Managing multiple independent Alpha Models and accounting for unfilled orders

In the solution Mia provided, everything is good except when unfilled or partially filled orders come into play. Maybe there is a way to track which alpha model had made which trade in OnOrderEvent?

In QuantConnect, you can manage orders from multiple alpha models by using the OrderTicket object. When you place an order, the method returns an OrderTicket object that you can use to track the status of the order. This includes whether the order is filled, partially filled, or unfilled.

Here is an example of how you can place an order and save a reference to the OrderTicket:

ticket = self.StopMarketOrder("XLK", -10, 130)
self.Debug(f"Quantity filled: {ticket.QuantityFilled}; Fill price: {ticket.AverageFillPrice}")

In this example, ticket.QuantityFilled gives you the number of shares that have been filled, and ticket.AverageFillPrice gives you the average price at which the shares were filled.

If you have multiple alpha models sending orders, you can keep track of the OrderTickets for each order in a data structure such as a list or a dictionary. This way, you can easily access the OrderTickets later to check the status of the orders.

For more information about how to manage orders in QuantConnect, you can refer to the Order Management section of the QuantConnect documentation.

As for handling unfilled or partially filled orders, you can use the OrderStatus property of the OrderTicket to check the status of the order. If the order is partially filled, you can decide whether to cancel the order or wait for it to be fully filled based on your trading strategy.

Remember that the handling of multiple alpha models and their orders can be complex and requires careful design of your algorithm. You might also want to consider the impact of multiple orders on your portfolio and risk management.

For more detailed discussions and examples, you can refer to the QuantConnect Forum where users share their experiences and strategies.

To manage orders from multiple alpha models and track unfilled or partially filled orders, you can use the OrderTicket object. When you create an order, you get an OrderTicket object to manage your order. This object automatically updates as the state of your order changes over time. You can check the properties of the order ticket to track an order.

Here is an example of how to get an order field in Python:

limit_price = order_ticket.Get(OrderField.LimitPrice)

You can also use the OnOrderEvent event handler to receive order events. This can be particularly useful for tracking orders from multiple alpha models. However, please note that the code that runs within the OnOrderEvent must be thread-safe.

Here is an example of how to use the OrderTicket object to monitor the fills of your order in Python:

ticket = self.MarketOrder("XLK", 10)
self.Debug(f"Quantity filled: {ticket.QuantityFilled}; Fill price: {ticket.AverageFillPrice}")

In this example, QuantityFilled and AverageFillPrice are properties of the OrderTicket object that you can use to track the status of your order.

For more information, you can refer to the following documentation:

• Order Tickets
• Order Types
• Order Events

Mia, could you please give an example of how I could manage multiple alpha models and access the quantity for a given symbol that a given alpha model has created, accounted for the fact that orders might get unfilled or partially filled? Thank you.

To manage multiple alpha models and track the quantity for a given symbol that a given alpha model has created, you can use the OrderTicket object. When you create an order, you get an OrderTicket object to manage your order. This object automatically updates as the state of your order changes over time. You can check the properties of the order ticket to track an order.

Here is an example of how to get an order field in Python:

limit_price = order_ticket.Get(OrderField.LimitPrice)

You can also use the OnOrderEvent event handler to receive order events. This can be particularly useful for tracking orders from multiple alpha models. However, please note that the code that runs within the OnOrderEvent must be thread-safe.

Here is an example of how to use the OrderTicket object to monitor the fills of your order in Python:

ticket = self.MarketOrder("XLK", 10)
self.Debug(f"Quantity filled: {ticket.QuantityFilled}; Fill price: {ticket.AverageFillPrice}")

In this example, QuantityFilled and AverageFillPrice are properties of the OrderTicket object that you can use to track the status of your order.

For more information, you can refer to the following documentation:

• Order Tickets
• Order Types
• Order Events

To handle unfilled or partially filled orders, you can use the OrderStatus property of the OrderTicket to check the status of the order. If the order is partially filled, you can decide whether to cancel the order or wait for it to be fully filled based on your trading strategy.

Remember that the handling of multiple alpha models and their orders can be complex and requires careful design of your algorithm. You might also want to consider the impact of multiple orders on your portfolio and risk management.

Is it possible to track how much of a security (in quantity) each alpha model currently has open?

To track how much of a security each alpha model currently has open, you can use the OrderTicket object. When you create an order, you get an OrderTicket object to manage your order. This object automatically updates as the state of your order changes over time. You can check the properties of the order ticket to track an order.

Here is an example of how to get an order field in Python:

limit_price = order_ticket.Get(OrderField.LimitPrice)

You can also use the OnOrderEvent event handler to receive order events. This can be particularly useful for tracking orders from multiple alpha models. However, please note that the code that runs within the OnOrderEvent must be thread-safe.

Here is an example of how to use the OrderTicket object to monitor the fills of your order in Python:

ticket = self.MarketOrder("XLK", 10)
self.Debug(f"Quantity filled: {ticket.QuantityFilled}; Fill price: {ticket.AverageFillPrice}")

In this example, QuantityFilled and AverageFillPrice are properties of the OrderTicket object that you can use to track the status of your order.

For more information, you can refer to the following documentation:

• Order Tickets
• Order Types
• Order Events

To handle unfilled or partially filled orders, you can use the OrderStatus property of the OrderTicket to check the status of the order. If the order is partially filled, you can decide whether to cancel the order or wait for it to be fully filled based on your trading strategy.

Remember that the handling of multiple alpha models and their orders can be complex and requires careful design of your algorithm. You might also want to consider the impact of multiple orders on your portfolio and risk management.

Hi Matas,

An Alpha model generates a signal; the Portfolio Construction model combines the signals in a black box to generate a risk-adjusted portfolio. There is no 1-1 relationship between a portfolio quantity and insight.

E.g. The PCM might choose to use options to trade instead of the asset emitted to reduce the risk. 

Best
Jared