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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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