Display fill price for SetHoldings

The SetHoldings() method in QuantConnect does not return the fill price directly. It sends a market order to adjust the portfolio to the desired target, but it does not wait for this order to fill before proceeding to the next line of code. Therefore, the current_price you are using to calculate the fill_price is not the actual fill price of the order.

To get the fill price of an order, you can use the Transactions property to access the OrderTicket object associated with each order. The OrderTicket object has an AverageFillPrice property that gives the average fill price of the order.

Here is an example of how you can do this in Python:

# Place an order to set holdings to 100%
self.SetHoldings(self.symbol, 1)

# Get the last order id
last_order_id = self.Transactions.LastOrderId

# Get the order ticket for the last order
ticket = self.Transactions.GetOrderTicket(last_order_id)

# Get the average fill price of the order
fill_price = ticket.AverageFillPrice

# Print the fill price
self.Debug("Fill Price: {}".format(fill_price))

This code will print the average fill price of the last order placed by the SetHoldings() method.

Please note that this is a simplified example and actual implementation may require more complex handling, especially when dealing with partial fills or rejected orders.

For more information, you can refer to the QuantConnect API Reference and Trading and Orders documentation.

Sources:

• Accessing fill price of options
• Obtaining the price at which the security was liquidated
• How SetHoldings() works