nkaz001
Issue of submitting multiple orders repeatedly in IOC mode
When testing my strategy, I found that there was an error in submitting multiple orders when opening a position. When printing the order details, I found that exch_timestamp was always 0. Is this a bug, or is there a problem with my data? In addition, I want to know whether the time unit in ConstantLatency is nanoseconds or something else? I am using the rust version 0.3.2.
0/Order { qty: 0.36029544226265536, leaves_qty: 0.36029544226265536, price_tick: 277550, tick_size: 0.01, side: Buy, time_in_force: IOC, exch_timestamp: 0, status: None, local_timestamp: 1724490016927000000, req: New, exec_price_tick: 0, exec_qty: 0.0, order_id: 0, maker: false, order_type: Limit }
0/Order { qty: 0.36029544226265536, leaves_qty: 0.36029544226265536, price_tick: 277550, tick_size: 0.01, side: Buy, time_in_force: IOC, exch_timestamp: 0, status: None, local_timestamp: 1724490016927000000, req: New, exec_price_tick: 0, exec_qty: 0.0, order_id: 0, maker: false, order_type: Limit }
1/Order { qty: 0.36029544226265536, leaves_qty: 0.36029544226265536, price_tick: 277550, tick_size: 0.01, side: Buy, time_in_force: IOC, exch_timestamp: 0, status: None, local_timestamp: 1724490017027000000, req: New, exec_price_tick: 0, exec_qty: 0.0, order_id: 1, maker: false, order_type: Limit }
2/Order { qty: 0.7205908845253107, leaves_qty: 0.7205908845253107, price_tick: 278331, tick_size: 0.01, side: Sell, time_in_force: IOC, exch_timestamp: 0, status: None, local_timestamp: 1724490017127000000, req: New, exec_price_tick: 0, exec_qty: 0.0, order_id: 2, maker: false, order_type: Limit }
Please see the document. NoPartialFillExchange and PartialFillExchange
The supported order types and time-in-force options vary depending on the exchange model. IOC and FOK are only supported in the PartialFillExchange.
However, liquidity-taking orders may show greater discrepancies, as they have a higher chance of causing market impact, which isn't modeled and is very difficult to simulate accurately in the backtester.
