I am just trying a very simple algorithm as shown in the code snippet below. When backtesting the algorithm will execute orders when I set the resolution to second but when I switch to tick resolution no order gets executed. Are there any limitations on tick data order execution? In the log output I can see the log statement but still the order does not get executed.

Thanks for any help.


import random from datetime import timedelta class BaseLine(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 1, 28) # Set Start Date self.SetEndDate(2020, 1, 29) # Set End Date self.SetCash(100000) # Set Strategy Cash #1. Subscribe to some stocks self.stocks = ["AAPL", "MSFT", "FB"] for stock in self.stocks: self.AddEquity(stock, Resolution.Tick) self.Securities[stock].SetDataNormalizationMode(DataNormalizationMode.Raw) self.NextOrderTime = self.Time def OnData(self, data): if self.Time > self.NextOrderTime: self.canInvest = False stock = random.choice(self.stocks) self.Log("{0}: Purchasing stock {1}".format(self.Time, stock)) # Create market order to buy 50 units of stock self.MarketOrder(stock, 50) self.StopMarketOrder(stock,-50,self.Securities[stock].Price*0.9) self.LimitOrder(stock,-50,self.Securities[stock].Price*1.1) def OnOrderEvent(self, orderEvent): if orderEvent.Status == OrderStatus.Filled: order = self.Transactions.GetOrderById(orderEvent.OrderId) self.Log("{0}: {1}: {2}".format(self.Time, order.Type, orderEvent)) if order.Type == OrderType.Market: stock = orderEvent.Symbol self.Log("{0}: Setting upper and lower limits for stock {1}".format(self.Time, stock)) if order.Type == OrderType.StopMarket or order.Type == OrderType.StopLimit: stock = orderEvent.Symbol self.Log("{0}: Canceling all trades for stock {1}".format(self.Time, stock)) self.Transactions.CancelOpenOrders() self.NextOrderTime = self.Time + timedelta(seconds = 10)