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Tagging and Tracking Orders

Hello,

I am working through the algorithm framework and am looking to tag my orders so I can track what part of the framework triggered a specific order (Portfolio Rebalancing, Drawdown past the MaxDrawdown limit in Risk Management, Insight time expiration, etc.). 

At first, I thought I could create limit orders in the Execution Model and then update the tags within the Alpha, Portfolio Construction, Risk Management modules however I think this violates the separation of concerns principle. I was wondering the following:

1). Does the approach I describe above work or does it violate the separation of concerns?

2). If it does violate, are there any common ways to work around the order tags while still tracking each module's effect on my overall targets?

 

Thank you for the help,

Jason

 

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Hi Jason,

This may be impossible to achieve since the only component of the Framework that works with Orders is the Execution Model, which does not get specific information on which component the OrderEvent is caused by. Since each component does not know which orders it will be causing, it will be difficult to try and update the tags within the component.

Best,
Shile Wen

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Understand this is difficult. But this will be a great feature to have. I have many signals, and like to know which one caused to trigger the order.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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