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zbxxxx
 Post subject: Maximum Fill Size
PostPosted: Sat Sep 05, 2020 8:37 am 
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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
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skuvv
 Post subject: Re: Maximum Fill Size
PostPosted: Mon Sep 07, 2020 10:06 am 
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Joined: Wed May 05, 2010 9:49 pm
Posts: 583
Hello,
it is not possible in ExecutionSimulator.
You can implement this feature in SellSide strategy of OpenQuant2014, look at demo solution called VWAP.
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