Make order ticket available from order event (#7316)

* Make order ticket available from order event * Add regression algorithms * Address peer review * Address peer review
2023-06-15 11:11:06 -04:00
parent 94572f571c
commit 60aba9efa4
6 changed files with 223 additions and 6 deletions
@@ -0,0 +1,53 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from datetime import timedelta
+from AlgorithmImports import *
+
+### <summary>
+### Demonstration on how to access order tickets right after placing an order.
+### </summary>
+class OrderTicketAssignmentDemoAlgorithm(QCAlgorithm):
+    '''Demonstration on how to access order tickets right after placing an order.'''
+    def Initialize(self):
+        self.SetStartDate(2013, 10, 7)
+        self.SetEndDate(2013, 10, 11)
+        self.SetCash(100000)
+
+        self.symbol = self.AddEquity("SPY").Symbol
+
+        self.trade_count = 0
+        self.Consolidate(self.symbol, timedelta(hours=1), self.HourConsolidator)
+
+    def HourConsolidator(self, bar: TradeBar):
+        # Reset self.ticket to None on each new bar
+        self.ticket = None
+        self.ticket = self.MarketOrder(self.symbol, 1, asynchronous=True)
+        self.Debug(f"{self.Time}: Buy: Price {bar.Price}, orderId: {self.ticket.OrderId}")
+        self.trade_count += 1
+
+    def OnOrderEvent(self, orderEvent: OrderEvent):
+        # We cannot access self.ticket directly because it is assigned asynchronously:
+        # this order event could be triggered before self.ticket is assigned.
+        ticket = orderEvent.Ticket
+        if ticket is None:
+            raise Exception("Expected order ticket in order event to not be null")
+        if orderEvent.Status == OrderStatus.Submitted and self.ticket is not None:
+            raise Exception("Field self.ticket not expected no be assigned on the first order event")
+
+        self.Debug(ticket.ToString())
+
+    def OnEndOfAlgorithm(self):
+        # Just checking that orders were placed
+        if not self.Portfolio.Invested or self.trade_count != self.Transactions.OrdersCount:
+            raise Exception(f"Expected the portfolio to have holdings and to have {self.tradeCount} trades, but had {self.Transactions.OrdersCount}")