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Hi everyone!
I'm trying to create a custom fill model for market orders where the quantity filled is equal to the current bar's volume, if the order isn't filled, it should throw out the partially filled status.
However, for some reason, the order is getting filled 2 times (with the current bar's volume) before moving onto the next bar. The same issue occurred with the code that @Jared Broad posted in the link attached to this thread.
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Li Cheng
Sorry, I forgot to attach a backtest. Here's also a screenshot to illustrate what I meant.
Li Cheng
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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