Strategy: Auditing cancels orders ?

[asmodehn]

I recently noticed that auditing a strategy implies cancelling orders... Is that required for some reason ?

A side effect seems to be that these cancelled orders are not passed to the strategy tick() method... which means the strategy has no way to know these orders have been cancelled...

Any hint/idea to improve that ?

[garethdmm]

Audits cancel orders because audits have to take place in a static exchange account state. If a trade can happen in the middle of an audit the whole thing might be thrown off.

This isn't religious decree, this could possibly be more or less important depending on the properties of the exchange. In some the volume of open orders is actually subtracted from the balance so it's absolutely necessary to fully wind down before auditing, but on others it may not be.

One thing you might be interested in is reducing the wind-down time for audits. This is the period that the process waits between the order cancellations and beginning the audit (on some exchanges this is necessary to allow the exchange's internal state to settle).

I don't totally understand why you'd need to have those orders present in current_orders in the next tick. Maybe you could message me on slack and I could help debug.