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Maximum Fill Size http://www.smartquant.com/forums/viewtopic.php?f=43&t=15008 |
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Author: | zbxxxx [ Sat Sep 05, 2020 8:37 am ] |
Post subject: | Maximum Fill Size |
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 |
Author: | skuvv [ Mon Sep 07, 2020 10:06 am ] |
Post subject: | Re: Maximum Fill Size |
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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