Holding orders in strategy somehow when waiting for fills & cancels (managed orders)
Using the managed order mode, I have strategies that run fine using a "pending" flag to hold orders back when waiting for fills or cancels to come back from the broker.
I suspect that overnight in the less liquid instruments, e.g. NZD-USD forex, the market can be really slow and in rare circumstances I think my strategy wants to change its orders even before it's had a chance to submit the previous orders.
In other words I think I might be hanging on to "pending" orders (not even submitted) when the strategy decides to change them. This seems a bit complex to code for, but OK, however what if it decides to cancel and replace them?
And what if the strategy decides on a third change? Do I need to build up a queue of orders or somehow write logic to maintain a grip on what's going on, or do I just shut down the strategy at that point?
What's recommended? I haven't seen anything useful by searching here that is coded up already.
What would be the best way to stop the strategy? Can I invoke the automated stop that happens when an order is rejected?
I suspect that overnight in the less liquid instruments, e.g. NZD-USD forex, the market can be really slow and in rare circumstances I think my strategy wants to change its orders even before it's had a chance to submit the previous orders.
In other words I think I might be hanging on to "pending" orders (not even submitted) when the strategy decides to change them. This seems a bit complex to code for, but OK, however what if it decides to cancel and replace them?
And what if the strategy decides on a third change? Do I need to build up a queue of orders or somehow write logic to maintain a grip on what's going on, or do I just shut down the strategy at that point?
What's recommended? I haven't seen anything useful by searching here that is coded up already.
What would be the best way to stop the strategy? Can I invoke the automated stop that happens when an order is rejected?
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