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all or none order?
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all or none order?
Hello. I'm working in unmanaged framework. The problem i'm having is that when I submit an order, I typically get a large number of partial fills, and each one of those has a stop and profit target associated with it. My broker (Interactive Broker) only lets me work a certain number of orders at a time, and so due to the large number of partials and associated stops/ targets I quickly exceed that quota. Is there anyway to specify a minimum fill size when I'm submitting the order so I can avoid this. Any other work around you can think of?Tags: None
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Hello stewarco,
Thank you for the post.
In this case, you wouldnt necessarily be able to avoid the partial fills if the market allows for it. This is based on the volume available and the quantities you are using and order type used. The fill will be determined by the market and there is no way to modify that. What you submit and what is available at that time will determine if there is a partial fill or not. There is not really a way to set a minimum fill amount if you are using a market order or an order type that can partially fill other than using less quantity that can't partially fill at the time it is submitted.
To solve the stop order issue, you would likely need to use logic and only submit your stop/target when you have either X % of the total quantity filled or just when you reach your total quantity. For example, if you had a total quantity of 100, and get partial fills of small amounts like 10 you may want to accumulate those fills until you reach a maximum like 50 and then submit one set of targets for 50. Later when you reach 100, you could change the orders to the total quantity. Alternatively, you could wait for the full fill and ignore partial fills, then submit the targets only when you have a full fill. This is going to be highly dependant on your logic, your goals and the market in this case.
I look forward to being of further assistance.JesseNinjaTrader Customer Service
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