Order Management

Transaction Manager

Introduction

The algorithm transactions manager (SecurityTransactionManager) contains a collection of helper methods to quickly access all your orders. To access the transaction manager, use the Transactions property of your algorithm. If you save a reference to your order tickets, you shouldn't need to use the transaction manager. LEAN updates the order tickets as the brokerage processes your orders.

Get a Single Order Ticket

If you didn't save a reference to the order ticket when you created an order, you can call the GetOrderTicket method to get it. You need to pass the order ID to the method. If you don't have the order ID, you can use the LastOrderID property to get the order ID of the most recent order.

var orderId = Transactions.LastOrderID;
var ticket = Transactions.GetOrderTicket(orderId);
order_id = self.Transactions.LastOrderID
ticket = self.Transactions.GetOrderTicket(order_id)

Get Order Tickets

To get order tickets, call the GetOrderTickets or GetOpenOrderTickets method. You can pass in a filter function to filter all of the order tickets or pass a Symbol to get the order tickets for a specific asset.

// Get all order tickets
var orderTickets = Transactions.GetOrderTickets();

// Get order tickets that pass a filter
var filteredOrderTickets = Transactions.GetOrderTickets(orderTicket => orderTicket.Symbol == symbol);

// Get all open order tickets
var openOrderTickets = Transactions.GetOpenOrderTickets();

// Get all open order tickets for a symbol
var symbolOpenOrderTickets = Transactions.GetOpenOrderTickets(symbol);

// Get open order tickets that pass a filter
var filteredOpenOrderTickets = Transactions.GetOpenOrderTickets(orderTicket => orderTicket.Quantity > 10);

# Get all order tickets
order_tickets = self.Transactions.GetOrderTickets()

# Get order tickets that pass a filter
filtered_order_tickets = self.Transactions.GetOrderTickets(lambda order_ticket: order_ticket.Symbol == symbol)

# Get all open order tickets
open_order_tickets = self.Transactions.GetOpenOrderTickets()

# Get all open order tickets for a symbol
symbol_open_order_tickets = self.Transactions.GetOpenOrderTickets(symbol)

# Get open order tickets that pass a filter
filtered_open_order_tickets = self.Transactions.GetOpenOrderTickets(lambda order_ticket: order_ticket.Quantity > 10)

Get a Single Order

To get a clone of a specific order, call the GetOrderById method with the order Id. To get the order Id, use the OrderId property of the order ticket or use the LastOrderID property if you want the most recent order.

var orderId = Transactions.LastOrderID;
var order = Transactions.GetOrderById(orderId);
order_id = self.Transactions.LastOrderID
order = self.Transactions.GetOrderById(order_id)

Order objects are immutable and changes to the order object will not impact the trade. To make an update to an order you must use Order Tickets. Order objects have the following attributes:

Get Orders

To get a list of orders, call the GetOrders, GetOpenOrders, or GetOrdersByBrokerageId method. These method returns a list of Order objects.

// Get all completed orders
var completedOrders = Transactions.GetOrders();

// Get all completed orders that pass a filter
var filteredCompletedOrders = Transactions.GetOrders(x => x.Quantity > 10);

// Get a list of all completed orders for a symbol
var symbolCompletedOrders = Transactions.GetOrders(x => x.Symbol == symbol);

// Get all open orders
var openOrders = Transactions.GetOpenOrders();

// Get all open orders that pass a filter
var filteredOpenOrders = Transactions.GetOpenOrders(x => x.Quantity > 10);

// Get a list of all open orders for a symbol
var symbolOpenOrders = Transactions.GetOpenOrders(symbol);

// Get all open and completed orders that correspond to an Id that the brokerage assigned in live trading
var ordersByBrokerageId = Transactions.GetOrdersByBrokerageId(brokerageId);
# Get all completed orders
completed_Orders = self.Transactions.GetOrders()

# Get all completed orders that pass a filter
filtered_completed_orders = self.Transactions.GetOrders(lambda x: x.Quantity > 10)

# Retrieve a list of all completed orders for a symbol
symbol_completed_orders = self.Transactions.GetOrders(lambda x: x.Symbol == symbol)

# Get all open orders
open_orders = self.Transactions.GetOpenOrders()

# Get all open orders that pass a filter
filtered_open_orders = self.Transactions.GetOpenOrders(lambda x: x.Quantity > 10)

# Retrieve a list of all open orders for a symbol
symbol_open_orders = self.Transactions.GetOpenOrders(symbol)

# Get all open and completed orders that correspond to an Id that the brokerage assigned in live trading
orders_by_brokerage_id = self.Transactions.GetOrdersByBrokerageId(brokerageId)

Order objects have the following attributes:

The OrdersCount property gets the current number of orders that have been processed.

Get Remaining Order Quantity

To get the unfilled quantity of open orders, call the GetOpenOrdersRemainingQuantity method.

// Get the quantity of all open orders
var allOpenQuantity = Transactions.GetOpenOrdersRemainingQuantity();

// Get the quantity of open orders that pass a filter
var filteredOpenQuantity = Transactions.GetOpenOrdersRemainingQuantity(
    orderTicket => orderTicket.Quantity > 10
);

// Get the quantity of open orders for a symbol
var symbolOpenQuantity = Transactions.GetOpenOrdersRemainingQuantity(symbol);

# Get the quantity of all open orders
all_open_quantity = self.Transactions.GetOpenOrdersRemainingQuantity()

# Get the quantity of open orders that pass a filter
filtered_open_quantity = self.Transactions.GetOpenOrdersRemainingQuantity(
    lambda order_ticket: order_ticket.Quantity > 10
)

# Get the quantity of open orders for a symbol
symbol_open_quantity = self.Transactions.GetOpenOrdersRemainingQuantity(symbol)

Cancel Orders

To cancel open orders, call the CancelOpenOrders method. This method returns a list of OrderTicket objects that correspond to the canceled orders.

// Cancel all open orders
var allCancelledOrders = Transactions.CancelOpenOrders();

// Cancel orders related to IBM and apply a tag
var ibmCancelledOrders = Transactions.CancelOpenOrders("IBM", "Hit stop price");

 # Cancel all open orders
all_cancelled_orders = self.Transactions.CancelOpenOrders()

# Cancel orders related to IBM and apply a tag
ibm_cancelled_orders = self.Transactions.CancelOpenOrders("IBM", "Hit stop price")

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