You are correct that any unfilled orders, OR orders that have been partially filled, get canceled at market close. This is true of any type of order. This behavior actually makes things very predictable. You shouldn't ever 'double' your orders (as you were concerned). There will only ever be orders on a given day which were explicitly placed on that day.

If you want a limit order hanging out there (which isn't a bad idea by the way) then simply place all those orders again at market open. One BIG word of caution. DON'T do what you stated use context variables to store your symbol/ limit combinations that can persist overnight . Never store any price or volume related data overnight. It will not be split adjusted. Always re-run any of the logic you had to place the orders and use the current days pricing.

Also, you can't technically run an app every day before market opens to reinstate your limit orders as you stated. Orders can only be placed during market hours. Place that logic into a scheduled function set to run at market open.

A few other minor points about your post...

You stated set up your pipelines . There can only be a single pipeline defined in an algorithm.
You stated run your algo every minute, using a timer to examine the market in whatever intervals make sense (5 minutes/15 minutes/ hourly, etc. If you want to run code every minute then place it in the pre-defined 'handle_data' method. If you want to run code at a certain interval then schedule it to run at those intervals using the 'schedule' function. Generally don't use timers as you suggested.

Hi Dan,

Thanks for those clarifications. Yes I understand there is only 1 pipeline, so that's a bad choice of words I used.

So if I want to run a file every 5 minutes I should schedule it 54 times ? (270 / 5) . Will that break on shortened trading days?

Is this really better (on the server, more efficient) than to set up a function in handle_data that triggers on intervals of 5 minutes?

Thanks
Serge

The 'schedule' function is the way to go. If you don't like the idea of A LOT of separate lines of code (one for each function call) you can do this.

 for minutes_offset in range(1, 390, 5):  
    # 390 minutes in a full trading day (6.5 x 60)  
    schedule_function(  
            my_rebalance,  
            date_rules.every_day(),  
            time_rules.market_open(minutes=minutes_offset),  
            half_days = True)  

This will work on shortened trading days. If for some reason you don't want to trade on those days you can set 'half_days = False'.

Attached is a backtest showing the schedule function at work. Look at the logs to see each time the 'my_rebalance' function was called.