When an ATS places a limit order, there is obviously a chance that this order may not be filled. How do people determine when it is time to cancel a limit order in an automated situation? Imposing a time limit on the order getting filled is the first thing that comes to mind, but I'm wondering what other people have implemented in the same situation.
The most obvious answer would be to cancel it when the condition that led you to place the order in the first place no longer exists. Depends very much of whether you are talking about entry or exit orders...
atich is right. You should cancel when you no longer want the order to fill, which is dependent on the reason you sent the order in first place. Depending on trading system, you might use a time in force for each order, IOC, some set # of ticks, you might tie canceling to the value of another indicator, or the value of another order getting filled (eg if profit was hit, cancel the stop). The possibilities are endless, which is why it's smarter to let your strategy tell you what is best.