Under Quantopian 15-minute delayed live trading, are all open orders cancelled at the end of the day? Or do they persist and get filled the next day?
In Quantopian paper trading, with 15 minute delayed data, open orders persist and get filled the next day.
When live trading with an Interactive Brokers account, all open orders get cancelled EOD at 4PM.
Disclaimer
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 Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.
Thanks Alisa,
Why do you not cancel orders at day's end for the backtester and for Quantopian paper trading? Isn't this gonna be a problem for the Open contest (if folks don't add day's end cancellation code to their algos)? When the winner goes live at IB, the results could be very different. Some algos would not trade at all, if all orders are entered right at the closing bar.
Grant
Here is the code I use to kill open orders EOD.
# in initialize()
# cancel all outstanding orders just before the market close
schedule_function(kill_open_orders,
date_rule=date_rules.every_day(),
time_rule=time_rules.market_close(minutes=2))
def kill_open_orders(context, data):
for sec, orders in get_open_orders().iteritems():
for oo in orders:
cancel_order(oo)
return
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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 Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.