github-featured / quantconnect--lean

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  • 15636 a309322ae5
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    Fix `CustomPartialFillModelAlgorithmFails.cs/py` (#7321)

    frostbyte_neo 发布于 2023-06-20 13:46:11 +00:00 | 1359 次提交 在此版本后已推送到 master

    • Fix bug

    The algorithm CustomPartialFillModelAlgorithm.cs was not working as
    expected with short orders because in its Fill model, the variable
    absoluteRemaining instead of decrease was being increased since
    the FillQuantity in each call to this method was negative. Therefore
    when this amount was substracted to absoluteRemaining, instead of
    substract, it was added. Hence the method created more partial orders
    than expected, specifically: 580 short orders for SPY with Quantity -10.

    • Fix CustomPartialFillModelAlgorithm.py

    • Address required changes

    • Nit change

    • Address required changes

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