I'm usually rolling buy-writes and short puts or spreads on the SPY and QQQ. At times I get stuck with partial fills that meet my limit orders. I'm wondering if I added all-or-none conditions to the order, if I would get poorer fills while I'm middling the market. Intuitively I'd say yes, but can somebody more knowledgeable give me an opinion?
obviously yes. If two orders come in for half your size 10 milliseconds apart they each skip you and you don't get a fill. I've never used an all-or-none order in my life, because if it's +EV to buy X, then it's +EV to buy X/2.