"Filled: {fill.execution.price}"))
sim.on_cancel(lambda trade: print(f"Cancelled: {trade.log[-1].message}"))

# Submit orders
sim.submit_order(MarketOrder(action='BUY', totalQuantity=100))
sim.submit_order(LimitOrder(action='SELL', totalQuantity=100, price=110.0))

# Process bars
for bar in historical_bars:
    fills = sim.process_bar(bar)

Bracket Orders

from xtrading_models import MarketOrder, StopOrder, LimitOrder

entry = MarketOrder(action='BUY', totalQuantity=100)
stop_loss = StopOrder(action='SELL', totalQuantity=100, price=95.0)
take_profit = LimitOrder(action='SELL', totalQuantity=100, price=110.0)

entry.add_child(stop_loss)
entry.add_child(take_profit)

trade = sim.submit_order(entry)

The Simulator supports:

• TIF: GTC, DAY (expires on date change), GTD (expires after date)
• GAT: goodAfterTime — order inactive until the specified datetime
• OCO: ocaGroup — when one order fills, linked siblings are cancelled
• Bracket orders: child orders activate when parent fills
• Callbacks: on_fill, on_cancel, on_status, on_bar

Development

Running Tests

pytest tests/ -v

Visualizations

Stop-limit and trailing test cases can be visualized:

python docs/stop-limit-chart-generator.py test-data/stop-limit/<filename.csv>
python docs/trailing-stop-chart-generator.py test-data/trailing-stop/<filename.csv>

Contributing

Contributions are welcome! Please see the documentation in the docs folder for algorithm details and test specifications.