Market orders filled price

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Market orders filled price

posted Aug 7, 2014

Hello everyone,

How can I get the average filled price of a market order? in the Doc order type has the attribute limit only?

Cheers,
Lucas

1 response

Lucas,
You can get the cost basis for each position via context.portfolio.positions[stock].cost_basis, that will be a weighted average of the price paid per share in that position. If you would like to access individual orders to check out what they filled at you can store the orders you place in a list and use get_order() to access the details. You will be able to access the different properties that way.

# This is what each order looks like

Event({'status': 1, 'created': datetime.datetime(2011, 1, 11, 0, 0, tzinfo=), 'limit_reached': False, 'stop': None, 'stop_reached': False, 'commission': 0.87, 'amount': 29, 'limit': None, 'sid': Security(24, symbol='AAPL', security_name='APPLE INC', exchange='NASDAQ GLOBAL SELECT MARKET', start_date=datetime.datetime(1993, 1, 4, 0, 0, tzinfo=), end_date=datetime.datetime(2014, 8, 7, 0, 0, tzinfo=), first_traded=None), 'dt': datetime.datetime(2011, 1, 12, 0, 0, tzinfo=), 'id': '9484a4570c3a4fc6bdedd85f5a9661e9', 'filled': 29})

Check out this example, hopefully it will get you pointed in the right direction.

David

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.