API Tutorials

Tracking and Managing Orders

Overview

Tracking and managing orders is an important part of an algorithmic trading strategy. Intelligent order management encourages discipline and a deep understanding of your algorithm. Through the QuantConnect API you can get order fields, update their values and cancel pending orders. This can be useful for lowering trading costs and improving order fills. When you place a trade you receive an OrderTicket for you to access the order. This allows you to safely (asynchronously) update and cancel the order while in live trading. In live trading you cannot assume order updates are processed successfully as the brokerage may have already filled the trade.

You can place several types of orders including:

Supported Order Types
Market OrderMarketOrder("SPY", 100);
Limit Ordervar ticket = LimitOrder("SPY", 100, 100.10m);
Stop Market Ordervar ticket = StopMarketOrder("SPY", 100, 100.10m);
Stop Limit Ordervar ticket = StopLimitOrder("SPY", 100, 100.12m, 99.5m);
Market On Open Ordervar ticket = MarketOnOpen("SPY", 100);
Market On Close Ordervar ticket = MarketOnClose("SPY", 100);

Updating Orders

Once you have an order ticket you can use it to get order fields. In C# it looks like: 

var currentStopPrice = _ticket.Get(OrderField.StopPrice);

# Retrive the 'StopPrice' for an order from the ticket
currentStopPrice = _ticket.Get(OrderField.StopPrice)

Or update the order fields (LimitPrice, StopPrice, Tag or Quantity): 

_ticket.Update(new UpdateOrderFields
{
    LimitPrice = newLongLimit,
    Tag = "Update #" + (longOrder.UpdateRequests.Count + 1)
});

# update the order fields (LimitPrice, StopPrice, Tag or Quantity)
updateOrderFields = UpdateOrderFields()
updateOrderFields.LimitPrice = newLongLimit
_ticket.Update(updateOrderFields)

You can also cancel your order if required: 

_ticket.Cancel();
ticket.Cancel()

In the video below we demonstrate putting it all together to create a moving take-profit order which gradually decreases its profit target as time passes.

Full Python Example

This is a complete port from C# to Python of this Quick Start Lesson. 

```Lesson 6 - Tracking and Managing Orders:
Immediately place 4 orders. Plot end of day price of each order in 'Order Tickets' plot. Debug log filled orders.
```
import numpy as np
from decimal import Decimal

class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):
        self._limitTicket = None
        self._stopMarketTicket = None
        self._stopLimitTicket = None
        self.SetCash(25000)
        self.SetStartDate(2009,1,1)
        self.SetEndDate(2009,6,1)
        self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol

    def OnData(self, slice):
        if self._limitTicket is None:

            self.MarketOrder(self.spy, 100)

            self._limitTicket = self.LimitOrder(
                self.spy,
                100,
                slice["SPY"].Close * Decimal(0.9),
                "limit order")

            self._stopMarketTicket = self.StopMarketOrder(
                self.spy,
                -100,
                slice["SPY"].Close * Decimal(0.95),
                "stop market")

            self._stopLimitTicket = self.StopLimitOrder(
                self.spy,
                -100,
                slice["SPY"].Close * Decimal(0.9),
                slice["SPY"].Close * Decimal(0.8),
                "stop limit")


    def OnEndOfDay(self):
        ```End of each day, plot our asset & order prices```
        if self._limitTicket is None:
            return

        self.Plot("Order Tickets", "SPY", self.Portfolio['SPY'].Price)

        if self._stopMarketTicket.Status != OrderStatus.Filled:
            self.Plot("Order Tickets", "Stop Price",
                      self._stopMarketTicket.Get(OrderField.StopPrice))

        if self._stopLimitTicket.Status != OrderStatus.Filled:
            self.Plot("Order Tickets", "Limit Price",
                      self._stopLimitTicket.Get(OrderField.LimitPrice))

    def OnOrderEvent(self, OrderEvent):
        ```Event when the order is filled. Debug log the order fill. :OrderEvent:```

        if OrderEvent.FillQuantity == 0:
            return

        fetched = self.Transactions.GetOrderById(OrderEvent.OrderId)

        self.Debug("{} was filled. Symbol: {}. Quantity: {}. Direction: {}"
                   .format(str(fetched.Type),
                           str(OrderEvent.Symbol),
                           str(OrderEvent.FillQuantity),
                           str(OrderEvent.Direction)))

You can also see our Documentation and Videos. You can also get in touch with us via Chat.

Did you find this page Helpful ?