Market Order Fills

Market orders are the simplest order type. They fill at the next bar's open.

Fill Price Calculation

Fill Price = Next Bar Open × (1 + slippage × direction)

Where:

direction = +1 for buys (slippage works against you)
direction = -1 for sells

Example

Configuration:

// Backtest settings
{
  slippage: 0.001  // 0.1%
}

Bar i+1 opens at 100:

Market buy fills at: 100 × 1.001 = 100.10
Market sell fills at: 100 × 0.999 = 99.90

Guaranteed Fill

Market orders always fill (assuming sufficient balance). They cannot:

Partially fill
Be rejected
Expire

Gap Handling

If the market gaps significantly, market orders still fill at the open:

Bar i: Close = 100
Bar i+1: Open = 110 (10% gap up)
→ Market buy placed on Bar i fills at 110 (plus slippage)

This models reality: market orders in gapping markets can have significant slippage.

Code Example

function onBar(ctx, i) {
  if (q.crossOver(ctx.ind.fastEma, ctx.ind.slowEma, i)) {
    // Order placed here...
    ctx.order.market('ASSET', 1, { signal: 'buy' });
    // ...fills on bar i+1 at open ± slippage
  }
}

Fill Confirmation

You can track fills using state:

function init(ctx) {
  ctx.state.prevQty = 0;
}

function onBar(ctx, i) {
  const pos = ctx.position('ASSET');
  
  // Detect fill by comparing to previous bar
  if (pos.qty > 0 && ctx.state.prevQty === 0) {
    // Just entered a position
    ctx.state.entryBar = i;
    ctx.state.entryPrice = pos.avgPrice;
  }
  
  ctx.state.prevQty = pos.qty;
}