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Hi,
I'm thinking of implementing a simple execution model that splits an order up into smaller pieces and executes one piece every [x] seconds until all piece have been filled.
Is there a way to implement such a delay/sleep that doesn't block the rest of the algo?
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Alexandre Catarino
I wouldn't advise using delay/sleep.
Why do you not place new orders when one is filled?
In OnData, for example, you place the first order, say buy 100 shares of SPY of a total of 1000.
When an order status changes you are notified at OnOrderEvent, so when that order #1 is filled, you place order #2 (and reduce the total target quantity to 900). When order #2 is filled, you place order #3 (and reduce the total target quantity to 800) and so on.
Alternatively, you can use second-resolution data, create a consolidator for x seconds with an event handler that places the orders.
Douglas Stridsberg
Hi Alex,
Thanks for the suggestions. I think creating a second-resolution consolidator and bind the order placing function to it is the best approach. I will have to think carefully about how to implement this, as having a second-resolution consolidator would probably add additional computational loads to the system.
Alexandre Catarino
If you want to backtest an algorithm that "executes one piece every [x] seconds", there is no way around of having second-resolution data, but you can do it without consolidators.
Douglas Stridsberg
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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