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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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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.
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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.
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