Hi all.
when ordering target amount or value, the order either gets filled completely or remains on the book.
I'm doing a pairs strategy and would like to have both orders filled or none, now the situation is that sometimes only one of the orders gets filled, and I would like them both to fill or both to remain on the order book.
Thank you!
Fill Multiple Orders at the Same Time or None
Look for 'Sold' in http://quantopian.com/posts/track-orders
At that point:
if o.amount < 0:
# sell its pair
# or if partial fill, the same value perhaps
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