Managing timing without Object Store

Hi Evgeni

I'd suggest you keep a list of a custom class containing the symbol, quantity, the profit-taking order and the timestamp of the order filled in the on_order_event handler, and scan it in on_data handler to close the expired positions and clean the list.

class MyAlgo(QCAlgorithm):
    def initialize(self):
        # Say 3 days the profit taker will expire.
        self.limit_of_profit_taking = timedelta(3)
        self.order_data_by_symbol = []
    
    def on_order_event(self, order_event):
        # Assume you primary order are market order.
        if order_event.status == OrderStatus.FILLED and order_event.ticket.order_type == OrderType.MARKET:
            # Say a 3% profit taker.
            profit_taker = self.limit_order(order_event.symbol, -order_event.fill_quantity, order_event.fill_price * (1.03 if order_event.direction == OrderDirection.BUY else 0.97))
            expiry_time = order_event.utc_time + self.limit_of_profit_taking
            order_data = OrderData(order_event.symbol, order_event.fill_quantity, expiry_time, profit_taker)
            
     def on_data(self, slice):
         for order_data in self.order_data_by_symbol.copy():
             if order_data.is_expired(self.utc_time):
                 # If the order is expired, cancel the profit taker and close the position.
                 order_data.profit_taker.cancel()
                 self.market_order(order_data.symbol, -order_data.quantity)
                 # Remove from list.
                 self.order_data_by_symbol.remove(order_data)
            
class OrderData:
    def __init__(self, symbol, quantity, expiry_time, profit_taker):
        self.symbol = symbol
        self.quantity = quantity
        self.expiry_time = expiry_time
        self.profit_taker = profit_taker
        
    def is_expired(self, current_utc_time):
        # Tag expired if the profit taker is filled, or not filled over the preset period of time.
        return current_utc_time >= self.expiry_time or self.profit_taker.status == OrderStatus.FILLED

Best
Louis