On_order_event overwrites tag

To address the issue David is facing with the on_order_event handler, we need to ensure that the tag from the OrderEvent is correctly managed and does not lead to a KeyError when accessing self.strategy_positions. Here are some steps and code adjustments to help resolve this:

1. Check for Tag Existence: Before attempting to update self.strategy_positions, check if the tag exists in the dictionary. If it doesn't, initialize it to avoid a KeyError.

2. Initialize Tags: Ensure that all potential tags are initialized in self.strategy_positions before they are used.

3. Logging and Debugging: Add logging to capture the state of the tag and self.strategy_positions for debugging purposes.

Here's how you can modify the on_order_event method:

def on_order_event(self, order_event: OrderEvent) -> None:
    if order_event.status == OrderStatus.FILLED:
        tag = order_event.ticket.tag

        if not tag:
            quantity = order_event.fill_quantity
            symbol = order_event.symbol.value
            self.live_logger(f"on_order_event: no tag for order {quantity} x {symbol}")
        else:
            # Check if the tag exists in the strategy_positions dictionary
            if tag not in self.strategy_positions:
                # Initialize the tag in the dictionary if it doesn't exist
                self.strategy_positions[tag] = 0

            # Safely update the strategy_positions with the fill quantity
            self.strategy_positions[tag] += order_event.fill_quantity

Additional Considerations:

• Order Tag Management: If the OrderEvent is overwriting the tag due to missing quote information, ensure that the tag is set correctly when the order is created or updated. You can use the update_tag method of the OrderTicket to set or update the tag as needed.
• Debugging: Use logging to capture the order events and the state of self.strategy_positions to help identify any issues with tag management.

By implementing these changes, you should be able to prevent the KeyError and ensure that your strategy positions are updated correctly based on the order events.

Sources: Complete Order Tag Update Algorithm, Update Order Regression Algorithm, Order Events - QuantConnect.com, Time In Force Algorithm, Event Handlers - QuantConnect.com

My strategy relies on the tag and it is always existing. However, QuantConnect overwrites my tag in case there is no quote information available.