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Hello,
I have an algo where I hold a security up to n days from the time of opening its position.
I want to have a robust way of rebuilding this state in case the algo crashes and reboots.
Currently I get the filled tickets for the symbols in my portfolio:
invested = [str(k) for k, v in self.Securities.items() if v.Invested]
tickets = [ticket for ticket in self.Transactions.GetOrderTickets() if ticket.Status == OrderStatus.Filled and ticket.Symbol.Value in invested]
Then I can access ticket.Time. But I have one problem.
My algo also updates the ticket daily to create a trailing stop. This will also update ticket.Time.
What I want is a way to get the creation time of the ticket, not last updated time. Is there a way?
Shile Wen
Hi Ed,
I'd suggest creating a dict of times keyed by OrderTickets so that the OrderTickets can still be accessed by list(tickets.keys()), while the original times will stay in the values, and update this dict in OnOrderEvent. I've attached an example in the attached backtest. Furthermore, to handle algorithm crashes, I'd suggest storing information to ObjectStore so that information can be saved. This notebook and this algorithm example also provides good examples of using ObjectStore.
Best,
Shile Wen
Ed West
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