SmartQuant Discussion

Maximum Fill Size
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Author:  zbxxxx [ Sat Sep 05, 2020 8:37 am ]
Post subject:  Maximum Fill Size


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?


Author:  skuvv [ Mon Sep 07, 2020 10:06 am ]
Post subject:  Re: Maximum Fill Size

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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