Market order inner workings

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If a market order is partially filled, does the algo keep trying to purchase it until is completed? The below fill model implies that that is what happens.

https://github.com/QuantConnect/Lean/blob/55cfa85eb53e19b5e8ab19f4241c151fda6c5692/Algorithm.Python/CustomModelsAlgorithm.py

 

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The order can be filled all at once, or its often common to get partial fills on large orders. This is modeled in LEAN backtesting in the link above, or in live trading by partial fill events from your brokerage.

We don't "reattempt" to submit trades. We submit it once and the order is filled in pieces by the brokerage

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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.


If that is the case, why does the model above record how many shares are left to order? And in back or live testing, if using something like the VWAP Execution model, how often does the execute function run?

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Framework/Execution/VolumeWeightedAveragePriceExecutionModel.py

 

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It's recording the number of shares left to calculate the average fill price and mark the order status as filled. Nowhere in that code above does it "resubmit" the order. This is also a model so its meant to virtually simulate a partial fill. 

All framework classes run on the data frequency you've requested. Data sets the time pulse in a backtest.

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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.


Jared,

As a follow up on the VWAP execution model I have two additional questions. Note that I use Daily price data for my strategy.

1. VWAP uses intraday trading information to find good prices. Does the VWAP execution model work when the strategy is set to daily data?

2. If there is only a partial fill of the order at the end of the trading day, will the open quantity be cancelled or do I need to specifically close all open orders at the end of the day?

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Hi Goofball,

(1) The VolumeWeightedAveragePriceExecutionModel is designed to work with any data resolution. The resolution of the underlying VWAP indicator matches the resolution of the universe. When subscribing to daily data, the VWAP indicator value simply matches the daily closing price of the security. View the source code here and here for reference. For a visual representation, the plot in the attached backtest illustrates how frequently the VWAP indicator is reset.

(2) The VWAP execution model manages unordered quantities automatically. Refer to the source code.

Best,
Derek Melchin

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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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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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