Add fill/update/cancel times to order object

LastFillTime is updated on each partial/fill order event
LastUpdateTime is updated on each submitted order event w/ update count > 0
CancelTime is updated on canceled order events

Also fixes bug in regression algorithm where it used Time instead of UtcTime
for creating the SubmitOrderRequest object.

Algorithm.Python/UpdateOrderRegressionAlgorithm.py

@@ -85,7 +85,7 @@ class UpdateOrderRegressionAlgorithm(QCAlgorithm):
             if orderType == OrderType.Limit:
                 limitPrice = d.Decimal(1 + self.limit_percentage)*data["SPY"].High if not isLong else d.Decimal(1 - self.limit_percentage)*data["SPY"].Low
 
-            request = SubmitOrderRequest(orderType, self.security.Symbol.SecurityType, "SPY", self.quantity, stopPrice, limitPrice, self.Time, str(orderType))
+            request = SubmitOrderRequest(orderType, self.security.Symbol.SecurityType, "SPY", self.quantity, stopPrice, limitPrice, self.UtcTime, str(orderType))
             ticket = self.Transactions.AddOrder(request)
             self.tickets.append(ticket)
 
@@ -116,6 +116,20 @@ class UpdateOrderRegressionAlgorithm(QCAlgorithm):
 
 
     def OnOrderEvent(self, orderEvent):
+        order = self.Transactions.GetOrderById(orderEvent.OrderId)
+
+        #order cancelations update CanceledTime
+        if order.Status == OrderStatus.Canceled and orderEvent.CanceledTime != orderEvent.UtcTime:
+            raise ValueError("Expected canceled order CanceledTime to equal canceled order event time.")
+        
+        #fills update LastFillTime
+        if (order.Status == OrderStatus.Filled or order.Status == OrderStatus.PartiallyFilled) and order.LastFillTime != orderEvent.UtcTime:
+            raise ValueError("Expected filled order LastFillTime to equal fill order event time.")
+
+        #updates have a status of submitted and the created time will be different from the event time
+        if order.Status == OrderStatus.Submitted and order.Time != orderEvent.UtcTime and order.LastUpdateTime != orderEvent.UtcTime:
+            raise ValueError("Expected updated order LastUpdateTime to equal submitted update order event time")
+
         if orderEvent.Status == OrderStatus.Filled:
             self.Log("FILLED:: {0} FILL PRICE:: {1}".format(self.Transactions.GetOrderById(orderEvent.OrderId), orderEvent.FillPrice))
         else: