I need to know what the price was when orders were filled.
Wondering if Quantopian might want to consider adding filled_price to the order object.
Order: 9 shares of AAPL (Limit $NaN.N Stop $NaN.N, Filled)
amount: 9
commission: 0.27
created: 2014-11-03 00:00:00 <UTC>
dt: 2014-11-04 00:00:00 UTC
filled: 9
id: 56ef82d1d03a41aba8f25e200bdfd72a
limit: NoneType
limit_reached: False
reason: NoneType
sid: AAPL (24)
status: Filled (1)
stop: NoneType Hi Gary, I see how this would be nice to have, I believe it's on the list, but not a priority at the moment. For now, the only thing I can think of is to use the cost basis and commission cost to solve for the fill price. e.g. fill_price = cost_basis - commission / (number of shares)
I believe one might rather have a list of executions that could be linked, by order ID, back to any one order. Order price could be comprised of many different execution prices depending on market entry style. Knowing true execution price though, for every fill, would give you a better understanding of slippage. Knowing that your order took 10 executions to fill is also useful.
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