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Raffaele INVESTOR

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Dear QC Community,

Limit orders with TimeInForce set to “Day” never get executed when daily data is used, no matter what the limit price is.

I guess this is expected to some but was a surprise to me. Is there a way around this without increasing the bar resolution (*)? Technically it should be possible to consider limit orders with just daily OHLC bars.

(*) When using large universes on inter-day strategies, increasing the resolution will result in significantly increased backtest latency without the algorithm actually using the additional data.

Best Regards.

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Raffaele

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Alexandre Catarino

100.3k Pro ,

Hi Raffaele ,

Thank you for your patience.
Unfortunately, there is no way alternative to using higher frequency data.

TimeInForce.Day will compare the time of the order against the closing time (4 pm for US Equities). If the algorithm uses daily data, it will submit an order at 12 am and only evaluate whether it was filled at 12 am of the next day which has passed the market close.

Alternatively, you can use GTD:

props.TimeInForce = TimeInForce.GoodTilDate(self.UtcTime + timedelta(1))

so that the limit order will expire after 1 day which I think it's the equivalent of TimeInForce.Day for Daily resolution.

Raffaele INVESTOR

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