Read Live Algorithm
Orders
Description
This endpoint returns a page of orders with all their properties. To get the orders of all the live deployments in one request, call the /live/export/orders endpoint, which returns a CSV file.
Request
Fetch the orders of a live algorithm for the project Id and steps provided. The /live/orders/read API accepts requests in the following format:
ReadLiveOrdersRequest Model - Request to read orders from a live algorithm. | |
|---|---|
| deployId | string Deploy Id of the live algorithm. When you provide it, the response contains the orders of that deployment. When you omit it, the response contains the orders of every deployment of the project. |
| start | integer Starting index of the orders to be fetched. |
| end | integer Last index of the orders to be fetched. Note that end - start must be <= 1,000. |
| projectId | integer Id of the project from which to read the live algorithm. |
| Example |
{
"deployId": "L-6e9d8a78f5af89d401f630585be90e43",
"start": 0,
"end": 100,
"projectId": 23456789
}
|
Responses
The /live/orders/read API provides a response in the following format:
200 Success
LoadingResponse Model - Response when the requested chart or orders are being generated. | |
|---|---|
| progress | number Loading percentage of the data generation process. |
| status | string Enum Status of the data generation process. Options : ['loading'] |
| success | boolean Indicate if the API request was successful. |
| Example |
{
"progress": 0,
"status": "loading",
"success": true
}
|
LiveOrdersResponse Model - Contains orders and the number of orders of the live algorithm in the request criteria. | |
|---|---|
| orders | Order Array Collection of orders. |
| length | integer Total number of returned orders. |
| success | boolean Indicate if the API request was successful. |
| errors | string Array List of errors with the API call. |
| Example |
{
"orders": [
{
"id": 0,
"contingentId": 0,
"brokerId": [
"string"
],
"symbol": {
"value": "string",
"id": "string",
"permtick": "string"
},
"limitPrice": 0,
"stopPrice": 0,
"stopTriggered": true,
"price": 0,
"priceCurrency": "string",
"time": "2021-11-26T15:18:27.693Z",
"createdTime": "2021-11-26T15:18:27.693Z",
"lastFillTime": "2021-11-26T15:18:27.693Z",
"lastUpdateTime": "2021-11-26T15:18:27.693Z",
"canceledTime": "2021-11-26T15:18:27.693Z",
"quantity": 0,
"type": 0,
"status": 0,
"tag": "string",
"securityType": 0,
"direction": 0,
"value": 0,
"orderSubmissionData": {
"bidPrice": 0,
"askPrice": 0,
"lastPrice": 0
},
"isMarketable": true,
"properties": {
"timeInForce":
},
"events": [
{
"algorithmId": "string",
"symbol": "string",
"symbolValue": "string",
"symbolPermtick": "string",
"orderId": 0,
"orderEventId": 0,
"id": "string",
"status": "new",
"orderFeeAmount": 0,
"orderFeeCurrency": "string",
"fillPrice": 0,
"fillPriceCurrency": "string",
"fillQuantity": 0,
"direction": "buy",
"message": "string",
"isAssignment": true,
"stopPrice": 0,
"limitPrice": 0,
"quantity": 0,
"time": 0,
"isInTheMoney": true
}
],
"trailingAmount": 0,
"trailingAsPercentage": true,
"groupOrderManager": {
"id": 0,
"quantity": 0,
"count": 0,
"limitPrice": 0,
"orderIds": [
"integer"
],
"direction": 0
},
"triggerPrice": 0,
"triggerTouched": true
}
],
"length": 0,
"success": true,
"errors": [
"string"
]
}
|
Order Model - Order struct for placing new trade. | |
|---|---|
| id | integer Order ID. |
| contingentId | integer Order Id to process before processing this order. |
| brokerId | string Array Brokerage Id for this order for when the brokerage splits orders into multiple pieces. |
| symbol | Symbol object Represents a unique security identifier. This is made of two components, the unique SID and the Value. The value is the current ticker symbol while the SID is constant over the life of a security. |
| limitPrice | number Limit price of the Order. |
| stopPrice | number Stop price of the Order. |
| stopTriggered | boolean Indicates if the stop price has been reached, so the limit order has been triggered. |
| price | number Price of the Order. |
| priceCurrency | string Currency for the order price. |
| time | string($date-time) Gets the UTC time the order was created. |
| createdTime | string($date-time) Gets the UTC time this order was created. Alias for Time. |
| lastFillTime | string($date-time) Gets the UTC time the last fill was received, or null if no fills have been received. |
| lastUpdateTime | string($date-time) Gets the UTC time this order was last updated, or null if the order has not been updated. |
| canceledTime | string($date-time) Gets the UTC time this order was canceled, or null if the order was not canceled. |
| quantity | number Number of shares to execute. |
| type | integer Enum Order type. 0=Market, 1=Limit, 2=StopMarket, 3=StopLimit, 4=MarketOnOpen, 5=MarketOnClose, 6=OptionExercise, 7=LimitIfTouched, 8=ComboMarket, 9=ComboLimit, 10=ComboLegLimit, 11=TrailingStop. Options : [0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11] |
| status | integer Enum Status of the Order. 0=New, 1=Submitted, 2=PartiallyFilled, 3=Filled, 5=Canceled, 6=None, 7=Invalid, 8=CancelPending, 9=UpdateSubmitted. Options : [0, 1, 2, 3, 5, 6, 7, 8, 9] |
| tag | string Tag the order with some custom data. |
| securityType | integer Enum Type of tradable security / underlying asset. 0=Base, 1=Equity, 2=Option, 3=Commodity, 4=Forex, 5=Future, 6=Cfd, 7=Crypto, 8=FutureOption, 9=Index, 10=IndexOption, 11=CryptoFuture. Options : [0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11] |
| direction | integer Enum Order Direction Property based off Quantity. 0=Buy, 1=Sell, 2=Hold. Options : [0, 1, 2] |
| value | number Gets the executed value of this order. If the order has not yet filled, then this will return zero. |
| orderSubmissionData | OrderSubmissionData object Stores time and price information available at the time an order was submitted. |
| isMarketable | boolean Returns true if the order is a marketable order. |
| properties | OrderProperties object Additional properties of the order. |
| events | OrderEvent Array The order events. |
| trailingAmount | number Trailing amount for a trailing stop order. |
| trailingAsPercentage | boolean Determines whether the trailingAmount is a percentage or an absolute currency value. |
| groupOrderManager | GroupOrderManager object Manager of a group of orders. |
| triggerPrice | number The price which, when touched, will trigger the setting of a limit order at limitPrice. |
| triggerTouched | boolean Whether or not the triggerPrice has been touched. |
| Example |
{
"id": 0,
"contingentId": 0,
"brokerId": [
"string"
],
"symbol": {
"value": "string",
"id": "string",
"permtick": "string"
},
"limitPrice": 0,
"stopPrice": 0,
"stopTriggered": true,
"price": 0,
"priceCurrency": "string",
"time": "2021-11-26T15:18:27.693Z",
"createdTime": "2021-11-26T15:18:27.693Z",
"lastFillTime": "2021-11-26T15:18:27.693Z",
"lastUpdateTime": "2021-11-26T15:18:27.693Z",
"canceledTime": "2021-11-26T15:18:27.693Z",
"quantity": 0,
"type": 0,
"status": 0,
"tag": "string",
"securityType": 0,
"direction": 0,
"value": 0,
"orderSubmissionData": {
"bidPrice": 0,
"askPrice": 0,
"lastPrice": 0
},
"isMarketable": true,
"properties": {
"timeInForce":
},
"events": [
{
"algorithmId": "string",
"symbol": "string",
"symbolValue": "string",
"symbolPermtick": "string",
"orderId": 0,
"orderEventId": 0,
"id": "string",
"status": "new",
"orderFeeAmount": 0,
"orderFeeCurrency": "string",
"fillPrice": 0,
"fillPriceCurrency": "string",
"fillQuantity": 0,
"direction": "buy",
"message": "string",
"isAssignment": true,
"stopPrice": 0,
"limitPrice": 0,
"quantity": 0,
"time": 0,
"isInTheMoney": true
}
],
"trailingAmount": 0,
"trailingAsPercentage": true,
"groupOrderManager": {
"id": 0,
"quantity": 0,
"count": 0,
"limitPrice": 0,
"orderIds": [
"integer"
],
"direction": 0
},
"triggerPrice": 0,
"triggerTouched": true
}
|
Symbol Model - Represents a unique security identifier. This is made of two components, the unique SID and the Value. The value is the current ticker symbol while the SID is constant over the life of a security. | |
|---|---|
| value | string The current symbol for this ticker. |
| id | string The security identifier for this symbol. |
| permtick | string The ticker at IPO for this security. |
| Example |
{
"value": "string",
"id": "string",
"permtick": "string"
}
|
OrderSubmissionData Model - Stores time and price information available at the time an order was submitted. | |
|---|---|
| bidPrice | number The bid price at order submission time. |
| askPrice | number The ask price at order submission time. |
| lastPrice | number The current price at order submission time. |
| Example |
{
"bidPrice": 0,
"askPrice": 0,
"lastPrice": 0
}
|
OrderProperties Model - Additional properties of the order | |
|---|---|
| timeInForce | object Defines the length of time over which an order will continue working before it is cancelled. |
| Example |
{
"timeInForce":
}
|
OrderEvent Model - Change in an order state applied to user algorithm portfolio | |
|---|---|
| algorithmId | string Algorithm Id, BacktestId or DeployId. |
| symbol | string Easy access to the order symbol associated with this event. |
| symbolValue | string The current symbol for this ticker; It is a user friendly symbol representation. |
| symbolPermtick | string The original symbol used to generate this symbol. |
| orderId | integer Id of the order this event comes from. |
| orderEventId | integer The unique order event id for each order. |
| id | string The unique order event Id for each order. |
| status | string Enum Status of the Order. Options : ['new', 'submitted', 'partiallyFilled', 'filled', 'canceled', 'none', 'invalid', 'cancelPending', 'updateSubmitted'] |
| orderFeeAmount | number The fee amount associated with the order. |
| orderFeeCurrency | string The fee currency associated with the order. |
| fillPrice | number Fill price information about the order. |
| fillPriceCurrency | string Currency for the fill price. |
| fillQuantity | number Number of shares of the order that was filled in this event. |
| direction | string Enum Direction of the order. Options : ['buy', 'sell', 'hold'] |
| message | string Any message from the exchange. |
| isAssignment | boolean True if the order event is an assignment. |
| stopPrice | number The current stop price. |
| limitPrice | number The current limit price. |
| quantity | number The current order quantity. |
| time | number The time of this event in unix timestamp. |
| isInTheMoney | boolean True if the order event's option is In-The-Money (ITM). |
| Example |
{
"algorithmId": "string",
"symbol": "string",
"symbolValue": "string",
"symbolPermtick": "string",
"orderId": 0,
"orderEventId": 0,
"id": "string",
"status": "new",
"orderFeeAmount": 0,
"orderFeeCurrency": "string",
"fillPrice": 0,
"fillPriceCurrency": "string",
"fillQuantity": 0,
"direction": "buy",
"message": "string",
"isAssignment": true,
"stopPrice": 0,
"limitPrice": 0,
"quantity": 0,
"time": 0,
"isInTheMoney": true
}
|
OrderDirection Model - Direction of the order. | |
|---|---|
| GroupOrderManager | string Enum Direction of the order. Options : ['buy', 'sell', 'hold'] |
| Example |
{
"GroupOrderManager": "buy"
}
|
GroupOrderManager Model - Manager of a group of orders. | |
|---|---|
| id | integer The unique order group Id. |
| quantity | number The group order quantity. |
| count | integer The total order count associated with this order group. |
| limitPrice | number The limit price associated with this order group if any. |
| orderIds | integer Array The order Ids in this group. |
| direction | integer Order Direction Property based off Quantity. |
| Example |
{
"id": 0,
"quantity": 0,
"count": 0,
"limitPrice": 0,
"orderIds": [
"integer"
],
"direction": 0
}
|
401 Authentication Error
UnauthorizedError Model - Unauthorized response from the API. Key is missing, invalid, or timestamp is too old for hash. | |
|---|---|
| www_authenticate | string Header |
Examples
The following example demonstrates listing, creating, reading, and updating live algorithms of a project through the cloud API.
from base64 import b64encode
from hashlib import sha256
from time import time
from requests import get, post
BASE_URL = 'https://www.quantconnect.com/api/v2/'
# You need to replace these with your actual credentials.
# You can request your credentials at https://www.quantconnect.com/settings/
# You can find our organization ID at https://www.quantconnect.com/organization/
USER_ID = 0
API_TOKEN = '____'
ORGANIZATION_ID = '____'
def get_headers():
# Get timestamp
timestamp = f'{int(time())}'
time_stamped_token = f'{API_TOKEN}:{timestamp}'.encode('utf-8')
# Get hased API token
hashed_token = sha256(time_stamped_token).hexdigest()
authentication = f'{USER_ID}:{hashed_token}'.encode('utf-8')
authentication = b64encode(authentication).decode('ascii')
# Create headers dictionary.
return {
'Authorization': f'Basic {authentication}',
'Timestamp': timestamp
}
# Authenticate to verify credentials
response = post(f'{BASE_URL}/authenticate', headers = get_headers())
print(response.json())
# --------------------
### List Live Algorithms
# Define placeholder IDs for project, compilation and node (replace with actual values)
project_id = 12345678
compile_id = "compile_id..."
node_id = "node_id..."
# Prepare data payload to list the past and current deployments of the project
payload = {
"projectId": project_id # ID of the project
}
# Send a POST request to the /live/list endpoint to list algorithms
response = post(f'{BASE_URL}/live/list', headers=get_headers(), json=payload)
# Parse the JSON response into python managable dict
result = response.json()
deployments = result['live'] if result['success'] else []
# The most recent deployment of the project, if any
latest = max(deployments, key=lambda x: x['launched'], default=None)
print(f"Live deployments: {len(deployments)}, latest: {latest['deployId'] if latest else None}")
### Create Live Algorithm
# Deploy only if the project has no running deployment
if latest is None or latest['status'] != 'Running':
# Prepare the data payload for creating a live algorithm with necessary details
payload = {
"versionId": -1, # Use the latest version of LEAN
"projectId": project_id, # ID of the project to deploy as a live algorithm
"compileId": compile_id, # Compilation ID for the algorithm code
"nodeId": node_id, # Node ID where the algorithm will run
"brokerage": { # Brokerage configuration for live trading
"id": "QuantConnectBrokerage" # Paper trading brokerage identifier
},
"dataProviders": { # Data provider configuration
"QuantConnectBrokerage": {
"id": "QuantConnectBrokerage" # Data provider identifier
}
},
"parameters": {} # Optional algorithm parameters (empty in this example)
}
# Send a POST request to the /live/create endpoint to deploy the algorithm
response = post(f'{BASE_URL}/live/create', headers=get_headers(), json=payload)
# Parse the JSON response into python managable dict from the API
result = response.json()
# Check if the request was successful and print the result
if result['success']:
print("Live Algorithm Created Successfully:")
print(result)
### Read Live Algorithm Statistics
# Prepare data payload with the project ID to fetch the statistics of its latest deployment
payload = {
"projectId": project_id # ID of the project
}
# Send a POST request to the /live/read endpoint to get algorithm statistics
response = post(f'{BASE_URL}/live/read', headers=get_headers(), json=payload)
# Parse the JSON response into python managable dict
result = response.json()
# Check if the request was successful and print the statistics
if result['success']:
print("Live Algorithm Statistics:")
print(result)
### Liquidate Live Algorithm
# Prepare data payload with project ID to liquidate the algorithm
payload = {
"projectId": project_id # ID of the project to liquidate
}
# Send a POST request to the /live/update/liquidate endpoint to liquidate
response = post(f'{BASE_URL}/live/update/liquidate', headers=get_headers(), json=payload)
# Parse the JSON response into python managable dict
result = response.json()
# Check if the request was successful and print the result
if result['success']:
print("Live Algorithm Liquidated Successfully:")
print(result)
### Stop Live Algorithm
# Prepare data payload with project ID to stop the algorithm
payload = {
"projectId": project_id # ID of the project to stop
}
# Send a POST request to the /live/update/stop endpoint to stop the algorithm
response = post(f'{BASE_URL}/live/update/stop', headers=get_headers(), json=payload)
# Parse the JSON response into python managable dict
result = response.json()
# Check if the request was successful and print the result
if result['success']:
print("Live Algorithm Stopped Successfully:")
print(result)
### Export Orders
from decimal import Decimal
from time import sleep
# Download the orders of the last 750 days as a CSV file
payload = {
"projectId": project_id # ID of the project
}
response = post(f'{BASE_URL}/live/export/orders', headers=get_headers(), json=payload)
rows = response.text.splitlines()
header, recent = rows[0], rows[1:]
# The export starts at its first row. Older orders come from the /live/orders/read endpoint.
cutoff = recent[0].split(',')[1][:19].replace('T', ' ') if recent else '9999'
# Map the order type and status enums to the names in the CSV file
order_types = ["Market", "Limit", "Stop Market", "Stop Limit", "Market On Open", "Market On Close",
"Option Exercise", "Limit If Touched", "Combo Market", "Combo Limit", "Combo Leg Limit", "Trailing Stop"]
order_statuses = ["New", "Submitted", "Partially Filled", "Filled", "", "Canceled", "None", "Invalid",
"Cancel Pending", "Update Submitted"]
def number(value):
text = format(Decimal(str(value)), 'f')
return text.rstrip('0').rstrip('.') if '.' in text else text
# Read the older orders of each deployment that started before the cutoff
older = []
response = post(f'{BASE_URL}/live/list', headers=get_headers(), json={"projectId": project_id})
deployments = sorted(response.json()['live'], key=lambda x: x['launched'])
for deployment in deployments:
if deployment['launched'] >= cutoff:
continue
start = 0
while True:
payload = {
"projectId": project_id, # ID of the project
"deployId": deployment['deployId'], # ID of the deployment
"start": start, # Starting index for orders
"end": start + 1000 # Ending index for orders
}
result = post(f'{BASE_URL}/live/orders/read', headers=get_headers(), json=payload).json()
# The first request can return a loading status while the orders are prepared
if result.get('status') == 'loading':
sleep(1)
continue
for order in result['orders']:
if order['time'][:19].replace('T', ' ') >= cutoff:
continue
older.append(','.join([
deployment['deployId'], order['time'], order['symbol']['value'],
number(order['price']), number(order['quantity']),
f'"{order_types[order["type"]]}"', f'"{order_statuses[order["status"]]}"',
number(order['value']), '"' + order['tag'].replace('"', '""') + '" '
]))
start += 1000
if start >= result['length']:
break
# Save all the orders in one CSV file
with open(f'orders-{project_id}.csv', 'w', newline='') as file:
file.write('\n'.join([header] + older + recent) + '\n')
print(f"Saved {len(older) + len(recent)} orders")
### Export Trades
# Download the closed trades that opened since the start time as a CSV file
payload = {
"projectId": project_id, # ID of the project
"start": 1717801200, # Start time (Unix timestamp) for the trade entry time
"end": 1743462000 # End time (Unix timestamp) for the trade exit time
}
response = post(f'{BASE_URL}/live/export/trades', headers=get_headers(), json=payload)
with open(f'trades-{project_id}.csv', 'w', newline='') as file:
file.write(response.text)
### Export Insights
# Download the insights of all the live deployments of the project as a JSON file
payload = {
"deployId": latest['deployId'] # ID of a deployment of the project
}
response = post(f'{BASE_URL}/live/export/insights', headers=get_headers(), json=payload)
with open(f'insights-{project_id}.json', 'w', newline='') as file:
file.write(response.text)
### Export Logs
# Download the logs of all the live deployments of the project as a text file
payload = {
"projectId": project_id, # ID of the project
"deployId": latest['deployId'] # ID of a deployment of the project, used to name the file
}
response = post(f'{BASE_URL}/live/export/logs', headers=get_headers(), json=payload)
with open(f'logs-{project_id}.txt', 'w', newline='') as file:
file.write(response.text)