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Does not trade correctly when use Volume Filler



  • Hi community,

    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.

    like,
    [exbit0, exbit1, exbit2]

    1. execute exbit0, (p1 = 0, p2 = 1, len = 1)
    2. execute exbit0, exbit1, (p1 = 0, p2 = 2, len = 2)
    3. 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?


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