How to loop through my open positions? by Carlos Mata

Carlos Mata

, edit

Good afternoon,

My trading system places limit orders after market is closed. After the close next day I want to check which positions were executed. How do I loop through the currently open positions?

Entry is based on a ranking from a universe. The system does not liquidate stocks on _changes.RemovedSecurities. The system holds the position until stop loss or profit target is hit. I would like to loop through each stock to set stop and profit target price dependent on the fill price. Any suggestions? Many thanks!

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6 Comments

Carlos Mata

, ,

Accepted Answer

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Alexandre Catarino

In Lean/QuantConnect, we differ Order from OrderTicket. While Order is a struct for placing a new trade, an OrderTicket is a single reference to an order for the algorithm to maintain. As the order gets updated this ticket will also get updated. Here we find the fill price, fill quantity, status, etc.

If we want the orders that got filled (open positions), we can use the Transactions object:

// All filled orders

var tickets = Transactions

    .GetOrderTickets(x => x.Status == OrderStatus.Filled);

Then we can loop through them to get the information we need (symbol, fill price and quantity) to issue a new order:

foreach (var ticket in tickets)

{

    var symbol = ticket.Symbol;

    var fillQuantity = ticket.QuantityFilled;

    var fillPrice = ticket.AverageFillPrice;

}

Alexandre Catarino

Let me add a suggestion: instead of looping throught the position, we can use the OnOrderEvent event handler:

public override void OnOrderEvent(OrderEvent orderEvent)

{

    if (orderEvent.Status.IsFill())

    {

        var symbol = orderEvent.Symbol;

        var fillQuantity = orderEvent.FillQuantity;

        var fillPrice = orderEvent.FillPrice;

    }

}

and we can add a new stop and profit target as soon as the order is filled.

Carlos Mata

270 ,

Many Thanks for your quick reply Alexandre!

Just to double check:

The looping example runs in on OnData() method, so with daily resolution, the stop and profit target orders would be placed after the day's close?

The second example OnOrderEvent can place the stop and profit target orders as soon as the order is filled (intraday)?

Alexandre Catarino

The daily bar only arrives after market close, so the new orders will be placed on market open. If there is a gap, these orders may never get filled.
When we subscribe to daily resolution data in backtest, "as soon as possible" does not mean intraday, since there is no data flowing to fill the order in a lower resolution.

Carlos Mata

270 ,

Excellent! Many thanks :-)

Larry Smith

99 ,

Alexandre Catarino, do you have any design notes that describe dataflow ?

Such as to place a trade, module X receives trade Order which then calls method Y that is responsible for submitting trade?

I found a PDF , however , it doesn't get to this level of depth & breadth of detail.

Carlos Mata

, , edit

Update Backtest

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