Hi community,
Most algorithms rely on the timely execution of orders -- especially intraday.
Is there an example (C# preferred) that demonstrates how to compute the average delay time between quantconnect and alpaca -- aka. from the time the order is issued from the algorithm in QuantConnect live server to the time it is filled in Alpaca and the result posted?
Thanks!
Rahul Chowdhury
Hey Ivan,
You can implement this in the OnOrderEvent method which is fired every time an order is submitted, filled, etc. We can find the filled order by its order id and then find the difference between the current time and the created time.
public override void OnOrderEvent(OrderEvent orderEvent){ if (orderEvent.Status == OrderStatus.Filled) { var order = Transactions.GetOrderById(orderEvent.OrderId); var span = UtcTime - order.CreatedTime; } }
If you desire more detailed information about orders, you can ask support@quantconnect.com.Â
Ivan P Krotnev
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