Duration input in Orders.CloseMarketOrder(timing, duration)?

Duration input in Orders.CloseMarketOrder(timing, duration)?

Dave Walton
2015-02-08 20:14:13

Hi QS, in the 'OnEndPeriod' event in AMM, I use Orders.CloseMarketOrder(timing, duration) to open a new position. I'm not clear on what the duration input is used for. Can you clarify? The timing part I get. The order executes at the timing I specify so I don't get the duration.

QuantShare
2015-02-09 01:51:29

Best Answer

Hi Dave,

The "duration" is the number of bars to keep the order active (otherwise it is canceled).
Market orders are not necessarily executed on every bar. Example: Volume filter doesn't pass, no trading data for a specific bar...

Dave Walton
2015-02-15 14:02:23

Thanks QS. I've thought about this some more. So basically you are saying that an order can be generated but will then "hang-out" until market data is valid or the volume filter passes? The duration then gives the maximum number of bars that orders are active and not executed. IS my understanding correct?

QuantShare
2015-02-16 01:43:08

Yes, correct.

Dave Walton
2015-02-16 08:41:37

Thanks QS.

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