Limit Order Working Shady On Hybrid Framework

From the provided code, it seems like the issue might be related to the way limit orders are being placed for taking profit.

In the OnInsightsGenerated method, a limit order is placed with a price that is 10% higher than the current price:

takeProfitPrice = price * 1.10
self.LimitOrder(symbol, -quantity, int(takeProfitPrice), "Take Profit")

This limit order is placed immediately after a market order is placed to buy the asset. The limit order is intended to sell the asset when its price increases by 10%. However, in fast-moving markets or in case of price gaps, it's possible that the limit order gets filled at a price significantly different from the intended limit price.

Also, it's important to note that the limit order price is being converted to an integer using int(takeProfitPrice). This could lead to significant rounding errors, especially for assets with high prices. It's recommended to keep the limit price as a floating-point number to maintain precision.

Lastly, in the OnOrderEvent method, all open limit orders are cancelled when a sell order is filled:

if order.Direction == OrderDirection.Sell:
    openOrders = self.Transactions.GetOpenOrders(symbol)
    for openOrder in openOrders:
        if openOrder.Type == OrderType.Limit:
            self.Transactions.CancelOrder(openOrder.Id)

This could potentially cancel the limit orders that were intended for taking profit. You might want to add additional checks to ensure that only the intended orders are cancelled.

Please note that these are just potential issues based on the provided code. The actual issue might be different depending on the specific market conditions and the state of the algorithm at the time of order placement.