orders with big order shares does not fill

backtest date 2016-11-30, 9:40 am send SPY sell 3600 shares, only got filled 400 shares. Partial fill enabled.

Answer : orders only filled up to the current ask/bid print (level 1). It turns out on 2016-11-30 9:40am , the current bid size is 4. Therefore , the max order shared can be filled is 400.


  • mgmg Posts: 13
    edited December 2016

    Refer to this link for a description on Partial Fills

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