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This may seem like a simple implementation but I am struggling and new to QuantConnect. Anybody have any thoughts on how to implement a timed limit order. The limit order would have a timeout in which it would cancel the order after the timeout in seconds or report fill if filled before the timeout. Working in Python btw, Thanks
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Jing Wu
Hi Eric,
To check if a symbol is in open orders, you could check the length of the open orders len(self.Transactions.GetOpenOrders(symbol)), length is zero means no open orders for the specified symbol. Timed Limit Order could be implemented by using the self.Time and the order ticket. I implemented an example for your reference. This algorithm will cancel the open limit order if over 15 minutes since the order was submitted and submit the market order.
Eric Zollinger
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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