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IOC orders and Partial Fills
http://www.smartquant.com/forums/viewtopic.php?f=60&t=10653
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Author:  azuric [ Tue Dec 31, 2013 1:11 pm ]
Post subject:  IOC orders and Partial Fills

Does a partially filled IOC order fire of an OnOrderPartiallyFilled and OnOrderDone, OnOrderFilled?

Or does it fire OnOrderPartiallyFilled and OnOrderDone?

Also does it fire OnOrderCancelled?

or does it fire some other combination?

Author:  Alexei Kurov [ Fri Jan 03, 2014 1:59 pm ]
Post subject:  Re: IOC orders and Partial Fills

Hi,

OnOrderDone event will be raised in any case, but other events depend of situation.
There are possible situations:
1. full fill at once - OnOrderFilled
2. with partial fills - OnOrderPartiallyFilled (N times), OnOrderFilled
3. non full fill - OnOrderPartiallyFilled (N times), OnOrderCancelled
4. no fills - OnOrderCancelled

Author:  azuric [ Sat Jan 04, 2014 2:32 pm ]
Post subject:  Re: IOC orders and Partial Fills

But, in the case of IOC orders am I right in saying that it is not possible to have multiple partial fills, ie a partial fill occurs and the rest is cancelled.

So it should really only have the following situations:

1. Full fill at once - OnOrderFilled
2. Non Full fill - OnOrderPartiallyFilled(one time only), OnOrderCancelled
3. No Fills - OnOrderCancelled

Or am I missing something here?

Author:  Alexei Kurov [ Sat Jan 04, 2014 5:11 pm ]
Post subject:  Re: IOC orders and Partial Fills

azuric wrote:
But, in the case of IOC orders am I right in saying that it is not possible to have multiple partial fills, ie a partial fill occurs and the rest is cancelled.


I'm not sure, but I think that the following situation is possible:
For example, the best asks are 5@21.0, 10@23.0, 7@25.0 etc
You send IOC buy limit order - 20@24.0
You get two partial fills, for 5 and 10 shares, but 5 is cancelled, because price does not meet the condition anymore.

Author:  azuric [ Mon Jan 06, 2014 8:42 pm ]
Post subject:  Re: IOC orders and Partial Fills

Ahh I see your point, that is a possibility.

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