I have a strategy that is designed to run on a tick-by-tick basis. I want to place limit orders within this, but found it incredulous that when you place a limit order from within onBarUpdate(), they are canceled at the end of the bar and have to be resubmitted! Surely that means they are not active all the time in the market until filled? An opportunity for a fill could "slip through the cracks"? And also, is there a positive way to find out whether it has even been filled, or do you just have to check for a change in the position size? I can't believe there isn't a callback method of some sort to indicate a fill.
Thanks,
Andrew
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