I had the following sequence:
1. Submit order
2. Receive partial fill 45 ms later.
3. Change quantity 60 ms later
4. Receive three open order events with new quantity.
==>5. Receive three open order events with OLD quantity.<==
6. Receive fill for remaining quantity at new quantity.
7. Receive order status of filled for new quantity 519 ms later
This is obviously a bug.? I have never seen it before.? Does anyone have a solution they are confident is correct?? I could ignore the open orders with the old quantity, but whats to say they wrong and the new right?? Sometimes I manually change quantities, so ignoring the stale quantity open order events is not a great solution.
