In my backtest, I am seeing multiple fills for orders placed as limit and market.
Specifically a $10k trade in SPEX on 8/14/13 was opened as a limit at 8:52, and 8:56am, and then closed MKT at 12:59 pm and the following day's open.
I'm guessing that my order size is higher than the volume in the minute bar and that you limit fills to some percent of volume.
Is that correct?
Is there a way to modify that behavior, I think for back-testing, I'm more concerned about getting the right price and time than estimating liquidity (market orders especially!).
karl