QuantConnect.Orders Namespace Reference

Classes
class	AlpacaOrderProperties
	Provides an implementation of the OrderProperties specific to Alpaca order. More...
class	ApiOrderResponse
	Api order and order events reponse More...
class	BinanceOrderProperties
	Contains additional properties and settings for an order submitted to Binance brokerage More...
class	BitfinexOrderProperties
	Contains additional properties and settings for an order submitted to Bitfinex brokerage More...
class	BrokerageOrderIdChangedEvent
	Event used when the brokerage order id has changed More...
class	CancelOrderRequest
	Defines a request to cancel an order More...
class	CharlesSchwabOrderProperties
	Contains additional properties and settings for an order submitted to Charles Schwab brokerage More...
class	CoinbaseOrderProperties
	Contains additional properties and settings for an order submitted to Coinbase brokerage More...
class	ComboLegLimitOrder
	Combo leg limit order type More...
class	ComboLimitOrder
	Combo limit order type More...
class	ComboMarketOrder
	Combo market order type More...
class	ComboOrder
	Combo order type More...
class	EzeOrderProperties
	Contains additional properties and settings for an order submitted to EZE brokerage More...
class	FixOrderProperites
	FIX (Financial Information Exchange) order properties More...
class	FTXOrderProperties
	Contains additional properties and settings for an order submitted to FTX brokerage More...
class	GDAXOrderProperties
	Contains additional properties and settings for an order submitted to GDAX brokerage More...
class	GroupOrderCacheManager
	Provides a thread-safe service for caching and managing original orders when they are part of a group. More...
class	GroupOrderExtensions
	Group (combo) orders extension methods for easiest combo order manipulation More...
class	GroupOrderManager
	Manager of a group of orders More...
class	IndiaOrderProperties
	Contains additional properties and settings for an order submitted to Indian Brokerages More...
class	InteractiveBrokersOrderProperties
	Contains additional properties and settings for an order submitted to Interactive Brokers More...
class	KrakenOrderProperties
	Kraken order properties More...
class	Leg
	Basic order leg More...
class	LimitIfTouchedOrder
	In effect, a LimitIfTouchedOrder behaves opposite to the StopLimitOrder; after a trigger price is touched, a limit order is set for some user-defined value above (below) the trigger when selling (buying). https://www.interactivebrokers.ca/en/index.php?f=45318 More...
class	LimitOrder
	Limit order type definition More...
class	MarketOnCloseOrder
	Market on close order type - submits a market order on exchange close More...
class	MarketOnOpenOrder
	Market on Open order type, submits a market order when the exchange opens More...
class	MarketOrder
	Market order type definition More...
class	OptionExerciseOrder
	Option exercise order type definition More...
class	Order
	Order struct for placing new trade More...
class	OrderEvent
	Order Event - Messaging class signifying a change in an order state and record the change in the user's algorithm portfolio More...
class	OrderExtensions
	Provides extension methods for the Order class and for the OrderStatus enumeration More...
class	OrderJsonConverter
	Provides an implementation of JsonConverter that can deserialize Orders More...
class	OrderProperties
	Contains additional properties and settings for an order More...
class	OrderRequest
	Represents a request to submit, update, or cancel an order More...
class	OrderResponse
	Represents a response to an OrderRequest. See OrderRequest.Response property for a specific request's response value More...
class	OrderSizing
	Provides methods for computing a maximum order size. More...
class	OrdersResponseWrapper
	Collection container for a list of orders for a project More...
class	OrderSubmissionData
	The purpose of this class is to store time and price information available at the time an order was submitted. More...
class	OrderTicket
	Provides a single reference to an order for the algorithm to maintain. As the order gets updated this ticket will also get updated More...
class	OrderUpdateEvent
	Event that fires each time an order is updated in the brokerage side. These are not status changes but mainly price changes, like the stop price of a trailing stop order. More...
class	RBIOrderProperties
	RBI order properties More...
class	ReadOrdersResponseJsonConverter
	Api orders read response json converter More...
class	StopLimitOrder
	Stop Market Order Type Definition More...
class	StopMarketOrder
	Stop Market Order Type Definition More...
class	SubmitOrderRequest
	Defines a request to submit a new order More...
class	TDAmeritradeOrderProperties
	TDAmeritrade order properties More...
class	TerminalLinkOrderProperties
	The terminal link order properties More...
class	TimeInForce
	Time In Force - defines the length of time over which an order will continue working before it is canceled More...
class	TimeInForceJsonConverter
	Provides an implementation of JsonConverter that can deserialize TimeInForce objects More...
class	TradeStationOrderProperties
	Represents the properties of an order in TradeStation. More...
class	TradingTechnologiesOrderProperties
	Trading Technologies order properties More...
class	TrailingStopOrder
	Trailing Stop Order Type Definition More...
class	UpdateOrderFields
	Specifies the data in an order to be updated More...
class	UpdateOrderRequest
	Defines a request to update an order's values More...
class	WolverineOrderProperties
	Wolverine order properties More...

Enumerations
enum	OrderError {   OrderError.CanNotUpdateFilledOrder = -8, OrderError.GeneralError = -7, OrderError.TimestampError = -6, OrderError.MaxOrdersExceeded = -5,   OrderError.InsufficientCapital = -4, OrderError.MarketClosed = -3, OrderError.NoData = -2, OrderError.ZeroQuantity = -1,   OrderError.None = 0 }
	Specifies the possible error states during presubmission checks More...
enum	OrderField {   OrderField.LimitPrice, OrderField.StopPrice, OrderField.TriggerPrice, OrderField.TrailingAmount,   OrderField.TrailingAsPercentage }
	Specifies an order field that does not apply to all order types More...
enum	OrderRequestStatus { OrderRequestStatus.Unprocessed, OrderRequestStatus.Processing, OrderRequestStatus.Processed, OrderRequestStatus.Error }
	Specifies the status of a request More...
enum	OrderRequestType { OrderRequestType.Submit, OrderRequestType.Update, OrderRequestType.Cancel }
	Specifies the type of OrderRequest More...
enum	OrderResponseErrorCode {   OrderResponseErrorCode.None = 0, OrderResponseErrorCode.ProcessingError = -1, OrderResponseErrorCode.OrderAlreadyExists = -2, OrderResponseErrorCode.InsufficientBuyingPower = -3,   OrderResponseErrorCode.BrokerageModelRefusedToSubmitOrder = -4, OrderResponseErrorCode.BrokerageFailedToSubmitOrder = -5, OrderResponseErrorCode.BrokerageFailedToUpdateOrder = -6, OrderResponseErrorCode.BrokerageHandlerRefusedToUpdateOrder = -7,   OrderResponseErrorCode.BrokerageFailedToCancelOrder = -8, OrderResponseErrorCode.InvalidOrderStatus = -9, OrderResponseErrorCode.UnableToFindOrder = -10, OrderResponseErrorCode.OrderQuantityZero = -11,   OrderResponseErrorCode.UnsupportedRequestType = -12, OrderResponseErrorCode.PreOrderChecksError = -13, OrderResponseErrorCode.MissingSecurity = -14, OrderResponseErrorCode.ExchangeNotOpen = -15,   OrderResponseErrorCode.SecurityPriceZero = -16, OrderResponseErrorCode.ForexBaseAndQuoteCurrenciesRequired = -17, OrderResponseErrorCode.ForexConversionRateZero = -18, OrderResponseErrorCode.SecurityHasNoData = -19,   OrderResponseErrorCode.ExceededMaximumOrders = -20, OrderResponseErrorCode.MarketOnCloseOrderTooLate = -21, OrderResponseErrorCode.InvalidRequest = -22, OrderResponseErrorCode.RequestCanceled = -23,   OrderResponseErrorCode.AlgorithmWarmingUp = -24, OrderResponseErrorCode.BrokerageModelRefusedToUpdateOrder = -25, OrderResponseErrorCode.QuoteCurrencyRequired = -26, OrderResponseErrorCode.ConversionRateZero = -27,   OrderResponseErrorCode.NonTradableSecurity = -28, OrderResponseErrorCode.NonExercisableSecurity = -29, OrderResponseErrorCode.OrderQuantityLessThanLotSize = -30, OrderResponseErrorCode.ExceedsShortableQuantity = -31,   OrderResponseErrorCode.InvalidNewOrderStatus = -32, OrderResponseErrorCode.EuropeanOptionNotExpiredOnExercise = -33, OrderResponseErrorCode.OptionOrderOnStockSplit = -34 }
	Error detail code More...
enum	OrderType {   OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit,   OrderType.MarketOnOpen, OrderType.MarketOnClose, OrderType.OptionExercise, OrderType.LimitIfTouched,   OrderType.ComboMarket, OrderType.ComboLimit, OrderType.ComboLegLimit, OrderType.TrailingStop }
	Type of the order: market, limit or stop More...
enum	OrderDirection { OrderDirection.Buy, OrderDirection.Sell, OrderDirection.Hold }
	Direction of the order More...
enum	OrderPosition { OrderPosition.BuyToOpen, OrderPosition.BuyToClose, OrderPosition.SellToOpen, OrderPosition.SellToClose }
	Position of the order More...
enum	OrderStatus {   OrderStatus.New = 0, OrderStatus.Submitted = 1, OrderStatus.PartiallyFilled = 2, OrderStatus.Filled = 3,   OrderStatus.Canceled = 5, OrderStatus.None = 6, OrderStatus.Invalid = 7, OrderStatus.CancelPending = 8,   OrderStatus.UpdateSubmitted = 9 }
	Fill status of the order class. More...

Enumeration Type Documentation

OrderError

enum QuantConnect.Orders.OrderError

strong

Specifies the possible error states during presubmission checks

Enumerator
CanNotUpdateFilledOrder	Order has already been filled and cannot be modified (-8)
GeneralError	General error in order (-7)
TimestampError	Order timestamp error. Order appears to be executing in the future (-6)
MaxOrdersExceeded	Exceeded maximum allowed orders for one analysis period (-5)
InsufficientCapital	Insufficient capital to execute order (-4)
MarketClosed	Attempting market order outside of market hours (-3)
NoData	There is no data yet for this security - please wait for data (market order price not available yet) (-2)
ZeroQuantity	Order quantity must not be zero (-1)
None	The order is OK (0)

Definition at line 23 of file OrderError.cs.

OrderField

enum QuantConnect.Orders.OrderField

strong

Specifies an order field that does not apply to all order types

Enumerator
LimitPrice	The limit price for a LimitOrder, StopLimitOrder or LimitIfTouchedOrder (0)
StopPrice	The stop price for stop orders (StopMarketOrder, StopLimitOrder) (1)
TriggerPrice	The trigger price for a LimitIfTouchedOrder (2)
TrailingAmount	The trailing amount for a TrailingStopOrder (3)
TrailingAsPercentage	Whether the trailing amount for a TrailingStopOrder is a percentage or an absolute currency value (4)

Definition at line 21 of file OrderField.cs.

OrderRequestStatus

enum QuantConnect.Orders.OrderRequestStatus

strong

Specifies the status of a request

Enumerator
Unprocessed	This is an unprocessed request (0)
Processing	This request is partially processed (1)
Processed	This request has been completely processed (2)
Error	This request encountered an error (3)

Definition at line 21 of file OrderRequestStatus.cs.

OrderRequestType

enum QuantConnect.Orders.OrderRequestType

strong

Specifies the type of OrderRequest

Enumerator
Submit	The request is a SubmitOrderRequest (0)
Update	The request is a UpdateOrderRequest (1)
Cancel	The request is a CancelOrderRequest (2)

Definition at line 21 of file OrderRequestType.cs.

OrderResponseErrorCode

enum QuantConnect.Orders.OrderResponseErrorCode

strong

Error detail code

Enumerator
None	No error (0)
ProcessingError	Unknown error (-1)
OrderAlreadyExists	Cannot submit because order already exists (-2)
InsufficientBuyingPower	Not enough money to to submit order (-3)
BrokerageModelRefusedToSubmitOrder	Internal logic invalidated submit order (-4)
BrokerageFailedToSubmitOrder	Brokerage submit error (-5)
BrokerageFailedToUpdateOrder	Brokerage update error (-6)
BrokerageHandlerRefusedToUpdateOrder	Internal logic invalidated update order (-7)
BrokerageFailedToCancelOrder	Brokerage cancel error (-8)
InvalidOrderStatus	Only pending orders can be canceled (-9)
UnableToFindOrder	Missing order (-10)
OrderQuantityZero	Cannot submit or update orders with zero quantity (-11)
UnsupportedRequestType	This type of request is unsupported (-12)
PreOrderChecksError	Unknown error during pre order request validation (-13)
MissingSecurity	Security is missing. Probably did not subscribe (-14)
ExchangeNotOpen	Some order types require open exchange (-15)
SecurityPriceZero	Zero security price is probably due to bad data (-16)
ForexBaseAndQuoteCurrenciesRequired	Need both currencies in cashbook to trade a pair (-17)
ForexConversionRateZero	Need conversion rate to account currency (-18)
SecurityHasNoData	Should not attempt trading without at least one data point (-19)
ExceededMaximumOrders	Transaction manager's cache is full (-20)
MarketOnCloseOrderTooLate	Below buffer time for MOC order to be placed before exchange closes. 15.5 minutes by default (-21)
InvalidRequest	Request is invalid or null (-22)
RequestCanceled	Request was canceled by user (-23)
AlgorithmWarmingUp	All orders are invalidated while algorithm is warming up (-24)
BrokerageModelRefusedToUpdateOrder	Internal logic invalidated update order (-25)
QuoteCurrencyRequired	Need quote currency in cashbook to trade (-26)
ConversionRateZero	Need conversion rate to account currency (-27)
NonTradableSecurity	The order's symbol references a non-tradable security (-28)
NonExercisableSecurity	The order's symbol references a non-exercisable security (-29)
OrderQuantityLessThanLotSize	Cannot submit or update orders with quantity that is less than lot size (-30)
ExceedsShortableQuantity	The order's quantity exceeds the max shortable quantity set by the brokerage (-31)
InvalidNewOrderStatus	Cannot update/cancel orders with OrderStatus.New (-32)
EuropeanOptionNotExpiredOnExercise	Exercise time before expiry for European options (-33)
OptionOrderOnStockSplit	Option order is invalid due to underlying stock split (-34)

Definition at line 21 of file OrderResponseErrorCode.cs.

OrderType

enum QuantConnect.Orders.OrderType

strong

Type of the order: market, limit or stop

Enumerator
Market	Market Order Type (0)
Limit	Limit Order Type (1)
StopMarket	Stop Market Order Type - Fill at market price when break target price (2)
StopLimit	Stop limit order type - trigger fill once pass the stop price; but limit fill to limit price (3)
MarketOnOpen	Market on open type - executed on exchange open (4)
MarketOnClose	Market on close type - executed on exchange close (5)
OptionExercise	Option Exercise Order Type (6)
LimitIfTouched	Limit if Touched Order Type - a limit order to be placed after first reaching a trigger value (7)
ComboMarket	Combo Market Order Type - (8)
ComboLimit	Combo Limit Order Type - (9)
ComboLegLimit	Combo Leg Limit Order Type - (10)
TrailingStop	Trailing Stop Order Type - (11)

Definition at line 21 of file OrderTypes.cs.

OrderDirection

enum QuantConnect.Orders.OrderDirection

strong

Direction of the order

Enumerator
Buy	Buy Order (0)
Sell	Sell Order (1)
Hold	Default Value - No Order Direction (2) Unfortunately this does not have a value of zero because there are backtests saved that reference the values in this order

Definition at line 87 of file OrderTypes.cs.

OrderPosition

enum QuantConnect.Orders.OrderPosition

strong

Position of the order

Enumerator
BuyToOpen	Indicates the buy order will result in a long position, starting either from zero or an existing long position (0)
BuyToClose	Indicates the buy order is starting from an existing short position, resulting in a closed or long position (1)
SellToOpen	Indicates the sell order will result in a short position, starting either from zero or an existing short position (2)
SellToClose	Indicates the sell order is starting from an existing long position, resulting in a closed or short position (3)

Definition at line 112 of file OrderTypes.cs.

OrderStatus

enum QuantConnect.Orders.OrderStatus

strong

Fill status of the order class.

Enumerator
New	New order pre-submission to the order processor (0)
Submitted	Order submitted to the market (1)
PartiallyFilled	Partially filled, In Market Order (2)
Filled	Completed, Filled, In Market Order (3)
Canceled	Order cancelled before it was filled (5)
None	No Order State Yet (6)
Invalid	Order invalidated before it hit the market (e.g. insufficient capital) (7)
CancelPending	Order waiting for confirmation of cancellation (8)
UpdateSubmitted	Order update submitted to the market (9)

Definition at line 138 of file OrderTypes.cs.