Updating cancelled order re-creates it?

Hi Yuri

We recommend the implementation of Placing Active Orders of One Cancels the Others Orders. You may want to add additional logic on PartiallyFilled with Update the size of other orders.

def OnOrderEvent(self, orderEvent: OrderEvent) -> None:
    if orderEvent.Status == OrderStatus.Filled:
        if orderEvent.OrderId == self.ticket.OrderId:
            self.stop_loss = self.StopMarketOrder(orderEvent.Symbol, -orderEvent.FillQuantity, orderEvent.FillPrice*0.95)
            self.take_profit = self.LimitOrder(orderEvent.Symbol, -orderEvent.FillQuantity, orderEvent.FillPrice*1.10)

        elif self.stop_loss is not None and orderEvent.OrderId == self.stop_loss.OrderId:
            self.take_profit.Cancel()

        elif self.take_profit is not None and orderEvent.OrderId == self.take_profit.OrderId:
            self.stop_loss.Cancel()
            
    elif orderEvent.Status == OrderStatus.PatiallyFilled:
        if self.stop_loss is not None and orderEvent.OrderId == self.stop_loss.OrderId:
            updateSettings = UpdateOrderFields()
            updateSettings.Quantity = ...
            self.take_profit.Update(updateSettings)
            
        elif self.take_profit is not None and orderEvent.OrderId == self.take_profit.OrderId:
            updateSettings = UpdateOrderFields()
            updateSettings.Quantity = ...
            self.stop_loss.Update(updateSettings)

Best
Louis

Hi, Louis Szeto this is basically how I implemented it, how does it solve the problem I am having?

Hi Yuri

I’m not sure about why your algorithm would return a quantity of 564 when there should have no state of remaining 564 shares following the flow of your logs. Have you try:

qty = self.Portfolio[symbol].Quantity
if qty != 0:
    updateSettings = UpdateOrderFields()
    updateSettings.Quantity = -qty
    …

? That way you would have use the singular portfolio state rather than outdated data.

Best
Louis

Hi, Louis, the problem I am trying to solve is in the subject, it is when Lean creates a new order, when I am simply trying to update an order, which is an unexpected behavior in my opinion. I do not expect that when I am trying to update an order, that it would create a new one. 

Perhaps it will be more clear if you focus on these lines in log:

# cancelling limit order
2022-06-30 13:38:32 New Order Event: Time: 06/30/2022 13:38:32 OrderID: 3 EventID: 2 Symbol: ASPN Status: CancelPending Quantity: -1164 LimitPrice: 10.62

# trying to update limit order on Partial fills
2022-06-30 13:38:32 New Order Event: Time: 06/30/2022 13:38:32 OrderID: 3 EventID: 3 Symbol: ASPN Status: UpdateSubmitted Quantity: -564 LimitPrice: 10.62 Message: Interactive Brokers Order Event

as you can see here, at the same time first I try to cancel order, then to update its quantity. This is because PartialFill event was sent in my handler AFTER the Fill event. That is why my code first cancels order (on Fill event), then tries to update it (on PartialFill event)

and then you can see this:

# Status=New??? Why would would it create a new order now?
2022-06-30 13:38:32 New Order Event: Time: 06/30/2022 13:38:32 OrderID: 3 EventID: 4 Symbol: ASPN Status: New Quantity: -564 LimitPrice: 10.62 Message: Interactive Brokers Order Event

2022-06-30 13:38:32 New Order Event: Time: 06/30/2022 13:38:32 OrderID: 3 EventID: 5 Symbol: ASPN Status: UpdateSubmitted Quantity: -564 LimitPrice: 10.62 Message: Interactive Brokers Order Event

Here order status was reset to New. Instead of staying canceled, it was changed back to New. 

So now that I think about it, I guess it is properly to say that the order was uncancelled, i.e. its status was reset from Cancelled to New? Still not sure if this is expected behavior. In real trading I expect cancelled order to remain cancelled.

Also, I was not able to re-create this behavior in backtesting. Perhaps this only happens when order has status CancelPending, or there is some other difference between backtesting and live.

Any additional thoughts on this Louis Szeto?

Hi Yuri Lopukhov ,

Please send an email to support@quantconnect.com. 
We can try to fetch the syslog of that live deployment to understand what happened.

We have had reports about orders with OrderStatus.New that the Engineering Team has addressed. Orders were submitted to IB but never got a response, so the order status didn't change from OrderStatus.New to OrderStatus.Submitted. It looks like your case is different, but we cannot be sure without reading the syslogs. Regardless, the fixes were implemented after you created this thread.

Best regards,
Alex