HFTrade Volume Limits and Partial Fills in High-Frequency Backtests

Summary

This short support discussion explains why HFTrade applies a volume limit during high-frequency backtests and why that setting can prevent an order from filling completely. The discussion says volume caps may be poorly suited to minute and tick data, where traded volume is often small, and notes that opening the setting for user adjustment was being evaluated.

A user’s example points to the configured limit as the cause of a partial fill: the reported filled quantity was one quarter of the requested amount, matching the default limit described in the post. The discussion also raises another possible constraint: the maximum volume available in a minute bar. It gives no instructions for changing the parameter, no comparison of alternative settings, and no evidence about how a different cap affects fill realism. Traders should therefore treat it as a diagnostic clue, not a general recommendation to remove volume constraints.

Key ideas

• HFTrade’s volume cap can restrict how much of an order fills in a high-frequency backtest.
• The discussion identifies a default cap of 0.25 as a possible explanation for partial fills.
• Low traded volume in minute and tick data may make volume limits especially restrictive.
• The maximum volume represented by a minute bar is another possible constraint.
• The post does not provide steps for changing the setting or assess the realism of higher limits.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.