Order struct for placing new trade More...

Inheritance diagram for QuantConnect.Orders.Order:

Public Member Functions
virtual IEnumerable< IPosition >	CreatePositions (SecurityManager securities)
	Creates an enumerable containing each position resulting from executing this order. More...

decimal	GetValue (Security security)
	Gets the value of this order at the given market price in units of the account currency NOTE: Some order types derive value from other parameters, such as limit prices More...

virtual string	GetDefaultTag ()
	Gets the default tag for this order More...

virtual void	ApplyUpdateOrderRequest (UpdateOrderRequest request)
	Modifies the state of this order to match the update request More...

override string	ToString ()
	Returns a string that represents the current object. More...

abstract Order	Clone ()
	Creates a deep-copy clone of this order More...

Static Public Member Functions
static Order	CreateOrder (SubmitOrderRequest request)
	Creates an Order to match the specified request More...

Public Attributes
DateTime	CreatedTime => Time
	Gets the utc time this order was created. Alias for Time More...

TimeInForce	TimeInForce => Properties.TimeInForce
	Order Time In Force More...

SecurityType	SecurityType => Symbol.ID.SecurityType
	The symbol's security type More...

decimal	AbsoluteQuantity => Math.Abs(Quantity)
	Get the absolute quantity for this order More...

decimal	Value => Quantity * Price
	Deprecated More...

Protected Member Functions
	Order ()
	Added a default constructor for JSON Deserialization: More...

	Order (Symbol symbol, decimal quantity, DateTime time, GroupOrderManager groupOrderManager, string tag="", IOrderProperties properties=null)
	New order constructor More...

	Order (Symbol symbol, decimal quantity, DateTime time, string tag="", IOrderProperties properties=null)
	New order constructor More...

abstract decimal	GetValueImpl (Security security)
	Gets the order value in units of the security's quote currency for a single unit. A single unit here is a single share of stock, or a single barrel of oil, or the cost of a single share in an option contract. More...

void	CopyTo (Order order)
	Copies base Order properties to the specified order More...

Properties
int	Id `[get, set]`
	Order ID. More...

int	ContingentId `[get, set]`
	Order id to process before processing this order. More...

List< string >	BrokerId `[get, set]`
	Brokerage Id for this order for when the brokerage splits orders into multiple pieces More...

Symbol	Symbol `[get, set]`
	Symbol of the Asset More...

decimal	Price `[get, set]`
	Price of the Order. More...

string	PriceCurrency `[get, set]`
	Currency for the order price More...

DateTime	Time `[get, set]`
	Gets the utc time the order was created. More...

DateTime?	LastFillTime `[get, set]`
	Gets the utc time the last fill was received, or null if no fills have been received More...

DateTime?	LastUpdateTime `[get, set]`
	Gets the utc time this order was last updated, or null if the order has not been updated. More...

DateTime?	CanceledTime `[get, set]`
	Gets the utc time this order was canceled, or null if the order was not canceled. More...

virtual decimal	Quantity `[get, set]`
	Number of shares to execute. More...

abstract OrderType	Type `[get]`
	Order Type More...

OrderStatus	Status `[get, set]`
	Status of the Order More...

string	Tag `[get, set]`
	Tag the order with some custom data More...

IOrderProperties	Properties `[get]`
	Additional properties of the order More...

OrderDirection	Direction `[get]`
	Order Direction Property based off Quantity. More...

OrderSubmissionData	OrderSubmissionData `[get, set]`
	Gets the price data at the time the order was submitted More...

bool	IsMarketable `[get]`
	Returns true if the order is a marketable order. More...

GroupOrderManager	GroupOrderManager `[get, set]`
	Manager for the orders in the group if this is a combo order More...

DataNormalizationMode	PriceAdjustmentMode `[get, set]`
	The adjustment mode used on the order fill price More...

Detailed Description

Order struct for placing new trade

Definition at line 31 of file Order.cs.

Constructor & Destructor Documentation

◆ Order() [1/3]

QuantConnect.Orders.Order.Order ( )

protected

Added a default constructor for JSON Deserialization:

Definition at line 242 of file Order.cs.

◆ Order() [2/3]

QuantConnect.Orders.Order.Order	(	Symbol	symbol,
		decimal	quantity,
		DateTime	time,
		GroupOrderManager	groupOrderManager,
		string	tag = `""`,
		IOrderProperties	properties = `null`
	)

protected

New order constructor

Parameters

symbol	Symbol asset we're seeking to trade
quantity	Quantity of the asset we're seeking to trade
time	Time the order was placed
groupOrderManager	Manager for the orders in the group if this is a combo order
tag	User defined data tag for this order
properties	The order properties for this order

Definition at line 263 of file Order.cs.

◆ Order() [3/3]

QuantConnect.Orders.Order.Order	(	Symbol	symbol,
		decimal	quantity,
		DateTime	time,
		string	tag = `""`,
		IOrderProperties	properties = `null`
	)

protected

New order constructor

Parameters

symbol	Symbol asset we're seeking to trade
quantity	Quantity of the asset we're seeking to trade
time	Time the order was placed
tag	User defined data tag for this order
properties	The order properties for this order

Definition at line 285 of file Order.cs.

Member Function Documentation

◆ CreatePositions()

virtual IEnumerable<IPosition> QuantConnect.Orders.Order.CreatePositions ( SecurityManager securities )

virtual

Creates an enumerable containing each position resulting from executing this order.

This is provided in anticipation of a new combo order type that will need to override this method, returning a position for each 'leg' of the order.

Returns: An enumerable of positions matching the results of executing this order

Definition at line 298 of file Order.cs.

◆ GetValue()

decimal QuantConnect.Orders.Order.GetValue ( Security security )

Gets the value of this order at the given market price in units of the account currency NOTE: Some order types derive value from other parameters, such as limit prices

Parameters

security The security matching this order's symbol

Returns: The value of this order given the current market price

TODO: we should remove this. Only used in tests

Definition at line 311 of file Order.cs.

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◆ GetValueImpl()

abstract decimal QuantConnect.Orders.Order.GetValueImpl ( Security security )

protectedpure virtual

Gets the order value in units of the security's quote currency for a single unit. A single unit here is a single share of stock, or a single barrel of oil, or the cost of a single share in an option contract.

Parameters

security The security matching this order's symbol

Implemented in QuantConnect.Orders.LimitIfTouchedOrder, QuantConnect.Orders.StopLimitOrder, QuantConnect.Orders.LimitOrder, QuantConnect.Orders.StopMarketOrder, QuantConnect.Orders.MarketOnCloseOrder, QuantConnect.Orders.MarketOrder, QuantConnect.Orders.ComboLegLimitOrder, QuantConnect.Orders.ComboLimitOrder, QuantConnect.Orders.OptionExerciseOrder, QuantConnect.Orders.MarketOnOpenOrder, and QuantConnect.Orders.ComboMarketOrder.

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◆ GetDefaultTag()

virtual string QuantConnect.Orders.Order.GetDefaultTag ( )

virtual

Gets the default tag for this order

Returns: The default tag

Reimplemented in QuantConnect.Orders.TrailingStopOrder, QuantConnect.Orders.LimitIfTouchedOrder, QuantConnect.Orders.StopLimitOrder, QuantConnect.Orders.LimitOrder, and QuantConnect.Orders.StopMarketOrder.

Definition at line 329 of file Order.cs.

◆ ApplyUpdateOrderRequest()

virtual void QuantConnect.Orders.Order.ApplyUpdateOrderRequest ( UpdateOrderRequest request )

virtual

Modifies the state of this order to match the update request

Parameters

request The request to update this order object

Reimplemented in QuantConnect.Orders.StopLimitOrder, QuantConnect.Orders.TrailingStopOrder, QuantConnect.Orders.LimitIfTouchedOrder, QuantConnect.Orders.StopMarketOrder, QuantConnect.Orders.LimitOrder, QuantConnect.Orders.ComboLegLimitOrder, QuantConnect.Orders.ComboOrder, and QuantConnect.Orders.ComboLimitOrder.

Definition at line 347 of file Order.cs.

◆ ToString()

override string QuantConnect.Orders.Order.ToString ( )

Returns a string that represents the current object.

Returns: A string that represents the current object.

Definition at line 370 of file Order.cs.

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◆ Clone()

abstract Order QuantConnect.Orders.Order.Clone ( )

pure virtual

Creates a deep-copy clone of this order

Returns: A copy of this order

Implemented in QuantConnect.Orders.StopLimitOrder, QuantConnect.Orders.TrailingStopOrder, QuantConnect.Orders.StopMarketOrder, QuantConnect.Orders.LimitIfTouchedOrder, QuantConnect.Orders.LimitOrder, QuantConnect.Orders.ComboLegLimitOrder, QuantConnect.Orders.MarketOnCloseOrder, QuantConnect.Orders.ComboLimitOrder, QuantConnect.Orders.MarketOrder, QuantConnect.Orders.OptionExerciseOrder, QuantConnect.Orders.MarketOnOpenOrder, and QuantConnect.Orders.ComboMarketOrder.

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◆ CopyTo()

void QuantConnect.Orders.Order.CopyTo ( Order order )

protected

Copies base Order properties to the specified order

Parameters

order The target of the copy

Definition at line 385 of file Order.cs.

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◆ CreateOrder()

static Order QuantConnect.Orders.Order.CreateOrder ( SubmitOrderRequest request )

static

Creates an Order to match the specified request

Parameters

request The SubmitOrderRequest to create an order for

Returns: The Order that matches the request

Definition at line 413 of file Order.cs.

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Member Data Documentation

◆ CreatedTime

DateTime QuantConnect.Orders.Order.CreatedTime => Time

Gets the utc time this order was created. Alias for Time

Definition at line 102 of file Order.cs.

◆ TimeInForce

TimeInForce QuantConnect.Orders.Order.TimeInForce => Properties.TimeInForce

Order Time In Force

Definition at line 148 of file Order.cs.

◆ SecurityType

SecurityType QuantConnect.Orders.Order.SecurityType => Symbol.ID.SecurityType

The symbol's security type

Definition at line 166 of file Order.cs.

◆ AbsoluteQuantity

decimal QuantConnect.Orders.Order.AbsoluteQuantity => Math.Abs(Quantity)

Get the absolute quantity for this order

Definition at line 192 of file Order.cs.

◆ Value

decimal QuantConnect.Orders.Order.Value => Quantity * Price

Deprecated

Definition at line 198 of file Order.cs.

Property Documentation

◆ Id

int QuantConnect.Orders.Order.Id

getset

Order ID.

Definition at line 43 of file Order.cs.

◆ ContingentId

int QuantConnect.Orders.Order.ContingentId

getset

Order id to process before processing this order.

Definition at line 62 of file Order.cs.

◆ BrokerId

List<string> QuantConnect.Orders.Order.BrokerId

getset

Brokerage Id for this order for when the brokerage splits orders into multiple pieces

Definition at line 68 of file Order.cs.

◆ Symbol

Symbol QuantConnect.Orders.Order.Symbol

getset

Symbol of the Asset

Definition at line 74 of file Order.cs.

◆ Price

decimal QuantConnect.Orders.Order.Price

getset

Price of the Order.

Definition at line 81 of file Order.cs.

◆ PriceCurrency

string QuantConnect.Orders.Order.PriceCurrency

getset

Currency for the order price

Definition at line 90 of file Order.cs.

◆ Time

DateTime QuantConnect.Orders.Order.Time

getset

Gets the utc time the order was created.

Definition at line 96 of file Order.cs.

◆ LastFillTime

DateTime? QuantConnect.Orders.Order.LastFillTime

getset

Gets the utc time the last fill was received, or null if no fills have been received

Definition at line 108 of file Order.cs.

◆ LastUpdateTime

DateTime? QuantConnect.Orders.Order.LastUpdateTime

getset

Gets the utc time this order was last updated, or null if the order has not been updated.

Definition at line 114 of file Order.cs.

◆ CanceledTime

DateTime? QuantConnect.Orders.Order.CanceledTime

getset

Gets the utc time this order was canceled, or null if the order was not canceled.

Definition at line 120 of file Order.cs.

◆ Quantity

virtual decimal QuantConnect.Orders.Order.Quantity

getset

Number of shares to execute.

Definition at line 127 of file Order.cs.

◆ Type

abstract OrderType QuantConnect.Orders.Order.Type

get

Order Type

Definition at line 136 of file Order.cs.

◆ Status

OrderStatus QuantConnect.Orders.Order.Status

getset

Status of the Order

Definition at line 142 of file Order.cs.

◆ Tag

string QuantConnect.Orders.Order.Tag

getset

Tag the order with some custom data

Definition at line 154 of file Order.cs.

◆ Properties

IOrderProperties QuantConnect.Orders.Order.Properties

get

Additional properties of the order

Definition at line 160 of file Order.cs.

◆ Direction

OrderDirection QuantConnect.Orders.Order.Direction

get

Order Direction Property based off Quantity.

Definition at line 173 of file Order.cs.

◆ OrderSubmissionData

OrderSubmissionData QuantConnect.Orders.Order.OrderSubmissionData

getset

Gets the price data at the time the order was submitted

Definition at line 204 of file Order.cs.

◆ IsMarketable

bool QuantConnect.Orders.Order.IsMarketable

get

Returns true if the order is a marketable order.

Definition at line 211 of file Order.cs.

◆ GroupOrderManager

GroupOrderManager QuantConnect.Orders.Order.GroupOrderManager

getset

Manager for the orders in the group if this is a combo order

Definition at line 231 of file Order.cs.

◆ PriceAdjustmentMode

DataNormalizationMode QuantConnect.Orders.Order.PriceAdjustmentMode

getset

The adjustment mode used on the order fill price

Definition at line 237 of file Order.cs.

The documentation for this class was generated from the following file:

Common/Orders/Order.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Protected Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ Order() [1/3]

◆ Order() [2/3]

◆ Order() [3/3]

Member Function Documentation

◆ CreatePositions()

◆ GetValue()

◆ GetValueImpl()

◆ GetDefaultTag()

◆ ApplyUpdateOrderRequest()

◆ ToString()

◆ Clone()

◆ CopyTo()

◆ CreateOrder()

Member Data Documentation

◆ CreatedTime

◆ TimeInForce

◆ SecurityType

◆ AbsoluteQuantity

◆ Value

Property Documentation

◆ Id

◆ ContingentId

◆ BrokerId

◆ Symbol

◆ Price

◆ PriceCurrency

◆ Time

◆ LastFillTime

◆ LastUpdateTime

◆ CanceledTime

◆ Quantity

◆ Type

◆ Status

◆ Tag

◆ Properties

◆ Direction

◆ OrderSubmissionData

◆ IsMarketable

◆ GroupOrderManager

◆ PriceAdjustmentMode