I assume there are people around here who run automated systems on IB, my question is to do with order error timeouts, does anybody implement fill timeouts? (i.e. if a market order does not get filled in x seconds then cancel), if so how long do you recommend? Also are there other timeout situations with IB I should be aware of?
If you're sending a market order, you pretty much want to be in the stock... that is my way of thinking. Unless you are trading really illiquid stuff or you're into something weird where the market locks a lot... should never happen. maybe you're asking just for general safety issue in unattended trading... what I have done for market orders is only allow there to be X amount of difference between the expected position (based on market orders sent) and the actual position (based on fills), and to not send new market orders if this gap exceeds X. I've also built strategies that auto cancel entry stops if they don't get filled in the bar (5/30/60min), but this is a little different than what you're asking I think.