SmartQuant Discussion

The code below demonstrates how to use strategy timer to cancel a limit order if the order is not filled within 20 seconds.

Note how Clock.Now is used to obtain current strategy time. This technique works in both simulation and live trading modes.

It's great that your posting these, please continue.

Concerning OnTimer:

say I want to simulate a delay in execution, say 4 seconds, how do i do that? ive tried barfilter and the likes but that doesnt work for me. i then thought about using ontimer, but thats problematic because i can only have one timer at a time and im working on 1 second bars sometimes. plus im not sure if it is possible to access an order from previous bars, since my orders will be overwritten i'm suppose. how cani get out of this dilemma anton?

Hi,

could you explain what you want to achieve? What is delay in execution?

Regards,
Anton

sorry if i didn't explain myself well. i meant a four seconds delayed execution. sorry

Do you want to submit an order four seconds after some event or you want to submit a market order and received fill with four second delay (in the simulation mode)?

Regards,
Anton

the latter is what im trying to do. though id be interested in how to do the former as well (in the case that the event might happen with relatively high frequency and three different events might trigger different orders four seconds later). thanks anton

It was discussed several times on SQ forums. I think the outcome is that there is no continuous time axis in the simulation mode. Thus it's hard to understand what four seconds execution delay really is. Though we can think a bit more about it.

Regards,
Anton

it's really not so hard because the trade data comes with a time stamp doesn't it?

something like this wouldnt work?
on order push on queue (or orderlist)
while trade.datetime >= queue.order.datetime + delay){
order.execute
pop queue
}

im curious

also (i'm not sure), in the case that this wouldn't work, a crude approximation could be using 1 sec bars and executing after x bars. in fact this should definitely be a feature (using a lower resolution barseries as fill data, plus having the option to fill not only at nextbar close, but rather at x bars)

please look into this, it should really be no big deal and add a some more realism to high frequency strategies. (btw does anybody know how to get millisecond timestamps from the exchanges?)
cheers

Into the same direction:

I am using quote data for filling. But filling on neither lastquote nor nextquote is the most realistic thing.
Most realistic filling would be on the current quote x-milliseconds after e.g. an onbar event has been shooted. x depends on the data latency you have - broker...

_________________
Expect the unexpected. May your MM/RM be with you.

Just one question: If the Order is filled within the 20 seconds, how can I remove the timer to have another one ready?

There is a removetimer function. For some reason it takes a dateTime as paramter, not sure why, but it may be optional. Try it.

The original question, how do I cancel an order at a specific time?
I want to do

Which in my head takes the time 16:00, subtracts the current time, say 12:00, and sets a timer for the difference, that is 4 hours.
But the TimeSpan can't be converted to a DateTime, so it doesn't work.

I also tried



Same result.

Hi,

The following code works fine on my machine, the timer fires exactly at 17-00:




Regards,
Sergey.

Works great, thank you

Can you modify a timer? Say have a rolling 2 minute delay?

I'd like to clean up my method for making sure I'm getting bars/trades for all my instruments.

Right now I add a 3 minute timer on every bar/trade and see if the datetime of the last bar/trade came after I added the timer. It works but definatly takes alot of cycles that aren't necessary.

What do you use?