I know the fees on GDAX are a problem for everyone that is actively trading. Is there any way in Quant Connect to set a limit order and then wait one minute or one bar and if the limit order has not been filled to convert the order to a market order? Or to cancel the limit order and enter a market order instead? I think that would save a ton of fees...

For the example algo I'm submitting its just one that another quantconnect user brilliantly submitted. Its a simple crossver moving average strategy on the SPY but I assume we could use it on Bitcoin. Could we use a limit order, then wait one bar and if that's not filled enter a market order? Thanks for the help!

class MovingAverageCrossAlgorithm(QCAlgorithm): def __init__(self): self.symbol = "SPY" self.previous = None self.fast = None self.slow = None def Initialize(self): self.SetStartDate(2009, 01, 01) #Set Start Date self.SetEndDate(2015, 01, 01) #Set End Date self.SetCash(100000) #Set Strategy Cash # Find more symbols here: http://quantconnect.com/data self.AddSecurity(SecurityType.Equity, self.symbol, Resolution.Minute) # create a 15 day exponential moving average self.fast = self.EMA(self.symbol, 15, Resolution.Minute); # create a 30 day exponential moving average self.slow = self.EMA(self.symbol, 30, Resolution.Minute); def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: TradeBars IDictionary object with your stock data ''' # a couple things to notice in this method: # 1. We never need to 'update' our indicators with the data, the engine takes care of this for us # 2. We can use indicators directly in math expressions # 3. We can easily plot many indicators at the same time # wait for our slow ema to fully initialize if not self.slow.IsReady: return # only once per day if self.previous is not None and self.previous.Date == self.Time.Date: return # define a small tolerance on our checks to avoid bouncing tolerance = 0.00015; holdings = self.Portfolio[self.symbol].Quantity # we only want to go long if we're currently short or flat if holdings <= 0: # if the fast is greater than the slow, we'll go long if self.fast.Current.Value > self.slow.Current.Value * Decimal(1 + tolerance): self.Log("BUY >> {0}".format(self.Securities[self.symbol].Price)) self.SetHoldings(self.symbol, 1.0) # we only want to liquidate if we're currently long # if the fast is less than the slow we'll liquidate our long if holdings > 0 and self.fast.Current.Value < self.slow.Current.Value: self.Log("SELL >> {0}".format(self.Securities[self.symbol].Price)) self.Liquidate(self.symbol) self.previous = self.Time