Automated management of limit orders once placed

[moconnell]

Currently the tool does no automated management of orders once place - this is left as a tasks for the user.

An enhancement would be to wait until all orders were filled and manage orders until they are filled.

From RW James:

Simple "passive aggressive" logic:
For a buy

• Specify an offset in ticks as x% of the (mean) bid ask spread, rounded up.
• Specify an offset to "chase" as y% of the (mean) bid ask spread, rounded up
• Bid at the best ask less the offset number of ticks
• Wait. If fully filled, done.
• If best offer moves reset offset ticks away from your bid, cancel and reset what is remaining to get filled.
• If not filled after , reduce the offset to get more aggressive, until it's marketable.

Further on:

Q: what's a sensible default for x and y in the logic above?

RJ: for liquid stuff i think quoting the middle is good for x
RJ: for less liquid crap (CRO) might want to be a bit more aggressive and sit a bit further over where someone with a shorter term horizon can pick you off

[moconnell]

More urgent is that we also need to handle the case where post-only orders are immediately cancelled as they would cross the book. This presumably means that the market is actually moving in a favourable direction w.r.t. the delta we are wanting to trade, so just keep resubmitting the order at ever more advantageous price until we get one to stick.