How Do I Periodically Update a Limit Order?

Hello Nkabram,

OnData runs every minute if you have minutely resolution.  I would probably in "Initialize" make a timer to keep track eg. "self.timer = 0".  Since we know that the OnData cycles on your resolution if set to minute then if we put "self.timer +=1" it will add +1 each time it cycles.  Then you could make some logic like "if self.timer >= 3: put code to reset limit order here, then one line below self.timer = 0"  Your timer is reset, so is your limit order and now the countdown can begin again.

Hi Ryan, 

Thank you for your reply and ideas. This approach sounds feasible, unfortunately, it wouldn't be robust enough to cover my intended functionality. Any ideas on how to implement in another way that doesn't depend on the resolution of the data? If I had minute resolution data but wanted to adjust the limit every few seconds, then I wouldn't have a function that runs this frequently. 

Hi Nkabram,

You can use something like "datetime.now() + timedelta(minutes = 10)" or

end_time = datetime.now()
repeat_5mins = end_time + timedelta(minutes=5) # convert current time to timestamp

if datetime.now() >= repeat_5mins:

Here are some examples I searched for in the community forums with keywords "time" "datetime" and such.

Let me know it this helps.

Hi Nkabram, in backtesting the progression of time is based on the data. You would need to use second resolution data in this case and then scheduled events or some OnData check to update your limit order.

Using datetime.now() would not be recommended as it'll disconnect backtesting from live trading code. datetime.now() will be wall clock time, not the backtest time. 

Okay, thanks for the reply. Is there a way to change the resolution based on a schedule? I would only need the second resolution during the time that the algorithm rebalances. If I had it on the second resolution continuously that would take up a lot of unnecessary computation time. 

Hi Nick,

In order to change the resolution, we would need to remove the security and re-add it with a different resolution. Furthermore, I suggest comparing minute against second resolution to test the sensibility in the final state of development.

Best,
Shile Wen