SecurityTransactionManager

QuantConnect.Securities.SecurityTransactionManager

SecurityTransactionManager(
    algorithm: IAlgorithm, security: SecurityManager
)

Bases: Object, IOrderProvider

Algorithm Transactions Manager - Recording Transactions

Initialise the transaction manager for holding and processing orders.

utc_time

utc_time: datetime

Gets the time the security information was last updated

transaction_record

transaction_record: Dictionary[datetime, float]

Trade record of profits and losses for each trade statistics calculations

win_count

win_count: int

Gets the number or winning transactions

loss_count

loss_count: int

Gets the number of losing transactions

winning_transactions

winning_transactions: Dictionary[datetime, float]

Trade record of profits and losses for each trade statistics calculations that are considered winning trades

losing_transactions

losing_transactions: Dictionary[datetime, float]

Trade record of profits and losses for each trade statistics calculations that are considered losing trades

minimum_order_size

minimum_order_size: float

Configurable minimum order value to ignore bad orders, or orders with unrealistic sizes

MinimumOrderSize is obsolete and will not be used, please use Settings.MinimumOrderMarginPortfolioPercentage instead

minimum_order_quantity

minimum_order_quantity: int

Configurable minimum order size to ignore bad orders, or orders with unrealistic sizes

MinimumOrderQuantity is obsolete and will not be used, please use Settings.MinimumOrderMarginPortfolioPercentage instead

last_order_id

last_order_id: int

Get the last order id.

market_order_fill_timeout

market_order_fill_timeout: timedelta

Configurable timeout for market order fills

orders_count

orders_count: int

Gets the current number of orders that have been processed

cancel_open_orders

cancel_open_orders() -> List[OrderTicket]

cancel_open_orders(
    symbol: Union[Symbol, str, BaseContract],
    tag: str = None,
) -> List[OrderTicket]

Signature descriptions:

• Cancels all open orders for all symbols

• Cancels all open orders for the specified symbol

Parameters:

Name	Type	Description	Default
symbol	Optional[Union[Symbol, str, BaseContract]]	The symbol whose orders are to be cancelled	None
tag	Optional[str]	Custom order tag	None

Returns:

Type	Description
List[OrderTicket]	List containing the cancelled order tickets.

get_open_order_tickets

get_open_order_tickets(
    filter: Any,
) -> Iterable[OrderTicket]

get_open_order_tickets(
    symbol: Union[Symbol, str, BaseContract],
) -> Iterable[OrderTicket]

get_open_order_tickets(
    filter: Callable[[OrderTicket], bool] = None,
) -> Iterable[OrderTicket]

Signature descriptions:

• Gets an enumerable of opened OrderTicket matching the specified filter However, this method can be confused with the override that takes a Symbol as parameter. For this reason it first checks if it can convert the parameter into a symbol. If that conversion cannot be aplied it assumes the parameter is a Python function object and not a Python representation of a Symbol.

• Get an enumerable of open OrderTicket for the specified symbol

• Gets an enumerable of opened OrderTicket matching the specified filter

Parameters:

Name	Type	Description	Default
filter	Optional[Any | Callable[[OrderTicket], bool]]	The Python function filter used to find the required order tickets	None
symbol	Optional[Union[Symbol, str, BaseContract]]	The symbol for which to return the order tickets	None

Returns:

Type	Description
Iterable[OrderTicket]	Depends on the signature used. Case 1: [An enumerable of opened OrderTicket matching the specified filter.]; Case 2: [An enumerable of open OrderTicket.]

get_open_orders

get_open_orders(filter: Any) -> List[Order]

get_open_orders(
    symbol: Union[Symbol, str, BaseContract],
) -> List[Order]

get_open_orders(
    filter: Callable[[Order], bool] = None,
) -> List[Order]

Signature descriptions:

• Gets open orders matching the specified filter. However, this method can be confused with the override that takes a Symbol as parameter. For this reason it first checks if it can convert the parameter into a symbol. If that conversion cannot be aplied it assumes the parameter is a Python function object and not a Python representation of a Symbol.

• Get a list of all open orders for a symbol.

• Gets open orders matching the specified filter. Specifying null will return an enumerable of all open orders.

Parameters:

Name	Type	Description	Default
filter	Optional[Any | Callable[[Order], bool]]	Python function object used to filter the orders	None
symbol	Optional[Union[Symbol, str, BaseContract]]	The symbol for which to return the orders	None

Returns:

Type	Description
List[Order]	Depends on the signature used. Case 1: [All filtered open orders this order provider currently holds.]; Case 2: [List of open orders.]

get_open_orders_remaining_quantity

get_open_orders_remaining_quantity(filter: Any) -> float

get_open_orders_remaining_quantity(
    filter: Callable[[OrderTicket], bool] = None,
) -> float

get_open_orders_remaining_quantity(
    symbol: Union[Symbol, str, BaseContract],
) -> float

Signature descriptions:

• Gets the remaining quantity to be filled from open orders, i.e. order size minus quantity filled However, this method can be confused with the override that takes a Symbol as parameter. For this reason it first checks if it can convert the parameter into a symbol. If that conversion cannot be aplied it assumes the parameter is a Python function object and not a Python representation of a Symbol.

• Gets the remaining quantity to be filled from open orders, i.e. order size minus quantity filled

• Gets the remaining quantity to be filled from open orders for a Symbol, i.e. order size minus quantity filled

Parameters:

Name	Type	Description	Default
filter	Optional[Any | Callable[[OrderTicket], bool]]	Filters the order tickets to be included in the aggregate quantity remaining to be filled	None
symbol	Optional[Union[Symbol, str, BaseContract]]	Symbol to get the remaining quantity of currently open orders	None

Returns:

Type	Description
float	Depends on the signature used. Case 1: [Total quantity that hasn't been filled yet for all orders that were not filtered.]; Case 2: [Total quantity that hasn't been filled yet for orders matching the Symbol.]

get_order_tickets

get_order_tickets(filter: Any) -> Iterable[OrderTicket]

get_order_tickets(
    filter: Callable[[OrderTicket], bool] = None,
) -> Iterable[OrderTicket]

Gets an enumerable of OrderTicket matching the specified filter

Parameters:

Name	Type	Description	Default
filter	Any | Callable[[OrderTicket], bool]	The Python function filter used to find the required order tickets	None

Returns:

Type	Description
Iterable[OrderTicket]	An enumerable of OrderTicket matching the specified filter.

get_orders

get_orders(filter: Any) -> Iterable[Order]

get_orders(
    filter: Callable[[Order], bool] = None,
) -> Iterable[Order]

Signature descriptions:

• Gets all orders matching the specified filter.

• Gets all orders matching the specified filter. Specifying null will return an enumerable of all orders.

Parameters:

Name	Type	Description	Default
filter	Any | Callable[[Order], bool]	Python function object used to filter the orders	None

Returns:

Type	Description
Iterable[Order]	All orders this order provider currently holds by the specified filter.

add_order

add_order(request: SubmitOrderRequest) -> OrderTicket

Add an order to collection and return the unique order id or negative if an error.

Parameters:

Name	Type	Description	Default
request	SubmitOrderRequest	A request detailing the order to be submitted	required

Returns:

Type	Description
OrderTicket	New unique, increasing orderid.

add_transaction_record

add_transaction_record(
    time: Union[datetime, date],
    transaction_profit_loss: float,
    is_win: bool,
) -> None

Record the transaction value and time in a list to later be processed for statistics creation.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Time of order processed	required
transaction_profit_loss	float	Profit Loss.	required
is_win	bool	Whether the transaction is a win. For options exercise, this might not depend only on the profit/loss value	required

cancel_order

cancel_order(
    order_id: int, order_tag: str = None
) -> OrderTicket

Added alias for RemoveOrder -

Parameters:

Name	Type	Description	Default
order_id	int	Order id we wish to cancel	required
order_tag	str	Tag to indicate from where this method was called	None

get_increment_group_order_manager_id

get_increment_group_order_manager_id() -> int

Get a new group order manager id, and increment the internal counter.

Returns:

Type	Description
int	New unique int group order manager id.

get_increment_order_id

get_increment_order_id() -> int

Get a new order id, and increment the internal counter.

Returns:

Type	Description
int	New unique int order id.

get_order_by_id

get_order_by_id(order_id: int) -> Order

Get the order by its id

Parameters:

Name	Type	Description	Default
order_id	int	Order id to fetch	required

Returns:

Type	Description
Order	A clone of the order with the specified id, or null if no match is found.

get_orders_by_brokerage_id

get_orders_by_brokerage_id(
    brokerage_id: str,
) -> List[Order]

Gets the order by its brokerage id

Parameters:

Name	Type	Description	Default
brokerage_id	str	The brokerage id to fetch	required

Returns:

Type	Description
List[Order]	The first order matching the brokerage id, or null if no match is found.

get_order_ticket

get_order_ticket(order_id: int) -> OrderTicket

Gets the order ticket for the specified order id. Returns null if not found

Parameters:

Name	Type	Description	Default
order_id	int	The order's id	required

Returns:

Type	Description
OrderTicket	The order ticket with the specified id, or null if not found.

get_projected_holdings

get_projected_holdings(
    security: Security,
) -> ProjectedHoldings

Calculates the projected holdings for the specified security based on the current open orders.

Parameters:

Name	Type	Description	Default
security	Security	The security	required

Returns:

Type	Description
ProjectedHoldings	The projected holdings for the specified security, which is the sum of the current holdings plus the sum of the open orders quantity.

process_request

process_request(request: OrderRequest) -> OrderTicket

Processes the order request

Parameters:

Name	Type	Description	Default
request	OrderRequest	The request to be processed	required

Returns:

Type	Description
OrderTicket	The order ticket for the request.

remove_order

remove_order(order_id: int, tag: str = None) -> OrderTicket

Remove this order from outstanding queue: user is requesting a cancel.

Parameters:

Name	Type	Description	Default
order_id	int	Specific order id to remove	required
tag	str	Tag request	None

set_live_mode

set_live_mode(is_live_mode: bool) -> None

Set live mode state of the algorithm

Parameters:

Name	Type	Description	Default
is_live_mode	bool	True, live mode is enabled	required

set_order_id

set_order_id(request: SubmitOrderRequest) -> None

Sets the order id for the specified submit request

Parameters:

Name	Type	Description	Default
request	SubmitOrderRequest	Request to set the order id for	required

set_order_processor

set_order_processor(
    order_provider: IOrderProcessor,
) -> None

Sets the IOrderProvider used for fetching orders for the algorithm

Parameters:

Name	Type	Description	Default
order_provider	IOrderProcessor	The IOrderProvider to be used to manage fetching orders	required

update_order

update_order(request: UpdateOrderRequest) -> OrderTicket

Update an order yet to be filled such as stop or limit orders.

Parameters:

Name	Type	Description	Default
request	UpdateOrderRequest	Request detailing how the order should be updated	required

wait_for_order

wait_for_order(order_id: int) -> bool

Wait for a specific order to be either Filled, Invalid or Canceled

Parameters:

Name	Type	Description	Default
order_id	int	The id of the order to wait for	required

Returns:

Type	Description
bool	True if we successfully wait for the fill, false if we were unable to wait. This may be because it is not a market order or because the timeout was reached.