OnOrderEvent timing by Tony Shacklock

Tony Shacklock

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I notice in backtests that OnOrderEvent is triggered at a resolution the same as the data resolution. For example, with hourly data, order events are triggered only on whole numbers of hours. Is this true in live trading?

For example, my algorithm uses hourly data for set-ups and places a StopMarketOrder to enter. In OnOrderEvent I would set a stop-loss order (another StopMarketOrder) to be executed as soon as the entry StopMarketOrder is filled. Will OnOrderEvent execute as soon as the entry StopMarketOrder is filled, or will it wait until the next hourly data is provided?

Cheers

Tony

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Tony Shacklock

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Daniel Chen

STAFF ,

Hi Tony,

In live trading, the data resolution would be ticker level. So we recommend you use minute/ticker level of data resolution in backtest to better match the situation in live trading.

For your second question, the OnOrderEvent will execute after the OnData is finished. Thank you!

Tony Shacklock

2.1k ,

Hi Daniel

Thanks for your explanation. I'll have to go with market orders so I can have a stop-loss order in place immediately.

Cheers

Tony

Tony Shacklock

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