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A simpler and better "Fill processing"
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A simpler and better "Fill processing"
Could it be possible to program this type of filling for limit orders?
When an order is submitted, besides the regular fields, it should include the actual size of Bid/Ask of the instrument, so the simulated filled could be considered if according to market dynamics, the actual size went below of X% of the Size when the order was is.sued. I think it could be a more realistic approach.
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