Does not trade correctly when use Volume Filler
I found it did not work correctly when using the filler.
For example, I buy with a sizer of 3 every time, and set the filler to be FixedSize 1.
There should be three OrderExecutionBit Objects in order.executed, with index p1, p2.
However, I found 6 exbits were actually executed.
[exbit0, exbit1, exbit2]
- execute exbit0, (p1 = 0, p2 = 1, len = 1)
- execute exbit0, exbit1, (p1 = 0, p2 = 2, len = 2)
- execute exbit0, exbit1, exbit2 (p1 = 0, p2 = 3, len = 3)
It seems like p1 is set to 0 all the time, which might be the problem.
Anybody knows the reason?