SmartQuant Discussion

Automated Quantitative Strategy Development, SmartQuant Product Discussion and Technical Support Forums
It is currently Wed Sep 23, 2020 6:26 am

All times are UTC + 3 hours




Post new topic Reply to topic  [ 2 posts ] 
Author Message
 Post subject: Maximum Fill Size
PostPosted: Sat Sep 05, 2020 8:37 am 
Offline

Joined: Mon Apr 02, 2018 1:39 pm
Posts: 22
Hi,

I was wondering if it was possible to make the execution simulator send fills back to an order with a maximum fill size.
So, for example, I send an order to buy at limit price of 3500 , 10 contracts of ES. I set a maximum fill size of 1 contract - I would like 10 fills back of 1 lot.

Does that make sense?

Thanks


Top
 Profile  
 
 Post subject: Re: Maximum Fill Size
PostPosted: Mon Sep 07, 2020 10:06 am 
Offline

Joined: Wed May 05, 2010 9:49 pm
Posts: 578
Hello,
it is not possible in ExecutionSimulator.
You can implement this feature in SellSide strategy of OpenQuant2014, look at demo solution called VWAP.


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 2 posts ] 

All times are UTC + 3 hours


Who is online

Users browsing this forum: No registered users and 1 guest


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB® Forum Software © phpBB Group