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How to get all OrderEvent from brokerage accounts and what are the APIs available from brokerage to handle Order and positions from brokerage. I want to reconcile Lean Engine open positions vs Brokerage open positions/orders. how to reconcile Lean Engine open positions vs Brokerage open positions/orders
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When you place a market order using self.algorithm.MarketOrder(symbol, allowed_quantity), it returns an OrderTicket object. You can use this OrderTicket to get the filled price, internal order ID, and brokerage ID. Here is an example:
order_ticket = self.algorithm.MarketOrder(symbol, allowed_quantity)# Get the internal order IDorder_id = order_ticket.OrderId# Get the average fill pricefill_price = order_ticket.AverageFillPrice# Get the brokerage order ID(s)brokerage_id = order_ticket.BrokerId
In this example, order_id is the internal order ID used by LEAN, fill_price is the average price at which the order was filled, and brokerage_id is a list of the order IDs assigned by the brokerage source.
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