Execution

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Execution

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Definition

Represents a read only interface that exposes information regarding an execution (filled order) resulting from an order and is passed as a parameter in the OnExecutionUpdate() method.

 

Note: Not all executions will have associated Order objects (e.g ExitOnSessionClose executions or AtmStrategyCreate() executions)

 

 

Methods and Properties

Account

The Account the execution occurred

BarsInProgress

An int value representing the BarsArray in which the execution occurred

Commission

A double value representing the commission of an execution

ExecutionId

A string value representing the exchange generated execution id

Instrument

An Instrument value representing the instrument of an order

MarketPosition

The position of the execution.  

 

Possible values are:

 

•MarketPosition.Long

•MarketPosition.Short

Name

A string representing the name of an order which can be provided by the entry or exit signal name

Order

An Order value representing an order associated to the execution.

OrderId

A string representing the unique id of the order which was executed

Position

An int value represents the current quantity of account position at the time of execution

PositionStrategy

An int value represents the current quantity of strategy position at the time of execution

Price

A double value representing the price of an execution

Quantity

An int value representing quantity of an execution

Rate

A double value representing the exchange rate calculated for non-USD base products (1 if no rate was applied)

Slippage

A double value representing the number of ticks calculated between the last trade price and the execution price

Time

A DateTime structure representing the time the execution occurred

ToString()

A string representation of an execution

 

 

Examples

ns Finding the executions of a particular Order object

// Example #1
private Order entryOrder = null;
 
protected override void OnBarUpdate()
{
    if (entryOrder == null && Close[0] > Open[0])
        EnterLong("myEntryOrder");
}
 
protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
  // Assign entryOrder in OnExecutionUpdate() to ensure the assignment occurs when expected.
  // This is more reliable than assigning Order objects in OnBarUpdate, as the assignment is not guaranteed to be complete if it is referenced immediately after submitting
  if (execution.Order.Name == "myEntryOrder" && execution.Order.OrderState == OrderState.Filled)
      entryOrder = execution.order;
 
    if (entryOrder != null && entryOrder == execution.Order)
      Print(execution.ToString());
}

 

 

ns Generic execution logic not specific to a particular Order object

// Example #2
protected override void OnExecutionUpdate(Execution execution, string executionId, double price, int quantity, MarketPosition marketPosition, string orderId, DateTime time)
{
    // Remember to check the underlying Order object for null before trying to access its properties
    if (execution.Order != null && execution.Order.OrderState == OrderState.Filled)
        Print(execution.ToString());
}