OrderEvent of the Brokerage

QuantConnect's LEAN engine is designed to handle broker disconnects and maintain the state of your algorithm and portfolio. When a disconnect occurs, LEAN will attempt to reconnect and synchronize with the brokerage. This includes updating the status of any open orders. If a StopMarketOrder fills during a broker disconnect, after reconnecting, LEAN should update the order status to 'Filled'. The OrderTicket.Status does not directly query the broker each time it is accessed, but it should reflect the most recent information received from the broker source.

In live trading, when an algorithm is deployed, Lean connects to the selected brokerage and automatically fetches all existing open orders and positions. The orders (or order tickets) can be retrieved with these two methods: Transactions.GetOpenOrderTickets() and Transactions.GetOpenOrders(). These methods cannot be called in the Initialize method, since it is called before the connection to the brokerage, so they will have to be called later (e.g. in OnWarmupFinished or in OnData) source.

Here is an example of how you can retrieve open orders in Python:

def OnWarmupFinished(self):
    tickets = self.Transactions.GetOpenOrderTickets().ToList()
    orders = self.Transactions.GetOpenOrders()

For more detailed information on creating and managing orders, you can refer to the official QuantConnect documentation.

Do you have any code example of getting brokerage orderIds for all open positions.

Yes, you can retrieve the brokerage order IDs for all open positions using the GetOpenOrders() method from the Transactions object. This method returns a list of Order objects, and you can access the BrokerId property of each Order to get the brokerage order ID. Here is an example in Python:

def OnData(self, data):
    open_orders = self.Transactions.GetOpenOrders()
    for order in open_orders:
        self.Debug(f"Order ID: {order.Id}, Brokerage Order ID: {order.BrokerId}")

In this example, order.Id is the internal order ID used by LEAN, and order.BrokerId is the order ID assigned by the brokerage. Note that BrokerId is a list because some brokerages may split a single order into multiple parts, each with its own ID source.

I save all my orders which are filled in the object_store so I can handle scenarios where algorithm gets restarted unexpectedly or I need to deploy the algorithm. after marketOrder get executed, I store the Symbol, OrderDateTime, Quantity, Filled price , Internal OrderId and BrokerageId . How to get  Filled price , Internal OrderId and BrokerageId from 

self.algorithm.MarketOrder

 order_ticket = self.algorithm.MarketOrder(symbol, allowed_quantity)

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 ID
order_id = order_ticket.OrderId

# Get the average fill price
fill_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.