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Model submit-side ack latency

The simulator can defer the ACCEPTED event until a sampled deadline after submitOrder(). This mirrors the cancel and replace ack models and lets backtests reproduce the race where market data moves between submission and the venue accepting the order.

Behavior

  • SUBMITTED fires immediately
  • The order is held aside, not yet placed in the book
  • At the sampled ack deadline: ACCEPTED fires + the order runs through the existing post-accept logic (POST_ONLY check, queue tracker registration, try-fill)
  • If POST_ONLY would cross the book at acceptance time, the order is REJECTED with reject_reason = "late_post_only_crossed"

Configure

Two BacktestConfig knobs:

  • submitAckLatencyNs — base ack delay. Default 0 preserves the legacy synchronous flow.
  • submitAckJitterNs — uniform jitter band, clamped non-negative.

RNG sampling shares cancelAckSeed.

The bindings expose the pair as one SimulatedExecutor setter, set_submit_ack_latency(latency_ns, jitter_ns=0). BacktestRunner's constructor takes only (registry, fee_rate, initial_capital) and owns its executor internally, so from Python / Node the knob applies to a SimulatedExecutor you drive yourself — a standalone one, or PaperBroker.simulated_executor. Set BacktestConfig in C++ to change the knob for a BacktestRunner.

import flox_py as flox

ex = flox.SimulatedExecutor()
ex.set_submit_ack_latency(5_000_000, 2_000_000)   # 5 ms ± 2 ms

const ex = new flox.SimulatedExecutor();
ex.setSubmitAckLatency(5_000_000, 2_000_000);

flox::BacktestConfig cfg;
cfg.submitAckLatencyNs = 5'000'000;
cfg.submitAckJitterNs  = 2'000'000;
flox::BacktestRunner runner(cfg);

Detect the race from a strategy

"""Detect submit-side late-cross rejections from a strategy."""
import flox_py as flox


class Watcher(flox.Strategy):
    def __init__(self, symbols):
        super().__init__(symbols)
        self.post_only_failures = 0

    def on_order_update(self, ctx, ev):
        if (ev.status == "REJECTED" and
                ev.reject_reason == "late_post_only_crossed"):
            self.post_only_failures += 1

Notes

  • The order does not participate in queue matching or fills before ACCEPTED. Trades arriving during the ack window do not consume it.
  • Conditional orders (stop / TP / trailing) follow the same async path when submitAckLatencyNs > 0. They reach PENDING_TRIGGER at the ack deadline, not at submit time.
  • The clock source is the engine's simulated clock; live runs follow whichever clock the connector attached.