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Crypto Fees and Limit Orders

I know the fees on GDAX are a problem for everyone that is actively trading. Is there any way in Quant Connect to set a limit order and then wait one minute or one bar and if the limit order has not been filled to convert the order to a market order? Or to cancel the limit order and enter a market order instead? I think that would save a ton of fees...

For the example algo I'm submitting its just one that another quantconnect user brilliantly submitted. Its a simple crossver moving average strategy on the SPY but I assume we could use it on Bitcoin. Could we use a limit order, then wait one bar and if that's not filled enter a market order? Thanks for the help!

class MovingAverageCrossAlgorithm(QCAlgorithm):

def __init__(self):
self.symbol = "SPY"
self.previous = None
self.fast = None
self.slow = None

def Initialize(self):

self.SetStartDate(2009, 01, 01) #Set Start Date
self.SetEndDate(2015, 01, 01) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.AddSecurity(SecurityType.Equity, self.symbol, Resolution.Minute)

# create a 15 day exponential moving average
self.fast = self.EMA(self.symbol, 15, Resolution.Minute);

# create a 30 day exponential moving average
self.slow = self.EMA(self.symbol, 30, Resolution.Minute);


def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

Arguments:
data: TradeBars IDictionary object with your stock data
'''
# a couple things to notice in this method:
# 1. We never need to 'update' our indicators with the data, the engine takes care of this for us
# 2. We can use indicators directly in math expressions
# 3. We can easily plot many indicators at the same time

# wait for our slow ema to fully initialize
if not self.slow.IsReady:
return

# only once per day
if self.previous is not None and self.previous.Date == self.Time.Date:
return

# define a small tolerance on our checks to avoid bouncing
tolerance = 0.00015;

holdings = self.Portfolio[self.symbol].Quantity

# we only want to go long if we're currently short or flat
if holdings <= 0:
# if the fast is greater than the slow, we'll go long
if self.fast.Current.Value > self.slow.Current.Value * Decimal(1 + tolerance):
self.Log("BUY >> {0}".format(self.Securities[self.symbol].Price))
self.SetHoldings(self.symbol, 1.0)

# we only want to liquidate if we're currently long
# if the fast is less than the slow we'll liquidate our long
if holdings > 0 and self.fast.Current.Value < self.slow.Current.Value:
self.Log("SELL >> {0}".format(self.Securities[self.symbol].Price))
self.Liquidate(self.symbol)

self.previous = self.Time
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You might find this post helpful

https://www.quantconnect.com/forum/discussion/3208/how-to-attempt-a-limit-order-then-cancel-and-make-a-market-order
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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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0

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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