So finally I found a clue about how to get better/faster orders. In this thread, Nab talks about about 93% fill rate when he uses FOK/IOC LMT through Interactive Brokers.


From IB's description in this page,  they are saying that partial fill comes with this feature! This makes it even better because now you don't have to track the volume, or handle workflow and all kinds of logics to track orders etc. - instead you can simply submit orders at full capacity and let the broker fill it at the highest possible number of shares and cancel the rest.



Now my question is, is there any way in LEAN to place an order with Fill-Or-Kill and/or Immediate-Or-Cancel?