Orders

Provides a full range of standard order types, as well as more advanced types and order lists.

class LimitIfTouchedOrder

Bases: Order

LimitIfTouchedOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price price, Price trigger_price, TriggerType trigger_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Limit-If-Touched (LIT) conditional order.

A Limit-If-Touched (LIT) is an order to BUY (or SELL) an instrument at a specified price or better, below (or above) the market. This order is held in the system until the trigger price is touched. A LIT order is similar to a Stop-Limit order, except that a LIT SELL order is placed above the current market price, and a Stop-Limit SELL order is placed below.

Using a LIT order helps to ensure that, if the order does execute, the order will not execute at a price less favorable than the limit price.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • price (Price) – The order price (LIMIT).
  • trigger_price (Price) – The order trigger price (STOP).
  • trigger_type (TriggerType) – The order trigger type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • post_only (bool , default False) – If the LIMIT order will only provide liquidity (once triggered).
  • reduce_only (bool , default False) – If the LIMIT order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the LIMIT order to display on the public book (iceberg).
  • emulation_trigger (EmulationTrigger, default NO_TRIGGER) – The emulation trigger for the order.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

static create(init)

display_qty

The quantity of the LIMIT order to display on the public book (iceberg).

• Returns: Quantity or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

info(self) → unicode

Return a summary description of the order.

• Return type: str

is_triggered

If the order has been triggered.

• Returns: bool

price

The order price (LIMIT).

• Returns: Price

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trigger_price

The order trigger price (STOP).

• Returns: Price

trigger_type

The trigger type for the order.

• Returns: TriggerType

ts_triggered

UNIX timestamp (nanoseconds) when the order was triggered (0 if not triggered).

• Returns: uint64_t

class LimitOrder

Bases: Order

LimitOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price price, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Limit order.

A Limit order is an order to BUY (or SELL) at a specified price or better. The Limit order ensures that if the order fills, it will not fill at a price less favorable than your limit price, but it does not guarantee a fill.

• A Limit-On-Open (LOO) order can be represented using a time in force of AT_THE_OPEN.
• A Limit-On-Close (LOC) order can be represented using a time in force of AT_THE_CLOSE.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • price (Price) – The order limit price.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • post_only (bool , default False) – If the order will only provide liquidity (make a market).
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the order to display on the public book (iceberg).
  • emulation_trigger (EmulationTrigger, default NO_TRIGGER) – The emulation trigger for the order.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

static create(OrderInitialized init)

display_qty

The quantity of the order to display on the public book (iceberg).

• Returns: Quantity or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

static from_pyo3(pyo3_order)

info(self) → unicode

Return a summary description of the order.

• Return type: str

price

The order price (LIMIT).

• Returns: Price

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

static transform_py(Order order, uint64_t ts_init, Price price=None) → LimitOrder

class MarketIfTouchedOrder

Bases: Order

MarketIfTouchedOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price trigger_price, TriggerType trigger_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool reduce_only=False, bool quote_quantity=False, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Market-If-Touched (MIT) conditional order.

A Market-If-Touched (MIT) is an order to BUY (or SELL) an instrument below (or above) the market. This order is held in the system until the trigger price is touched, and is then submitted as a market order. An MIT order is similar to a Stop-Order, except that an MIT SELL order is placed above the current market price, and a stop SELL order is placed below.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • trigger_price (Price) – The order trigger price (STOP).
  • trigger_type (TriggerType) – The order trigger type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • emulation_trigger (EmulationTrigger, default NO_TRIGGER) – The emulation trigger for the order.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.

static create(init)

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

info(self) → unicode

Return a summary description of the order.

• Return type: str

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trigger_price

The order trigger price (STOP).

• Returns: Price

trigger_type

The trigger type for the order.

• Returns: TriggerType

class MarketOrder

Bases: Order

MarketOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, bool reduce_only=False, bool quote_quantity=False, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Market order.

A Market order is an order to BUY (or SELL) at the market bid or offer price. A market order may increase the likelihood of a fill and the speed of execution, but unlike the Limit order - a Market order provides no price protection and may fill at a price far lower/higher than the top-of-book bid/ask.

• A Market-On-Open (MOO) order can be represented using a time in force of AT_THE_OPEN.
• A Market-On-Close (MOC) order can be represented using a time in force of AT_THE_CLOSE.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The order time in force.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If time_in_force is GTD.

static create(init)

static from_pyo3(pyo3_order)

info(self) → unicode

Return a summary description of the order.

• Return type: str

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

static transform_py(Order order, uint64_t ts_init) → MarketOrder

class MarketToLimitOrder

Bases: Order

MarketToLimitOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Market-To-Limit (MTL) order.

A Market-to-Limit (MTL) order is submitted as a market order to execute at the current best market price. If the order is only partially filled, the remainder of the order is canceled and re-submitted as a Limit order with the limit price equal to the price at which the filled portion of the order executed.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the limit order to display on the public book (iceberg).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.

static create(init)

display_qty

The quantity of the limit order to display on the public book (iceberg).

• Returns: Quantity or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

info(self) → unicode

Return a summary description of the order.

• Return type: str

price

The order price (LIMIT).

• Returns: Price or None

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

class Order

Bases: object

Order(OrderInitialized init)

The base class for all orders.

• Parameters: init (OrderInitialized) – The order initialized event.

WARNING

This class should not be used directly, but through a concrete subclass.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

filled_qty

The order total filled quantity.

• Returns: Quantity

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool

class OrderList

Bases: object

OrderList(OrderListId order_list_id, list orders)

Represents a list of bulk or related contingent orders.

• Parameters:
  • order_list_id (OrderListId) – The order list ID.
  • orders (list [Order ]) – The contained orders list.
• Raises:
  • ValueError – If orders is empty.
  • ValueError – If orders contains a type other than Order.

first

The first order in the list (typically the parent).

• Returns: list[Order]

id

The order list ID.

• Returns: OrderListId

instrument_id

The instrument ID associated with the list.

• Returns: InstrumentId

orders

The contained orders list.

• Returns: list[Order]

strategy_id

The strategy ID associated with the list.

• Returns: StrategyId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

class OrderUnpacker

Bases: object

Provides a means of unpacking orders from value dictionaries.

static from_init(OrderInitialized init) → Order

Return an order initialized from the given event.

• Parameters: init (OrderInitialized) – The event to initialize with.
• Return type: Order

static unpack(dict values) → Order

Return an order unpacked from the given values.

• Parameters: values (dict *[*str , object ])
• Return type: Order

class StopLimitOrder

Bases: Order

StopLimitOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price price, Price trigger_price, TriggerType trigger_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Stop-Limit conditional order.

A Stop-Limit order is an instruction to submit a BUY (or SELL) limit order when the specified stop trigger price is attained or penetrated. The order has two basic components: the stop price and the limit price. When a trade has occurred at or through the stop price, the order becomes executable and enters the market as a limit order, which is an order to BUY (or SELL) at a specified price or better.

A Stop-Limit eliminates the price risk associated with a stop order where the execution price cannot be guaranteed, but exposes the trader to the risk that the order may never fill, even if the stop price is reached.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • price (Price) – The order price (LIMIT).
  • trigger_price (Price) – The order trigger price (STOP).
  • trigger_type (TriggerType) – The order trigger type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • post_only (bool , default False) – If the LIMIT order will only provide liquidity (once triggered).
  • reduce_only (bool , default False) – If the LIMIT order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the LIMIT order to display on the public book (iceberg).
  • emulation_trigger (EmulationTrigger, default NO_TRIGGER) – The emulation trigger for the order.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

static create(init)

display_qty

The quantity of the LIMIT order to display on the public book (iceberg).

• Returns: Quantity or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

static from_pyo3(pyo3_order)

info(self) → unicode

Return a summary description of the order.

• Return type: str

is_triggered

If the order has been triggered.

• Returns: bool

price

The order price (LIMIT).

• Returns: Price

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trigger_price

The order trigger price (STOP).

• Returns: Price

trigger_type

The trigger type for the order.

• Returns: TriggerType

ts_triggered

UNIX timestamp (nanoseconds) when the order was triggered (0 if not triggered).

• Returns: uint64_t

class StopMarketOrder

Bases: Order

StopMarketOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price trigger_price, TriggerType trigger_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool reduce_only=False, bool quote_quantity=False, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Stop-Market conditional order.

A Stop-Market order is an instruction to submit a BUY (or SELL) market order if and when the specified stop trigger price is attained or penetrated. A Stop-Market order is not guaranteed a specific execution price and may execute significantly away from its stop price.

A SELL Stop-Market order is always placed below the current market price, and is typically used to limit a loss or protect a profit on a long position.

A BUY Stop-Market order is always placed above the current market price, and is typically used to limit a loss or protect a profit on a short position.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • trigger_price (Price) – The order trigger price (STOP).
  • trigger_type (TriggerType) – The order trigger type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The order emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.

static create(init)

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

info(self) → unicode

Return a summary description of the order.

• Return type: str

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trigger_price

The order trigger price (STOP).

• Returns: Price

trigger_type

The trigger type for the order.

• Returns: TriggerType

class TrailingStopLimitOrder

Bases: Order

TrailingStopLimitOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price price: Price | None, Price trigger_price: Price | None, TriggerType trigger_type, limit_offset: Decimal, trailing_offset: Decimal, TrailingOffsetType trailing_offset_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Trailing-Stop-Limit conditional order.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • price (Price or None) – The order price (LIMIT). If None then will typically default to the delta of market price and limit_offset.
  • trigger_price (Price or None) – The order trigger price (STOP). If None then will typically default to the delta of market price and trailing_offset.
  • trigger_type (TriggerType) – The order trigger type.
  • limit_offset (Decimal) – The trailing offset for the order price (LIMIT).
  • trailing_offset (Decimal) – The trailing offset for the order trigger price (STOP).
  • trailing_offset_type (TrailingOffsetType) – The order trailing offset type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • post_only (bool , default False) – If the LIMIT order will only provide liquidity (once triggered).
  • reduce_only (bool , default False) – If the LIMIT order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the LIMIT order to display on the public book (iceberg).
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The order emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If trailing_offset_type is NO_TRAILING_OFFSET.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

static create(init)

display_qty

The quantity of the LIMIT order to display on the public book (iceberg).

• Returns: Quantity or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

info(self) → unicode

Return a summary description of the order.

• Return type: str

is_triggered

If the order has been triggered.

• Returns: bool

limit_offset

The trailing offset for the orders limit price.

• Returns: Decimal

price

The order price (LIMIT).

• Returns: Price or None

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trailing_offset

The trailing offset for the orders trigger price (STOP).

• Returns: Decimal

trailing_offset_type

The trailing offset type.

• Returns: TrailingOffsetType

trigger_price

The order trigger price (STOP).

• Returns: Price or None

trigger_type

The trigger type for the order.

• Returns: TriggerType

ts_triggered

UNIX timestamp (nanoseconds) when the order was triggered (0 if not triggered).

• Returns: uint64_t

class TrailingStopMarketOrder

Bases: Order

TrailingStopMarketOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price trigger_price: Price | None, TriggerType trigger_type, trailing_offset: Decimal, TrailingOffsetType trailing_offset_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool reduce_only=False, bool quote_quantity=False, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Trailing-Stop-Market conditional order.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • trigger_price (Price or None) – The order trigger price (STOP). If None then will typically default to the delta of market price and trailing_offset.
  • trigger_type (TriggerType) – The order trigger type.
  • trailing_offset (Decimal) – The trailing offset for the trigger price (STOP).
  • trailing_offset_type (TrailingOffsetType) – The order trailing offset type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The order emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If trailing_offset_type is NO_TRAILING_OFFSET.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.

static create(init)

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

info(self) → unicode

Return a summary description of the order.

• Return type: str

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trailing_offset

The trailing offset for the orders trigger price (STOP).

• Returns: Decimal

trailing_offset_type

The trailing offset type.

• Returns: TrailingOffsetType

trigger_price

The order trigger price (STOP).

• Returns: Price or None

trigger_type

The trigger type for the order.

• Returns: TriggerType

class MarketOrder

Bases: Order

MarketOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, bool reduce_only=False, bool quote_quantity=False, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Market order.

A Market order is an order to BUY (or SELL) at the market bid or offer price. A market order may increase the likelihood of a fill and the speed of execution, but unlike the Limit order - a Market order provides no price protection and may fill at a price far lower/higher than the top-of-book bid/ask.

• A Market-On-Open (MOO) order can be represented using a time in force of AT_THE_OPEN.
• A Market-On-Close (MOC) order can be represented using a time in force of AT_THE_CLOSE.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The order time in force.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If time_in_force is GTD.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

static create(init)

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

filled_qty

The order total filled quantity.

• Returns: Quantity

static from_pyo3(pyo3_order)

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

static transform_py(Order order, uint64_t ts_init) → MarketOrder

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool

class LimitOrder

Bases: Order

LimitOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price price, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Limit order.

A Limit order is an order to BUY (or SELL) at a specified price or better. The Limit order ensures that if the order fills, it will not fill at a price less favorable than your limit price, but it does not guarantee a fill.

• A Limit-On-Open (LOO) order can be represented using a time in force of AT_THE_OPEN.
• A Limit-On-Close (LOC) order can be represented using a time in force of AT_THE_CLOSE.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • price (Price) – The order limit price.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • post_only (bool , default False) – If the order will only provide liquidity (make a market).
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the order to display on the public book (iceberg).
  • emulation_trigger (EmulationTrigger, default NO_TRIGGER) – The emulation trigger for the order.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

static create(OrderInitialized init)

display_qty

The quantity of the order to display on the public book (iceberg).

• Returns: Quantity or None

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

filled_qty

The order total filled quantity.

• Returns: Quantity

static from_pyo3(pyo3_order)

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

price

The order price (LIMIT).

• Returns: Price

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

static transform_py(Order order, uint64_t ts_init, Price price=None) → LimitOrder

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool

class StopMarketOrder

Bases: Order

StopMarketOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price trigger_price, TriggerType trigger_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool reduce_only=False, bool quote_quantity=False, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Stop-Market conditional order.

A Stop-Market order is an instruction to submit a BUY (or SELL) market order if and when the specified stop trigger price is attained or penetrated. A Stop-Market order is not guaranteed a specific execution price and may execute significantly away from its stop price.

A SELL Stop-Market order is always placed below the current market price, and is typically used to limit a loss or protect a profit on a long position.

A BUY Stop-Market order is always placed above the current market price, and is typically used to limit a loss or protect a profit on a short position.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • trigger_price (Price) – The order trigger price (STOP).
  • trigger_type (TriggerType) – The order trigger type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The order emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

static create(init)

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

filled_qty

The order total filled quantity.

• Returns: Quantity

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

trigger_price

The order trigger price (STOP).

• Returns: Price

trigger_type

The trigger type for the order.

• Returns: TriggerType

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool

class StopLimitOrder

Bases: Order

StopLimitOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price price, Price trigger_price, TriggerType trigger_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Stop-Limit conditional order.

A Stop-Limit order is an instruction to submit a BUY (or SELL) limit order when the specified stop trigger price is attained or penetrated. The order has two basic components: the stop price and the limit price. When a trade has occurred at or through the stop price, the order becomes executable and enters the market as a limit order, which is an order to BUY (or SELL) at a specified price or better.

A Stop-Limit eliminates the price risk associated with a stop order where the execution price cannot be guaranteed, but exposes the trader to the risk that the order may never fill, even if the stop price is reached.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • price (Price) – The order price (LIMIT).
  • trigger_price (Price) – The order trigger price (STOP).
  • trigger_type (TriggerType) – The order trigger type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • post_only (bool , default False) – If the LIMIT order will only provide liquidity (once triggered).
  • reduce_only (bool , default False) – If the LIMIT order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the LIMIT order to display on the public book (iceberg).
  • emulation_trigger (EmulationTrigger, default NO_TRIGGER) – The emulation trigger for the order.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

static create(init)

display_qty

The quantity of the LIMIT order to display on the public book (iceberg).

• Returns: Quantity or None

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

filled_qty

The order total filled quantity.

• Returns: Quantity

static from_pyo3(pyo3_order)

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

is_triggered

If the order has been triggered.

• Returns: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

price

The order price (LIMIT).

• Returns: Price

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

trigger_price

The order trigger price (STOP).

• Returns: Price

trigger_type

The trigger type for the order.

• Returns: TriggerType

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

ts_triggered

UNIX timestamp (nanoseconds) when the order was triggered (0 if not triggered).

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool

class MarketToLimitOrder

Bases: Order

MarketToLimitOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Market-To-Limit (MTL) order.

A Market-to-Limit (MTL) order is submitted as a market order to execute at the current best market price. If the order is only partially filled, the remainder of the order is canceled and re-submitted as a Limit order with the limit price equal to the price at which the filled portion of the order executed.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the limit order to display on the public book (iceberg).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

static create(init)

display_qty

The quantity of the limit order to display on the public book (iceberg).

• Returns: Quantity or None

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

filled_qty

The order total filled quantity.

• Returns: Quantity

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

price

The order price (LIMIT).

• Returns: Price or None

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool

class MarketIfTouchedOrder

Bases: Order

MarketIfTouchedOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price trigger_price, TriggerType trigger_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool reduce_only=False, bool quote_quantity=False, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Market-If-Touched (MIT) conditional order.

A Market-If-Touched (MIT) is an order to BUY (or SELL) an instrument below (or above) the market. This order is held in the system until the trigger price is touched, and is then submitted as a market order. An MIT order is similar to a Stop-Order, except that an MIT SELL order is placed above the current market price, and a stop SELL order is placed below.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • trigger_price (Price) – The order trigger price (STOP).
  • trigger_type (TriggerType) – The order trigger type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • emulation_trigger (EmulationTrigger, default NO_TRIGGER) – The emulation trigger for the order.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

static create(init)

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

filled_qty

The order total filled quantity.

• Returns: Quantity

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

trigger_price

The order trigger price (STOP).

• Returns: Price

trigger_type

The trigger type for the order.

• Returns: TriggerType

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool

class LimitIfTouchedOrder

Bases: Order

LimitIfTouchedOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price price, Price trigger_price, TriggerType trigger_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Limit-If-Touched (LIT) conditional order.

A Limit-If-Touched (LIT) is an order to BUY (or SELL) an instrument at a specified price or better, below (or above) the market. This order is held in the system until the trigger price is touched. A LIT order is similar to a Stop-Limit order, except that a LIT SELL order is placed above the current market price, and a Stop-Limit SELL order is placed below.

Using a LIT order helps to ensure that, if the order does execute, the order will not execute at a price less favorable than the limit price.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • price (Price) – The order price (LIMIT).
  • trigger_price (Price) – The order trigger price (STOP).
  • trigger_type (TriggerType) – The order trigger type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • post_only (bool , default False) – If the LIMIT order will only provide liquidity (once triggered).
  • reduce_only (bool , default False) – If the LIMIT order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the LIMIT order to display on the public book (iceberg).
  • emulation_trigger (EmulationTrigger, default NO_TRIGGER) – The emulation trigger for the order.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

static create(init)

display_qty

The quantity of the LIMIT order to display on the public book (iceberg).

• Returns: Quantity or None

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

filled_qty

The order total filled quantity.

• Returns: Quantity

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

is_triggered

If the order has been triggered.

• Returns: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

price

The order price (LIMIT).

• Returns: Price

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

trigger_price

The order trigger price (STOP).

• Returns: Price

trigger_type

The trigger type for the order.

• Returns: TriggerType

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

ts_triggered

UNIX timestamp (nanoseconds) when the order was triggered (0 if not triggered).

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool

class TrailingStopMarketOrder

Bases: Order

TrailingStopMarketOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price trigger_price: Price | None, TriggerType trigger_type, trailing_offset: Decimal, TrailingOffsetType trailing_offset_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool reduce_only=False, bool quote_quantity=False, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Trailing-Stop-Market conditional order.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • trigger_price (Price or None) – The order trigger price (STOP). If None then will typically default to the delta of market price and trailing_offset.
  • trigger_type (TriggerType) – The order trigger type.
  • trailing_offset (Decimal) – The trailing offset for the trigger price (STOP).
  • trailing_offset_type (TrailingOffsetType) – The order trailing offset type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The order emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If trailing_offset_type is NO_TRAILING_OFFSET.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

static create(init)

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

filled_qty

The order total filled quantity.

• Returns: Quantity

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

trailing_offset

The trailing offset for the orders trigger price (STOP).

• Returns: Decimal

trailing_offset_type

The trailing offset type.

• Returns: TrailingOffsetType

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

trigger_price

The order trigger price (STOP).

• Returns: Price or None

trigger_type

The trigger type for the order.

• Returns: TriggerType

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool

class TrailingStopLimitOrder

Bases: Order

TrailingStopLimitOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, Quantity quantity, Price price: Price | None, Price trigger_price: Price | None, TriggerType trigger_type, limit_offset: Decimal, trailing_offset: Decimal, TrailingOffsetType trailing_offset_type, UUID4 init_id, uint64_t ts_init, TimeInForce time_in_force=TimeInForce.GTC, uint64_t expire_time_ns=0, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY, OrderListId order_list_id=None, list linked_order_ids=None, ClientOrderId parent_order_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, ClientOrderId exec_spawn_id=None, list tags=None)

Represents a Trailing-Stop-Limit conditional order.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the order.
  • strategy_id (StrategyId) – The strategy ID associated with the order.
  • instrument_id (InstrumentId) – The order instrument ID.
  • client_order_id (ClientOrderId) – The client order ID.
  • order_side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity (> 0).
  • price (Price or None) – The order price (LIMIT). If None then will typically default to the delta of market price and limit_offset.
  • trigger_price (Price or None) – The order trigger price (STOP). If None then will typically default to the delta of market price and trailing_offset.
  • trigger_type (TriggerType) – The order trigger type.
  • limit_offset (Decimal) – The trailing offset for the order price (LIMIT).
  • trailing_offset (Decimal) – The trailing offset for the order trigger price (STOP).
  • trailing_offset_type (TrailingOffsetType) – The order trailing offset type.
  • init_id (UUID4) – The order initialization event ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The order time in force.
  • expire_time_ns (uint64_t , default 0 *(*no expiry )) – UNIX timestamp (nanoseconds) when the order will expire.
  • post_only (bool , default False) – If the LIMIT order will only provide liquidity (once triggered).
  • reduce_only (bool , default False) – If the LIMIT order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool , default False) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the LIMIT order to display on the public book (iceberg).
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The order emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default NO_CONTINGENCY) – The order contingency type.
  • order_list_id (OrderListId , optional) – The order list ID associated with the order.
  • linked_order_ids (list [ClientOrderId ] , optional) – The order linked client order ID(s).
  • parent_order_id (ClientOrderId , optional) – The order parent client order ID.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • exec_spawn_id (ClientOrderId , optional) – The execution algorithm spawning primary client order ID.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Raises:
  • ValueError – If order_side is NO_ORDER_SIDE.
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If trailing_offset_type is NO_TRAILING_OFFSET.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time_ns <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

static create(init)

display_qty

The quantity of the LIMIT order to display on the public book (iceberg).

• Returns: Quantity or None

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

expire_time

Return the expire time for the order (UTC).

• Return type: datetime or None

expire_time_ns

The order expiration (UNIX epoch nanoseconds), zero for no expiration.

• Returns: uint64_t

filled_qty

The order total filled quantity.

• Returns: Quantity

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

is_triggered

If the order has been triggered.

• Returns: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

limit_offset

The trailing offset for the orders limit price.

• Returns: Decimal

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

price

The order price (LIMIT).

• Returns: Price or None

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

trailing_offset

The trailing offset for the orders trigger price (STOP).

• Returns: Decimal

trailing_offset_type

The trailing offset type.

• Returns: TrailingOffsetType

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

trigger_price

The order trigger price (STOP).

• Returns: Price or None

trigger_type

The trigger type for the order.

• Returns: TriggerType

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

ts_triggered

UNIX timestamp (nanoseconds) when the order was triggered (0 if not triggered).

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool

class OrderList

Bases: object

OrderList(OrderListId order_list_id, list orders)

Represents a list of bulk or related contingent orders.

• Parameters:
  • order_list_id (OrderListId) – The order list ID.
  • orders (list [Order ]) – The contained orders list.
• Raises:
  • ValueError – If orders is empty.
  • ValueError – If orders contains a type other than Order.

first

The first order in the list (typically the parent).

• Returns: list[Order]

id

The order list ID.

• Returns: OrderListId

instrument_id

The instrument ID associated with the list.

• Returns: InstrumentId

orders

The contained orders list.

• Returns: list[Order]

strategy_id

The strategy ID associated with the list.

• Returns: StrategyId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

class Order

Bases: object

Order(OrderInitialized init)

The base class for all orders.

• Parameters: init (OrderInitialized) – The order initialized event.

WARNING

This class should not be used directly, but through a concrete subclass.

account_id

The account ID associated with the order.

• Returns: AccountId or None

apply(self, OrderEvent event) → void

Apply the given order event to the order.

• Parameters: event (OrderEvent) – The order event to apply.
• Raises:
  • ValueError – If self.client_order_id is not equal to event.client_order_id.
  • ValueError – If self.venue_order_id and event.venue_order_id are both not None, and are not equal.
  • InvalidStateTrigger – If event is not a valid trigger from the current order.status.
  • KeyError – If event is OrderFilled and event.trade_id already applied to the order.

avg_px

The order average fill price.

• Returns: double

client_order_id

The client order ID.

• Returns: ClientOrderId

static closing_side(PositionSide position_side) → OrderSide

Return the order side needed to close a position with the given side.

• Parameters: position_side (PositionSide {LONG, SHORT}) – The side of the position to close.
• Return type: OrderSide
• Raises: ValueError – If position_side is FLAT or invalid.

commissions(self) → list

Return the total commissions generated by the order.

• Return type: list[Money]

contingency_type

The orders contingency type.

• Returns: ContingencyType

emulation_trigger

The order emulation trigger type.

• Returns: TriggerType

event_count

Return the count of events applied to the order.

• Return type: int

events

Return the order events.

• Return type: list[OrderEvent]

exec_algorithm_id

The execution algorithm ID for the order.

• Returns: ExecAlgorithmId or None

exec_algorithm_params

The execution algorithm parameters for the order.

• Returns: dict[str, Any] or None

exec_spawn_id

The execution algorithm spawning client order ID.

• Returns: ClientOrderId or None

filled_qty

The order total filled quantity.

• Returns: Quantity

has_price

Return whether the order has a price property.

• Return type: bool

has_trigger_price

Return whether the order has a trigger_price property.

• Return type: bool

info(self) → unicode

Return a summary description of the order.

• Return type: str

init_event

Return the initialization event for the order.

• Return type: OrderInitialized

init_id

The event ID of the OrderInitialized event.

• Returns: UUID4

instrument_id

The order instrument ID.

• Returns: InstrumentId

is_active_local

Return whether the order is active and held in the local system.

An order is considered active local when its status is any of:

• INITIALIZED
• EMULATED
• RELEASED

• Return type: bool

is_aggressive

Return whether the order is aggressive (order_type is MARKET).

• Return type: bool

is_buy

Return whether the order side is BUY.

• Return type: bool

is_canceled

Return whether current status is CANCELED.

• Return type: bool

is_child_order

Return whether the order has a parent order.

• Return type: bool

is_closed

Return whether the order is closed.

An order is considered closed when its status can no longer change. The possible statuses of closed orders include;

• DENIED
• REJECTED
• CANCELED
• EXPIRED
• FILLED

• Return type: bool

is_contingency

Return whether the order has a contingency (contingency_type is not NO_CONTINGENCY).

• Return type: bool

is_emulated

Return whether the order is emulated and held in the local system.

• Return type: bool

is_inflight

Return whether the order is in-flight (order request sent to the trading venue).

An order is considered in-flight when its status is any of:

• SUBMITTED
• PENDING_UPDATE
• PENDING_CANCEL

• Return type: bool

WARNING

An emulated order is never considered in-flight.

is_open

Return whether the order is open at the trading venue.

An order is considered open when its status is any of:

• ACCEPTED
• TRIGGERED
• PENDING_UPDATE
• PENDING_CANCEL
• PARTIALLY_FILLED

• Return type: bool

WARNING

An emulated order is never considered open.

is_parent_order

Return whether the order has at least one child order.

• Return type: bool

is_passive

Return whether the order is passive (order_type not MARKET).

• Return type: bool

is_pending_cancel

Return whether the current status is PENDING_CANCEL.

• Return type: bool

is_pending_update

Return whether the current status is PENDING_UPDATE.

• Return type: bool

is_post_only

If the order will only provide liquidity (make a market).

• Returns: bool

is_primary

Return whether the order is the primary for an execution algorithm sequence.

• Return type: bool

is_quote_quantity

If the order quantity is denominated in the quote currency.

• Returns: bool

is_reduce_only

If the order carries the ‘reduce-only’ execution instruction.

• Returns: bool

is_sell

Return whether the order side is SELL.

• Return type: bool

is_spawned

Return whether the order was spawned as part of an execution algorithm sequence.

• Return type: bool

last_event

Return the last event applied to the order.

• Return type: OrderEvent

last_trade_id

The orders last trade match ID.

• Returns: TradeId or None

leaves_qty

The order total leaves quantity.

• Returns: Quantity

linked_order_ids

The orders linked client order ID(s).

• Returns: list[ClientOrderId] or None

liquidity_side

The order liquidity side.

• Returns: LiquiditySide

static opposite_side(OrderSide side) → OrderSide

Return the opposite order side from the given side.

• Parameters: side (OrderSide {BUY, SELL}) – The original order side.
• Return type: OrderSide
• Raises: ValueError – If side is invalid.

order_list_id

The order list ID associated with the order.

• Returns: OrderListId or None

order_type

The order type.

• Returns: OrderType

parent_order_id

The parent client order ID.

• Returns: ClientOrderId or None

position_id

The position ID associated with the order.

• Returns: PositionId or None

quantity

The order quantity.

• Returns: Quantity

side

The order side.

• Returns: OrderSide

side_string(self) → unicode

Return the orders side as a string.

• Return type: str

signed_decimal_qty(self)

Return a signed decimal representation of the remaining quantity.

• If the order is a BUY, the value is positive (e.g. Decimal(‘10.25’))
• If the order is a SELL, the value is negative (e.g. Decimal(‘-10.25’))

• Return type: Decimal

slippage

The order total price slippage.

• Returns: double

status

Return the orders current status.

• Return type: OrderStatus

status_string(self) → unicode

Return the orders current status as a string.

• Return type: str

strategy_id

The strategy ID associated with the order.

• Returns: StrategyId

symbol

Return the orders ticker symbol.

• Return type: Symbol

tags

The order custom user tags.

• Returns: list[str] or None

tif_string(self) → unicode

Return the orders time in force as a string.

• Return type: str

time_in_force

The order time in force.

• Returns: TimeInForce

to_dict(self) → dict

Return a dictionary representation of this object.

• Return type: dict[str, object]

trade_ids

Return the trade match IDs.

• Return type: list[TradeId]

trader_id

The trader ID associated with the position.

• Returns: TraderId

trigger_instrument_id

The order emulation trigger instrument ID (will be instrument_id if None).

• Returns: InstrumentId or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

ts_last

UNIX timestamp (nanoseconds) when the last event occurred.

• Returns: uint64_t

type_string(self) → unicode

Return the orders type as a string.

• Return type: str

venue

Return the orders trading venue.

• Return type: Venue

venue_order_id

The venue assigned order ID.

• Returns: VenueOrderId or None

venue_order_ids

Return the venue order IDs.

• Return type: list[VenueOrderId]

would_reduce_only(self, PositionSide position_side, Quantity position_qty) → bool

Whether the current order would only reduce the given position if applied in full.

• Parameters:
  • position_side (PositionSide {FLAT, LONG, SHORT}) – The side of the position to check against.
  • position_qty (Quantity) – The quantity of the position to check against.
• Return type: bool