IB has market/limit if touched orders. Why I would like to have them added in Lean/QC is
I want to catch small mean reversion movements and avoid the typical fall through in price on a micro scale that happens with limit orders
Passive limit orders can be targeted by predatory HFT algorithms that use these orders as insurance (they can enter betting that price movement will reverse just before limit, while being able to safely exit at limit). Market if touched keeps order hidden until triggered and has lower latency than manually issuing market order
I don't think there needs to be shortcut methods in QCAlgorithm for these since they are more fringe than existing order types. It's sufficient if I can submit new order type class instances or set a "TouchPrice" property or similar.
IB has market/limit if touched orders. Why I would like to have them added in Lean/QC is
I don't think there needs to be shortcut methods in QCAlgorithm for these since they are more fringe than existing order types. It's sufficient if I can submit new order type class instances or set a "TouchPrice" property or similar.